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Abstracts WS 2017/18

17.01.2018

Estimating Systemic Risk – Comparing Quantile Regressions, Multivariate GARCH Models and/or Copula-based Time Series Models (Prof. Dr. Manfred Jäger-Ambrozewicz)

Systemic risk is widely if not uniformly considered a major culprit of the severity of the financial crises of 2007-09 and a source of an economic externality that – if left uncontrolled – very much distorts economic efficiency. In order to control systemic risk a suitable measure of systemic risk and a realizable strategy to estimate this measure of systemic risk is warranted. Reviewing the literature - focusing on statistical modelling - different measures of systemic risk and their estimators are presented. Finally the focus is on Delta-CoVaR of Adrian and Brunnermeier and quantile regression based on copula quantile curves. We thereby observe, analyze and fix inconsistencies of the estimator of CoVaR suggested by Adrian and Brunnermeier.

25.10.2017

Beyond the “Win-Win”: Creating Shared Value  requireS ethiCal FrameworkS (Prof. Dr. Markus Scholz)
de los Reyes Scholz Schmidt (2017) Beyond Win-Win.pdf (317,7 KB)  vom 18.10.2017

08.11.2017

Does new corporate disclosure add value? Textual attributes and assurance of Integrated Reporting ( Dr. Paolo Perego)

Integrated Reporting (IR) represents a recent and innovative initiative to connect in one company report a firm’s financial and non-financial performance in a clear and concise manner. This emergent approach is a relevant shift from existing reporting practices, which generally involve the production of financial statements in accordance with accounting standards and a separate, mostly voluntary, stand-alone sustainability/non-financial reporting. In this study, we examine the alleged economic benefits associated with the adoption of IR in the context of South Africa where it is mandatory since March 2010. We specifically document the relationships between various economic effects and textual characteristics of IR that capture both the “amount” (length/scope) and the “style” of information (readability and tone). We additionally explore the role of external assurance on IR as credibility-enhancing mechanism for this new form of corporate communication. Our results suggest that IR readability and conciseness are associated with several economic benefits for companies, in terms of market value, stock liquidity and expected future cash flow. Furthermore, we provide some evidence that assurance plays a key role in moderating these relationships: IR assurance mitigates the negative associations among low quality textual attributes and the economic consequences investigated. This study might be helpful to regulators and standard-setters interested in the promotion and enforcement of mandatory corporate disclosure initiatives similar to IR in South Africa.

25.11.2017

Cheating under Pressure (Prof. Dr. Astrid Dannenberg)

We investigate experimentally if individuals and groups cheat more when they are in competition with rivals compared to a non-competitive environment. Our results show that individuals do not significantly change their behavior when they compete against other individuals or groups. Groups generally cheat more than individuals. Furthermore, they increase the degree of cheating in competition – but only when they compete against other groups and not when they compete against individuals.

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