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on Corporate Finance |
| By: | Fernandez, Pablo (IESE Business School); Bermejo, Vicente (IESE Business School) |
| Abstract: | La rentabilidad promedio de los fondos de inversión en los últimos 3, 5, 10 y 15 años (2,52%; 1,88%; 0,91% y 2,96%) fue inferior a la inflación y a la inversión en bonos del Estado a cualquier plazo. A pesar de estos resultados, los 2.936 fondos existentes tenían un patrimonio de 168 millardos de euros en diciembre de 2008. Sólo 18 de los 1.025 fondos con diez años de historia obtuvieron una rentabilidad superior al benchmark utilizado (sólo uno de ellos obtuvo una rentabilidad superior a la del IBEX 35: 10,4%). 269 fondos proporcionaron a sus partícipes una rentabilidad ¡negativa! Sólo uno de los 306 fondos con 15 años de historia tuvo una rentabilidad promedio superior a la inversión en renta fija del Estado español a 10 años (10%) y a la inversión en el IBEX 35 (11,6%). En estos 15 años, la rentabilidad del ITBM fue del 12,9%; la de una cartera con las acciones que pagaron más dividendo, del 19%, y la de una cartera con las empresas con menor cotización/valor contable; del 25%. En el período 1991-2008, los fondos destruyeron 102 millardos de euros de sus partícipes. El total de comisiones y gastos repercutidos en este período ascendió a 36 millardos de euros. |
| Keywords: | fondos inversión; rentabilidad partícipes; benchmark; apreciación fondos; |
| JEL: | G12 G31 M21 |
| Date: | 2009–03–17 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:iesewp:d-0788&r=cfn |
| By: | Argandoña, Antonio (IESE Business School) |
| Abstract: | The financial crisis which started in the United States in 2007 and which has spread throughout the world has many causes, one of which is the abundance of unethical behavior on the part of many of those who made the financial decisions, such as regulators, supervisors, managers and employees, and also on the part of a not insignificant number of their customers. In this paper, we will seek to shed light on the crisis's ethical content and show how the generalized practice of corporate social responsibility within financial institutions could have helped reduce the magnitude of the crisis, perhaps not systemically but definitely in some of the organizations that have been most affected by the crisis. For this to happen, however, a particular concept of social responsibility would have to have been applied, a responsibility with an ethical basis - or, more specifically, a voluntarily assumed ethics that was capable of giving rise to self-generated duties among financial decision-makers. |
| Keywords: | Crisis; Ethics; Finance; Corporate Social Responsibility; Financial system; |
| JEL: | G12 G31 M21 |
| Date: | 2009–03–19 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:iesewp:d-0790&r=cfn |
| By: | Groh, Alexander P. (IESE Business School); Henseleit, Christoph (Bain & Co. Munich) |
| Abstract: | We derive discount rates for depreciation and amortization tax shields resulting from asset step-ups in corporate mergers and acquisitions. By assigning all relevant sources of uncertainty for such kind of tax shields and by accounting for corporate debt it is shown that for APV valuations r*, a rate between the firm's cost of debt and the risk-free rate, is adequate to discount step-up induced depreciation benefits. When the benefits are valued on a standalone basis, the adequate discount rate is the after-tax weighted average of r*. Discount rates for these shields have been determined arbitrarily in empirical research on corporate acquisitions so far. However, they are found to be in line with the rates deduced in this paper. |
| Keywords: | Tax Shield; Step-up Depreciation; Valuation; |
| JEL: | G12 G34 |
| Date: | 2009–03–05 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:iesewp:d-0785&r=cfn |
| By: | Fernandez, Pablo (IESE Business School) |
| Abstract: | The average Market Risk Premium (MRP) used in 2008 by professors in the United States (6.5%) was higher than the one used by their colleagues in Europe (5.3%), Canada (5.4%), the United Kingdom (5.6%) and Australia (5.9%). The dispersion of the MRP was high. 15% ofthe professors decreased their MRP in 2008 (1.5% on average) and 24% increased it (2% on average). 66% of the professors used a lower MRP in 2007 than in 2000 (22% used a higher one). The average MRP used in 2007 was 1.5% lower than the one used in 2000. Most previous surveys were interested in the Expected MRP, but this survey asks about the Required MRP. The paper also contains the references that professors use to justify their MRP and comments from 180 professors that illustrate the variety of interpretations of what the required MRP is and explain the confusion of students and practitioners about its concept and magnitude. |
| Keywords: | equity premium puzzle; required equity premium; expected equity premium; historical equity premium; |
| JEL: | G12 G31 M21 |
| Date: | 2009–03–03 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:iesewp:d-0784&r=cfn |
