In this study, we augment seminal models based on Ohlson (1995) by integrating the value impact of ratings related to three different extra-financial categories, i. e. corporate governance, human capital, and innovation capital. For a sample of large European public firms, we find that a model...

In just four years, the Government Day-Bond (Tagesanleihe) has become an important German Government security targeted at private clients next to Federal savings notes (Bundesschatzbrief). On July 5, 2012, the German Ministry of Finance declared not to continue its retail business cutting costs...

Analysing 5 exchange traded funds (ETFs) and 26 index certificates, this is a comprehensive intraday study combining the perspective of information dissemination and pricing quality. We focus on the Volkswagen extreme event day on 28 October 2008, where a breakdown of the futures-cash arbitrage...

This paper assumes the role of advocatus diaboli by testing whether an investment in sin stocks can financially outperform an investment in socially responsible stocks. We create a set of global, regional, and domestic portfolios consisting of a large number of stocks belonging to what could be...

Multiannual periods of consecutive above-median or below-median growth rates in operating performance, called runs, have a substantial influence on firm valuations. For estimating the probability of an above-median or below-median run and utilizing information efficiently, we employ a stepwise...

Perpetuity growth models are very popular throughout academia and practice. Given their parsimonious nature and their often implicit assumptions, it is not surprising that they can yield rather different results. First, the Miller and Modigliani (1961) model, coined as the investment opportunity...

In this paper, we empirically test the extent to which a portfolio of socially not responsible firms screened out of a market portfolio will trade at a discount. We create a set of global and domestic sin indexes consisting of a large number of publicly traded socially not responsible stocks...

Using a large international sample of 35 developed and emerging markets, we analyze whether Islamic indices exhibit a different performance to conventional benchmarks. While there is no compelling evidence of performance differences in robust Sharpe ratio tests and after controlling for market...

A comment on Miller R.A., The weighted average cost of capital is not quite right, The Quarterly Review of Economics and Finance (2007).In Discounted Cash Flow valuations, the WACC approach is very popular. Therefore, knowing which limitations the concept inherits is essential. The objective of...

Using an international sample from 1982 to 2008, we investigate the performance of global and 50 country-specific (28 developed and 22 emerging) fundamentally weighted portfolios compared to capitalization-weighted portfolios. First, we establish that superior performance of domestic portfolios...