Die Bewertung von Genussscheinen zwischen Fremd- und Eigenkapitalcharakteristika

Fock, and Rathgeber,

Die Unternehmung - Swiss Journal of Business Research and Practice, 2017, vol. 71, issue 1, 74-97

Abstract: The mezzanine character of profit participation certificates, a category of securities known in Germany as "Genussscheine" (GS), became evident during the financial crisis as banks' losses lead to the suspension of dividends and to the reduction of redemption claims without the banks going bankrupt. With the new GS model which is build analogous to models for the pricing of US preferred stocks the mezzanine characteristics of GS can be taken into account which is not possible with the existing models for the pricing of debt capital. An empirical evaluation with 3300 prices of 130 GS traded at the EUWAX exchange was performed and we compare the adjustment quality of the new GS model to the one of the Merton and Kanders model. Out-of-sample the GS model often delivers better results than existing models which is especially the case if the mezzanine character of GS came into play which is mostly the case if more than 3 GS prices were available. Altogether the empirical evaluation shows that with the new GS model a substantial improvement can be achieved and that on the opaque GS market the participants take the specific characteristics of GS into account for pricing.

Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.nomos-elibrary.de/10.5771/0042-059X-2017-1-74 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nms:untern:10.5771/0042-059x-2017-1-74

Ordering information: This journal article can be ordered from
Nomos Verlagsgesellschaft mbH & Co. KG, Waldseestraße 3-5, 76530 Baden-Baden, Germany
https://www.nomos-sh ... w.aspx?product=13597

DOI: 10.5771/0042-059X-2017-1-74

Access Statistics for this article

Die Unternehmung - Swiss Journal of Business Research and Practice is currently edited by Prof. Dr. Artur Baldauf, Universität Bern, Prof. Dr. Manfred Bruhn, Universität Basel, Prof. Dr. Pascal Gantenbein, Universität Basel (geschäftsführend), Prof. Dr. Markus Gmür, Universität Fribourg, Prof. Dr. Klaus Möller, Universität St. Gallen, Prof. Dr. Günter Müller-Stewens, Universität St. Gallen, Prof. Dr. Dr. h.c. Margit Osterloh, Universität Zürich, Prof. Dr. Dieter Pfaff, Universität Zürich and Prof. Dr. Martin Wallmeier, Universität Fribourg

More articles in Die Unternehmung - Swiss Journal of Business Research and Practice from Nomos Verlagsgesellschaft mbH & Co. KG
Bibliographic data for series maintained by Nomos Verlagsgesellschaft mbH & Co. KG ().