Contributions published at Finance (Alexander Wagner)

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Fundamental financial statement analysis often excludes banks, as their financial statements do not adhere to a standard industrial model. This thesis derives a framework to analyze banks’ financial statements analogously to ROE DuPont decomposition. The framework is evaluated regarding its ability to predict future profitability and future stock return using a fixed effect regression model. Significant improvements in estimating 12 and 24 month-ahead stock performance starting six month after annual closure can be shown by using components instead of ROE. Furthermore, a clear distinction in the importance of certain components for either stock investors or management is observed.

This paper develops a structural equilibrium model with intertemporal macroeconomic risk, incorporating the fact that firms are heterogeneous in their asset composition. Compared with firms that are mainly composed of invested assets, firms with growth options have higher costs of debt because they are more volatile and have a greater tendency to default during recession when marginal utility is high and recovery rates are low. Our model matches empirical facts regarding credit spreads, default probabilities, leverage ratios, equity premiums, and investment clustering. Importantly, it also makes predictions about the cross section of all these features.

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Whether a country is able effectively to address collective action problems is a critical test of its ability to fulfill the demands of its citizens to their satisfaction. We study one particularly important collective action problem: the environment. Using a large panel dataset covering 25 years for some countries, we find that, overall, citizens of European countries are more satisfied with the way democracy works in their country if (a) more environmental policies are in place and if (b) expenditures on the environment are higher, but environmental taxes are lower. The relation between environmental policy and life satisfaction is not as pronounced. The evidence for the effect of environmental quality on both satisfaction with democracy and life satisfaction is not very clear, although we find evidence that citizens value personal mobility (in terms of having a car) highly, but view the presence of trucks as unpleasant. We also document that parents, younger citizens, and those with high levels of educational attainment tend to care more about environmental issues than do non-parents, older citizens, and those with fewer years of schooling.

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This thesis investigates whether an investor is better off by including commodities during different financial market periods in a portfolio of traditional asset classes. It first introduces different investment instruments to get exposed to commodity prices, summarizes the findings of existing literature, and constructs portfolios for the six sub periods. It is found that commodity characteristics of prior periods, namely low correlation with equity and the effect of lower volatility in a portfolio cannot be confirmed for the most recent periods. The effect of higher expected returns and higher sets on the efficient frontier is verified however. Finally, commodity-based exchange-traded notes appear to be attractive instruments in portfolio diversification.

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Obwohl aktuell viele Finanzinstitute eine Beimischung von Edelmetallen in das Portfolio postulieren, ist die kostenbereinigte Auswirkung auf das Rendite-/Risikoprofil bisher kaum untersucht worden. Die Anleger vermuten, dass eine Beimischung von Edelmetallen das Rendite-/Risikoprofil des Portfolios, aufgrund des Diversifikationseffekts und der geringen Korrelation zu Aktien und Obligationen verbessert. Die vorliegende Arbeit schliesst die bestehende Forschungslücke und befasst sich mit einer effizienten Anlageform in Edelmetalle sowie der Portfoliogewichtung für einen deutschen Privatanleger mit kleinem Vermögen. Hierzu werden die verschiedenen Investitionsmöglichkeiten in Edelmetalle erklärt und mittels Tacktesting die Auswirkungen einer Beimischung auf das Portfolio historisch untersucht. Die Daten verdeutlichen, dass viele Edelmetallbeimischungen kostenbereinigt negative Auswirkungen auf die Performance haben. Exchange Traded Commodities stellen sich als effizienteste Investitionsform mit einem Beimischungsgrad von 8 bis 12 % heraus.

Mit Earnings Forecasts von Analysten und dem Cross-Sectional Earnings Model werden die jährlichen Kapitalkosten für die Schweiz während den letzten 15 Jahren ermittelt. Dabei werden die impliziten Modelle von Gebhardt, Lee und Swaminathan (2001), Claus und Thomas (2001), Ohlson und Juettner-Nauroth (2005), Easton (2004) und Gordon und Gordon (1997) aus theoretischer Sicht diskutiert und anschliessend empirisch angewendet. Es stellt sich heraus, dass hohe Kapitalkosten kein signifikanter Garant für ebenfalls hohe zukünftige Renditen sind. Darüber hinaus wird die Beziehung zwischen den Eigenkapitalkosten und ausgewählten firmenspezifischen Charakteristiken analysiert und beurteilt.

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