| 1. |
- Breuer, Wolfgang, et al.
(författare)
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Conventional or reverse magnitude effect for negative outcomes : A matter of framing
- 2024
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Ingår i: Review of Financial Economics. - : Wiley. - 1058-3300 .- 1873-5924. ; 42:2, s. 109-123
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Tidskriftsartikel (refereegranskat)abstract
- We present and expand existing theories about why individuals may assess positive outcomes differently from negative outcomes in intertemporal choices. All of our theories—based on utility or cost considerations – predict a conventional magnitude effect for positive outcomes, that is, a negative relation between outcome size and subjective discount rates. For negative outcomes, however, implications are different for utility- and cost-based approaches. We argue that the relevance of utility-based aspects is strengthened in a money frame, leading to a conventional magnitude effect even for negative outcomes, whereas cost-based considerations gain in importance in an interest rate frame, implying, in contrast, a “reverse” magnitude effect, that is, higher discount rates for (absolutely) higher outcome size. A web-based experiment with 676 participants confirms our theoretical findings: the conventional magnitude effect prevails for positive outcomes in the money and the interest rate frame and negative outcomes in the money frame. However, there is a reverse magnitude effect for negative outcomes in the interest rate frame. Our results might help to better understand prevailing magnitude effects in practical applications and might also be apt to derive suggestions for better designing of intertemporal decision problems.
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| 2. |
- Breuer, Wolfgang, et al.
(författare)
-
Conventional or Reverse Magnitude Effect for Negative Outcomes: A Matter of Framing
-
Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- We present and expand existing theories about why individuals may assess positive outcomes differently from negative outcomes in intertemporal choices. All of our theories – based on utility or cost considerations – predict a conventional magnitude effect for positive outcomes, i.e., a negative relation between outcome size and subjective discount rates. For negative outcomes, however, implications are different for utility- and cost-based approaches. We argue that the relevance of utility-based aspects is strengthened in a money frame, leading to a conventional magnitude effect even for negative outcomes, whereas cost-based considerations gain in importance in an interest rate frame, implying, in contrast, a “reverse” magnitude effect, i.e. higher discount rates for (absolutely) higher outcome size. By conducting a web-based experiment with 676 participants, we confirm our theoretical findings and conclude: the conventional magnitude effect prevails for positive outcomes in the money and the interest rate frame and for negative outcomes in the money frame. However, there is a reverse magnitude effect for negative outcomes in the interest rate frame. Our results might help to better understand prevailing magnitude effects in practical applications and might also be apt to derive suggestions for better designing of intertemporal decision problems.
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| 3. |
- Breuer, Wolfgang, et al.
(författare)
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Decomposing industry leverage : The special cases of real estate investment trusts and technology & hardware companies
- 2023
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Ingår i: Journal of Financial Research. - : Wiley. - 0270-2592 .- 1475-6803. ; 46:3, s. 791-823
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Tidskriftsartikel (refereegranskat)abstract
- Different industries exhibit significantly different leverage; companies in the real estate investment trust (REIT) and technology/hardware sectors are extreme examples. In the United States, the leverage ratio is twice as high for REITs (50%) as compared to non-real-estate firms (around 25%), and the technology/hardware sector has the lowest ratio (around 17%). We theoretically and empirically analyze their differences. By decomposing the difference into three channels, we find that the industry-specific channel explains around 67% for REITs and 68% for technology/hardware firms; the value-based channel is mostly responsible for the remaining portion. Taking the nonlinear influences of extreme values into account, the relevance of the industry-specific channel is considerably reduced.
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| 4. |
- Breuer, Wolfgang, et al.
(författare)
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Decomposing Industry Leverage: the Special Cases of Real Estate Investment Trusts and Technology & Hardware Companies
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- Different industries exhibit significantly different leverage – companies in the REIT and technology/hardware sectors are extreme examples. The leverage ratio is twice as high with 50% for REITs as for non-real estate firms with around 25% in the U.S.; whereas the technology/hardware sector has the lowest ratio with around 17%. We theoretically and empirically analyse their differences. By decomposing the difference into three channels, we find that the industry-specific channel explains around 67% for REITs and 68% for technology/hardware firms; the value-based channel is mostly responsible for the remaining part. When taking non-linear influences of extreme values into account, the relevance of the industry-specific channel is considerably reduced.
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| 5. |
- Breuer, Wolfgang, et al.
(författare)
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Magnitude Effects in Lending and Borrowing: Empirical Evidence from a P2P Platform
- 2020
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Ingår i: European Journal of Finance. - : Routledge. - 1351-847X .- 1466-4364. ; 26:9, s. 854-873
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Tidskriftsartikel (refereegranskat)abstract
- For varying borrowing and lending amounts, the corresponding subjective discount rates will also vary. A situation where high amounts correspond to lower discount rates is called a conventional magnitude effect, while the opposite is called a reverse magnitude effect. We present an overview of the theoretical arguments for both kinds of magnitude effects. Against this background, we then offer the first comprehensive empirical analysis of this issue based on real-life transaction data. To do so, we rely on more than 9,000 credit applications from the formerly largest German peer-to-peer (P2P) lending platform, Smava, between February 2007 and April 2013. We confirm that there is a conventional magnitude effect for lending money to others but a reverse magnitude effect for borrowing decisions. We suggest, as an explanation for our findings, the prevalence of cost-based determinants of magnitude effects in this special setting.