| By: | Fernandez, Pablo (IESE Business School) |
| Abstract: | La destrucción de valor para los accionistas del IBEX 35 en 2008 fue de 238 millardos de euros, y la rentabilidad (teniendo en cuenta los dividendos) fue -36,5%. Entre 1991 y 2008, la creación de valor para los accionistas fue de 4 millardos de euros, y la rentabilidad media, 11,1%, aunque una parte importante de ésta (un 4,7%) se debió al descenso de los tipos de interés en el período. Las empresas pequeñas fueron más rentables (en media) que las grandes: la rentabilidad media del ITBM fue del 11,9%, superior a la del IBEX 35 (11,1%). El volumen de negociación de las empresas del IBEX 35 supone más del 90% de la negociación del mercado continuo y ha pasado de ser un 30% de la capitalización en 1992 a ser el 350% en 2008. También se analiza la evolución del IGBM desde 1940 y del S&P 500 desde 1926. |
| Keywords: | Creación de valor; IBEX 35; Rentabilidad para accionistas; |
| JEL: | G12 G31 M21 |
| Date: | 2009–03–07 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:iesewp:d-0786&r=cfn |
| By: | Andreas Stephan; Andriy Tsapin; Oleksandr Talavera |
| Abstract: | We examine why firms change their main bank and how this affects loans, interest payments and firm performance after switching. Using unique firm-bank matched Ukrainian data, the treatment effect estimates suggest that more transparent and riskier companies are more likely to switch their main bank. Importantly, main bank power, measured by equity holdings, appears to be one of the main drivers of firm switching behavior. Furthermore, we find that firms have lower performance after changing their main bank as they have to contend with higher interest payments. |
| Keywords: | Financial constraints, switching, main bank power, firm performance, Ukraine |
| JEL: | G21 G30 G32 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp894&r=cfn |
| By: | Demirguc-Kunt, Asli; Klapper, Leora F.; Panos, Georgios A. |
| Abstract: | The authors examine the factors affecting the transition to self-employment in Bosnia and Herzegovina, using the World Bank Living Standard Measurement Survey panel household survey for the years 2001-2004. In the beginning of the sample, the country changed its legal framework, with the primary aim to promote labor market flexibility and to encourage entrepreneurial activity. The analysis identifies individuals that switched to self-employment (employers and own account) during the sample period and the viability of this transition, in terms of business survival for more than one year. The results suggest an important role for financing constraints. Specifically, wealthier households are more likely to become entrepreneurs and survive in self-employment. After controlling for household wealth, having an existing bank relationship increases the likelihood of starting a business with hired employees and increases the chances of survival for the new entrepreneur. By contrast, overseas - and in some cases domestic - remittances decrease the likelihood of becoming an entrepreneur. |
| Keywords: | Access to Finance,Labor Markets,,Banks&Banking Reform,Labor Policies |
| Date: | 2009–05–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:4935&r=cfn |
| By: | Piergiorgio Alessandri (Bank of England, Threadneedle Street, London, EC2R 8AH, UK.); Mathias Drehmann (Bank for International Settlements, Centralbahnplatz 2, CH-4002 Basel, Switzerland.) |
| Abstract: | Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the interaction between the two is significant and potentially complex. We develop an integrated economic capital model for a banking book where all exposures are held to maturity. Our simulations show that capital is mismeasured if risk interdependencies are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound relative to the integrated capital level. The magnitude of the difference depends on the structure of the balance sheet and on the repricing characteristics of assets and liabilities. JEL Classification: G21, E47, C13. |
| Keywords: | Economic capital, risk management, credit risk, interest rate risk, asset and liability management. |
| Date: | 2009–04 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:200901041&r=cfn |
| By: | Antonio Forte (Dipartimento di Economia e Metodi Matematici, Università di Bari); Giovanni Pesce (Dipartimento di Economia e Metodi Matematici, Università di Bari) |
| Abstract: | The advent of the international financial crisis, and of its effects on the economy, all the world now face the question how to manage the crisis and what measures to implement to restore a normal condition. In this paper we present and discuss the results and implications of an international expert survey. Our target is to understand the perception with regards to several aspects of the international financial crisis and some possible future implications for policy makers’ authorities. |
| Keywords: | international financial crisis, subprime, expert survey |
| Date: | 2009–04 |
| URL: | http://d.repec.org/n?u=RePEc:bai:series:wp0024&r=cfn |