Papers by Andreas Löffler
μ-σ Games
paper is open access
Public Information and Unknown Capital Market Participants
SSRN Electronic Journal, 2011
ABSTRACT We consider a single-period, pure-exchange setting with a single trading date and a sing... more ABSTRACT We consider a single-period, pure-exchange setting with a single trading date and a single consumption date. Investors are uncertain about the risk aversion of the other investors participating in the capital market, implying that the market’s aggregate risk aversion is a random variable. Unlike the setting where investors are fully informed about the market’s aggregate risk aversion, we find that investors can have a strict preference for releasing public information prior to trading. In particular, we identify conditions under which the information risk problem does not arise. Our study complements other research into the source of value for publicly reported accounting information.
Springer Texts in Business and Economics, 2019
RePEc: Research Papers in Economics, Jul 1, 2002
In capital budgeting problems future cash-flows are discounted using the expected one period retu... more In capital budgeting problems future cash-flows are discounted using the expected one period returns of the investment. In this paper we establish a theory that relates this approach to the assumption that markets are free of arbitrage. Our goal is to uncover implicit assumptions on the set of cash-flow distributions that are suitable for the capital budgeting method. As results we obtain that the set of admissible cash-flow distributions is large in the sense that no particular structure of the evolution of the distributions is implied. We give stylized examples that demonstrate that even strong assumptions on the return distributions do not restrain the shape of the cash-flow distributions. In a subsequent analysis we characterize the cash-flow distributions under the additional assumption of a deterministic dividend yield. In this case strong properties for the evolution of the distributions can be obtained.
Arbitrage and Non-linear Taxes
Social Science Research Network, 2018
Incorporating a progressive or convex income tax into valuation problems raises the question of t... more Incorporating a progressive or convex income tax into valuation problems raises the question of the appropriate tax rate to use in common valuation formulas. We apply arbitrage theory in a riskless, as well as risky, (multi-period) economy to answer this question. It turns out that the appropriate tax rate depends on the marginal tax rate of the investor’s initial endowment.<br><br>With tax liabilities that are a convex function of the tax base we identify a new kind of arbitrage: trading strategies where the gains from trades remain unchanged if this strategy is applied multiple times. We call these strategies ‘bounded’ arbitrage opportunities.<br><br>Going beyond earlier research, we are able to give a complete characterization based on properties of the tax liability function as to whether bounded as well as unbounded arbitrage opportunities will exist.
In der Literatur ist seit langem bekannt, wie man Ertragsteuern in die Unternehmensbewertung einz... more In der Literatur ist seit langem bekannt, wie man Ertragsteuern in die Unternehmensbewertung einzubeziehen hat. In dieser Arbeit klären wir, wie man ein Unternehmen bewertet, dessen Eigentümer eine Erbschaftund Schenkungsteuer zu leisten haben.
Existence and Uniqueness of Equilibria in the CAPM with a Riskless Asset
In the standard CAPM with a riskless asset we prove existence of equilibria without assuming conc... more In the standard CAPM with a riskless asset we prove existence of equilibria without assuming concavity of the investor's utility functions. Moreover, we give a uniqueness result using assumptions on the risk aversion of investors.
SSRN Electronic Journal, 2001
A simple counterexample shows that the widely used WACC approach to value leverage firms develope... more A simple counterexample shows that the widely used WACC approach to value leverage firms developed by Miles and Ezzell can create an arbitrage opportunity. The only consequence to be drawn is that their WACC approach cannot be applied under the circumstances assumed by Miles and Ezzell. We show how the WACC has to be modified in order to obtain proper results. We develop a theory in continuous as well as discrete time. In discrete time it turns out that with a further assumption on the cash flows of the firm formulas similar to Miles and Ezzell's results can be verified. This assumption requires that the increments of cash flows have to be uncorrelated. This is a much weaker assumption then independent increments which is used in models of random walk.