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| 6. |
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| 7. |
- Breuer, Wolfgang, et al.
(författare)
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Recent Trends in Real Estate Research: a Comparison of Recent Working Papers and Publications using Machine Learning Algorithms
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Annan publikation (övrigt vetenskapligt/konstnärligt)abstract
- This paper is organized as follows. In Section 1, we describe the economic relevance of the real estate sector and its recent dynamics. Then, we identify the most mentioned keywords of working papers presented at the real estate conferences between 2015 and 2019 and showing network figures for them in Section 2. In order to identify the newest trends, we rely on working papers since they have an average lead time of at least 1 to 2 years before they are published. In addition, we give a short overview of the articles published in this special issue. To get a better overview of the relevance of real estate related topics in finance, we analyzed the most relevant finance conferences and journals between 2015 and May 2020 in Section 3. To find the topics, we apply the text mining approach Latent Dirichlet Allocation (LDA), an unsupervised machine learning method. The real estate trends (retail, e-commerce) and the potential impact of COVID-19 is described in Section 4.
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| 8. |
- Breuer, Wolfgang, et al.
(författare)
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The Financial Impact of Firm Withdrawals from “State Sponsor of Terrorism” Countries
- 2017
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Ingår i: Journal of Business Ethics. - : Springer Netherlands. - 0167-4544 .- 1573-0697. ; 144:3, s. 533-547
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Tidskriftsartikel (refereegranskat)abstract
- Using an event-study framework, we examine the stock market reaction to the announcement of firm withdrawal from countries designated as "State Sponsors of Terrorism" by the U.S. Department of State. We find that such announcements are, on average, linked to a statistically significant increase in firm value-an effect which already kicks in a few days before the announcement date. The observed abnormal returns are positively associated with the U.S. domicile, the intensity of a firm's hitherto existing engagement in a designated country, the number of countries that it withdraws from, as well as with a withdrawal from Iran compared to a withdrawal from other countries. Evidence suggests an increase in demand for stocks of withdrawing firms as a plausible cause of the positive stock price reaction. Pension and endowment funds are significantly less likely to own strategic stakes in firms with intensive involvements in countries designated as "State Sponsors of Terrorism." We find some statistical evidence that firms remaining active in such countries have abnormally positive returns in the long run.
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| 9. |
- Carolin, Pommeranz, et al.
(författare)
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Spatial spillovers in the pricing of flood risk : Insights from the housing market
- 2020
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Ingår i: Journal of Housing Research. - : Taylor & Francis. - 1052-7001 .- 2691-1337. ; 29:sup1, s. S54-S85
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Tidskriftsartikel (refereegranskat)abstract
- In this study, we analyse how, and to what extent, direct and indirect effects (spatial spillovers) matter when estimating price effects for a property location in a flood zone. Unlike the previous literature, we show the importance of indirect effects resulting from a neighbourhood being situated in a flood zone. Additionally, the type of indirect effects (global vs. local) needs to be determined theoretically or empirically using an appropriate spatial model comparison approach. Using the Bayesian model comparison for data related to the flood-prone city of Dresden, Germany, we find strong evidence for a spatial Durbin error model which controls for local spillover effects. These indirect price effects amount to -6.5% for houses and -4.8% for condominiums. However, direct effects diminish when controlling for spatial spillovers. Our results are mostly robust across different model specifications, urban areas, and risk-adjusted prices that include future insurance costs, thus providing evidence of the importance of addressing indirect effects in the form of local spillovers in the analysis of flood zone effects. Ignoring indirect flood effects when formulating policy can lead to flood management that is inefficient and not cost-effective, as the economic consequences of flood are underestimated.
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| 10. |
- Kreppmeier, Julia, et al.
(författare)
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Real estate security token offerings and the secondary market : Driven by crypto hype or fundamentals?
- 2023
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Ingår i: Journal of Banking & Finance. - : Elsevier BV. - 0378-4266 .- 1872-6372. ; 154
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Tidskriftsartikel (refereegranskat)abstract
- Tokens, the digital form of assets, are an innovation that has the potential to disrupt how to transfer and own financial instruments. We hand-collected data on 173 real estate tokens in the USA between 2019 and 2021 and trace back 238,433 blockchain transactions. We find that tokens provide broad real estate ownership to many small investors through digital fractional ownership and low entry barriers, while investors do not yet hold well-diversified real estate token portfolios. We analyze the determinants of the success of security token offerings (STOs), secondary market trading, and daily aggregated capital flows. In addition to some property-specific determinants, we find that crypto-market-specific determinants, such as transaction costs and the related sentiment, are relevant both to the STO and capital flows.& COPY; 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ )
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