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The proposition made in this thesis is the provision of a testable hypothesis that risk-adjusted abnormal returns are associated with a contrarian strategy that is induced by the low-interest rate environment. The monetarist and risk-taking channels of interest rate transition derive the proposition that an increased amount of private investors is pushed towards the stock markets. Therefore, the behavioristic model of Hong and Stein (1999) is adjusted for this circumstance. The assumption is made that this group of private investors increases the portion of “momentum traders” in the model; this leads to a pronounced momentum pattern that is followed by a trend reversal. The line of argumentation gives reason to believe that risk-adjusted abnormal returns are associated with this behavioral pattern. Hence, this would imply that this pattern is exploitable by a contrarian strategy. First, in the empirical analysis, a Markov regime-switching model for the German stock market is used to establish a link with the principal components that have been extracted from the interest rate yield curve. Then, an explorative portfolio analysis of this stock market finds the presence of the predicted contrarian effects. Contrary to the proposition of the theoretical model, this contrarian effect is explained by the market risk premium, size, and B/M ratio, and does not yield excess return. Nevertheless, the considered strategy is of interest, as it corresponds to investors’ search for yields within this low-interest rate environment.

Overreaction Hypothesis --- Contrarian Effect --- Markov Regime-Switching Model --- Sciences économiques & de gestion > Finance

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This thesis copes with the question “How digitalization has offered new business models in the banking sector after the crisis?”. With a historical journey starting from the emergence of capital markets and derived requirements for financial intermediation, the core structure leads to developments of banking business models until the financial crisis around 2008. Within a conceptual analysis, weaknesses of traditional banking business models during that crisis establish the opportunities of financial digitalization to enhance appearing issues in the core objective of financial intermediation, namely transaction costs and asymmetric information. 
A listing of financial digitalization’s components guides to new banking business models and gives an outlook towards further adaption opportunities of financial digitalization. In its entirety, the thesis applies a superior architectural assessment of banking business models and skips a financial provider-based review. This procedure encloses a prioritization of intrinsic triggers and classifications in the development of the banking sector and introduces the reader to a business model-based understanding of motives and subjects which result in changings of banking services.

Capital Markets, Financial Intermediation, Business Models, Financial Crisis and FinTech --- Sciences économiques & de gestion > Finance

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This master thesis examines the loss distribution of fourteen mutual fund investment styles, based on the Morningstar style boxes and the Environmental Social Governance score. A large dataset of 276056 to 1122872 monthly return observations were utilized for every investment style, from the observation period October 1999 to September 2019. We first use the concept of the standardized momentums to compare the investment style returns. After that we apply risk measurement techniques such as value at risk, expected shortfall and the parameters of the generalized pareto distribution to compare the probability of high negative returns across the investment styles. Finally we investigate the effect of macroeconomic changes on extreme negative mutual fund returns, by using the parameters of the generalized pareto distribution to calculate and compare the value at risk with a confidence level of 99.9%. To this end, we use U.S. and German data series for variables of money growth, economic growth, inflation, interest rates, VIX, equity and commodity markets as a fair representation of the macroeconomic fundamentals that can possibly influence mutual fund returns. Most results from our empirical study agree with the existing literature about the different risks and returns in regard to the mutual fund style dimensions and the impact of covariates on extreme negative returns of these investment styles. However, some of our findings are not in line with our expectations and the existing literature. Our key findings are, growth investment styles have on average a higher return than value investment styles. Furthermore, when the inflation is low growth investment styles have a lower probability of extreme negative returns than value investment styles. Moreover mutual funds that focus on companies with high market capitalization have on average higher returns by a similar risk, than mutual funds that focus on companies with low market capitalization. Lastly, the style dimensions, credit quality and interest sensitivity are not relevant for mutual funds, since they have similar returns and risk across the investment styles.

Value at Risk --- Expected Shortfall --- Risk measurement --- Generalized Pareto Distribution --- Extreme Value Theory --- Mutual funds --- Investment styles --- Sciences économiques & de gestion > Finance