The Brownian Motion, 2019
Illustration of the Brownian Motion in Textbooks In many economic textbooks which address the Bro... more Illustration of the Brownian Motion in Textbooks In many economic textbooks which address the Brownian motion one finds representations resembling those of Fig. 6.1. Let us initially focus on the blue path, a function frequently used to illustrate a typical path of a Brownian motion. Almost everyone would accept that the price of a share could develop as shown. In particular, economists find such a representation plausible. However, such an interpretation is more likely to mislead rather than to contribute to the understanding of what the Brownian motion is all about. Even worse, they convey a misconception of the Brownian motion. Let us explain this phenomenon by looking at a coin toss. With a coin toss we have always assumed that the only events possible are heads and tails. Of course certain other events are conceivable: one possibility is that a coin falls on its edge as shown in Fig. 6.2, or the coin could disintegrate in several pieces or it could entirely disappear. Yet all these possibilities are highly unlikely. Does Fig. 6.2 describe the random outcome of the coin toss adequately? Certainly not! In fact, the picture can be called misleading. The same argumentation also applies to the blue path shown in Fig. 6.1! This single path represents only one of an infinite number of possible paths. Rather, the Brownian motion must be considered as a dice with an infinite number of sides (instead six) where the outcome is a continuous function. Any function is called a path or an event; and every single path chosen is just as unlikely as the event shown in Fig. 6.2. Returning to Fig. 6.1 let us concentrate on the black path. With respect to stock prices everybody would consider the black path as an unlikely path because of its untypical (sinusoidale) shape: but the shape does not matter. Thus the blue path is as unlikely as the black path because both of them represent just one of an infinite number of continuous functions.
Springer texts in business and economics, 2020
Unlevering und Relevering: Modigliani/Miller versus Miles/Ezzell
Bei der Ermittlung der Kapitalkosten nicht börsennotierter Unternehmen wird üblicherweise auf Bet... more Bei der Ermittlung der Kapitalkosten nicht börsennotierter Unternehmen wird üblicherweise auf Beta-Faktoren gehandelter Vergleichsunternehmen zurückgegriffen. Um diese an die Kapitalstruktur des Bewertungsobjekts anzupassen, wird ein funktionaler Zusammenhang zwischen dem Beta-Faktor eines verschuldeten und eines unverschuldeten Unternehmens benötigt. Wir zeigen, dass die in der Praxis weitgehend angewandte Modigliani-Miller- Anpassungsformel logische Inkonsistenzen enthält, und befürworten bei marktwertorientierter Finanzierung die Verwendung der Miles-Ezzell-Anpassung.
Unternehmensbewertung, Zahlenbeispiele und Jensens Ungleichung
Zahlenbeispiele, die im Zusammenhang mit praxisorientierten Fragen der Unternehmensbewertung benu... more Zahlenbeispiele, die im Zusammenhang mit praxisorientierten Fragen der Unternehmensbewertung benutzt werden, lassen die Unsicherheit der verwendeten Daten regelmäßig im Dunkeln. Das kann zu nennenswerten Fehlinformationen führen, wenn auf der Grundlage derart unvollständiger Daten zukunftsbezogene Kennzahlen berechnet werden. In vielen Aufsätzen zum Thema Unternehmensbewertung versuchen die Autoren, ihre Überlegungen anhand von Zahlenbeispielen zu veranschaulichen. Dafür gibt es gute Gründe. Auf der anderen Seite haben solche Zahlenbeispiele aber auch Schwächen. Sie verstellen den Blick dafür, dass die meisten Werte mit Unsicherheit behaftet sind. Dies wird im vorliegenden Beitrag erläutert.
Zur Anwendung des WACC-Verfahrens bei vorgegebener bilanzieller Verschuldung
Die DCF-Verfahren setzen sich bei der Unternehmensbewertung immer stärker durch. Am häufigsten wi... more Die DCF-Verfahren setzen sich bei der Unternehmensbewertung immer stärker durch. Am häufigsten wird mit dem WACC-Konzept gearbeitet. Bei dieser Bewertungsmethode wird sinnvollerweise unterstellt, daß die Manager des zu bewertenden Unternehmens eine Fremdkapitalquote exogen vorgeben (Zielkapitalstruktur). Die Anwender des WACC-Konzepts übersehen dabei gern die Tatsache, daß das Verfahren eine Messung der Fremdkapitalquoten auf der Grundlage von Marktwerten erfordert. Es erscheint sehr viel realistischer, davon auszugehen, daß Manager Zielkapitalstrukturen verfolgen, die sie in Buchwerten messen. In diesem Beitrag wird eine Bewertungsgleichung vorgestellt, die diesem Aspekt Rechnung trägt. Anhand eines Beispiels wird außerdem gezeigt, daß die Wertunterschiede erheblich sein können.
Springer texts in business and economics, 2019
Faustmann and taxes
Allgemeine Forst Und Jagdzeitung, 2015
Springer texts in business and economics, 2020
A new scientific truth does not best gain acceptance by convincing and instructing its opponents,... more A new scientific truth does not best gain acceptance by convincing and instructing its opponents, but much more so in that its opponents gradually die out and the upcoming generation is entrusted with the truth from the beginning.
„A+“-Publikationen
Forschung & Lehre (Bonn), May 1, 2021
Springer texts in business and economics, 2019
Springer texts in business and economics, 2020
This book is an open access publication.
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Papers by Andreas Löffler