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The Bonn Journal of Economics

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You are here: Home Issues Volume III(1) - July 2014

The Bonn Journal of Economics: Vol III (1)

In this issue, results of bachelor, master and diploma theses are presented by M. Bayer, F. Heinicke, N. Jouchaghani,  M.  Maisenbacher and S. Hoof. Additonally, JProf. Dr. Michael Böhm discusses allocation of and the return to talent in his dissertation, while Prof. Dr. Jörg Breitung analyzes Speculative Bubbles.

 

How to Obtain the Issue?

A free digital copy of The Bonn Journal of Economics (3.3 MB) is accessible online. In addition, all Theses and Contributions are available separately. Please refer to the list of articles below for the corresponding links.

 

The Bonn Journal of Economics: Volume III (1)


Theses

Legal Reform of Corporate Governance and Shareholder Orientation in Germany

Mikko Bayer. Full Text.
The Bonn Journal of Economics. Vol 3, No. 1 (July 2014), pp. 7-28.

Over the last couple of decades, Germany’s Corporate Governance system has been subject to a series of legal reforms. Arguably, these reforms have shifted the system towards greater consideration for shareholders’ interests. This study investigates whether the legal changes are associated with any significant improvements of shareholder value generation and associated market expectations. For this purpose, a German-specific Corporate Governance Indicator is constructed, capturing the quality and the gradual change of the most relevant legal standards. Employing a panel fixed effects econometric model, the significance of this indicator is tested against a large dataset on over 120 exchange-listed German corporations, covering a timespan of twenty years. The empirical results suggest a positive and significant empirical relationship between the legal reforms and investors’ expectations on firm profitability, as reflected by market capitalization. However, when actual earnings per share are employed, the picture is more ambiguous.

 

 

On the Nature of Private Information in Corporate Leniency

Franziska Heinicke. Full Text.
The Bonn Journal of Economics. Vol 3, No. 1 (July 2014), pp. 31-43.

In his model on corporate leniency Harrington (2012) introduces a private signal received by colluding firms. According to this signal firms then evaluate the probability to get convicted by a competition agency (CA). This thesis argues that, given the public nature of CAs, colluding firms are unlikely to have private information on the activities of CAs. Instead, colluding firms are assumed to be privately informed about the amount and quality of evidence they possess on the cartel. The thesis then analyses how this modified assumption affects the original Harrington model (2012).

 

 

Two-Sided Platforms with Negative Externalities and Quality Investments - An Application to Media Markets

Nima Jouchaghani. Full Text.
The Bonn Journal of Economics. Vol 3, No. 1 (July 2014), pp. 43-65.


 

Variance Bounds Tests for the Hypothesis of Efficient Stock Market

Marco Maisenbacher. Full Text.
The Bonn Journal of Economics. Vol 3, No. 1 (July 2014), pp. 67-83.

Traditional financial theory suggests that stock price movements can be fully explained by subsequent changes in dividends, expressed in the famous present value model for stock prices. However, periods of excess volatility on the stock markets (e.g. the latest financial crises) challenged the idea of efficient financial markets and the validity of the present value model. This work aims to test the hypothesis of efficient financial stock markets, respectively whether stock movements can be explained by the mere emergence of new information about future dividends. Therefore theoretical variance bounds are derived which should hold under the assumptions of efficient financial markets. Furthermore an econometric test procedure for the validity of the variance bounds is derived and the hypothesis of efficient financial stock markets is tested with a data set of the Standard and Poors 500 stock price index.  

 

 

Numerical Approximation of an Optimum Growth Program (Guest Thesis)

Simon Hoof. Full Text.
The Bonn Journal of Economics. Vol 3, No. 1 (July 2014), pp. 85-99.

The present paper developes the Ramsey-Cass-Koopmans-model of optimal growth. After log-linearizing the model around its steady-state, it is shown how to approximate a numerical solution by matrix decomposition. The solution algorithm is implemented in MAtlab to obtain an explicit solution of the model, that is calculating the actual values of the considered macroeconomic variables, e.g. consumption. Then computational simulations provide insights of the underlying system dynamics for different initial conditions and after a shock is imposed, that is the optimal impulse response.

 Code for Hoof (2014)

 

 

Contributions

The Allocation of and the Returns to Talent: An Empirical Model

JProf. Dr. Michael Böhm. Full Text.
The Bonn Journal of Economics. Vol 3, No. 1 (July 2014), pp. 101-111.

Recent research in labor economics has found that shifts in the demand for occupations, tasks and sectors are related to the substantially increasing returns to talent and inequality over the last decades. This paper presents an economic model that can be used to analyze such shifts' effects on the returns to talent and to assess their impact on overall wage inequality. The estimation of key parameters of the model in repeated cross-sections exploits the (changing) allocation of talent.

 

Econometric Tests for Speculative Bubbles

Prof. Dr. Jörg Breitung. Full Text.
The Bonn Journal of Economics. Vol 3, No. 1 (July 2014), pp. 113-127.

Recently, a new generation of empirical tests was suggested that allow us to indentify speculative bubbles in stock markets. Essentially these tests are designed to detect a structural change from a (fundamental) random walk regime to an explosive (bubble) regime at some unknown time period. The new methodology can also be used to date stamp the emergence and burst of a bubble. We illustrate the testing framework by considering the NASDAQ composite price index during the so-called dot.com bubble episode.


 


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