Essays on natural experiments in behavioral finance and trade [Elektronische Ressource] / vorgelegt von Wolf Nicolas Sauter

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• Publié par: ludwig-maximilians-universitat_munchen
• Publié le: 01 janvier 2009
• Nombre de lectures: 4
• Langue: English

Extrait

Essays on Natural Experiments
in Behavioral Finance and Trade
Inaugural-Dissertation
zur Erlangung des Grades
Doctor oeconomiae publicae (Dr. oec. publ.)
an der Ludwig-Maximilians-Universit˜at Munc˜ hen
2009
vorgelegt von
Wolf Nicolas Sauter
Referent: Prof. Dr. Joachim Winter
Koreferent: Prof. Dr. Thiess Buttner˜
Promotionsabschlussberatung: 10. Februar 2010To my parentsAcknowledgments
The development and completion of this thesis would not have been possible with-
out the help and the encouragement of numerous people. First of all, I would like to
thank my supervisor Prof. Joachim Winter, whose teachings, uninterrupted support,
and guidance made this dissertation possible. I also thank Prof. Thiess Buttner˜ who
kindlyacceptedtobemyco-supervisorandProf. FlorianEnglmaierforbeingmythird
examiner.
I thank all participants at the Empirical Research Workshop and my colleagues
at the Seminar fur˜ Empirische Wirtschaftsforschung at LMU Munich, who provided
substantial feedback and many helpful ideas during the research process. I am par-
ticularly indebted to Florian Heiss for extensive feedback on the flrst chapter of this
dissertation, for his teachings and for making his Stata code publicly available. Also, I
am grateful to Jan Walliser, who provided important inputs on the elaboration of the
second chapter. I especially thank Amelie Wuppermann for her assistance in proof-
reading the flnal draft of my study.
ThestimulatingenvironmentattheMunichGraduateSchoolofEconomics(MGSE)
providedmewithimportantinputthroughoutmydissertation. Fortheirhelpandsup-
port, I thank particularly Prof. Rady, Ms Buchmayr, Ms Bierprigl, and Ms Szantone-
Sturm. FinancialsupportfromtheDeutscheForschungsgemeinschaftthroughSFB/TR
15 is gratefully acknowledged.
My greatest gratitude, however, goes to my parents for their support and encour-
agement and to Caroline for her enduring love and patience when my attention was
focused on this dissertation.Contents
Preface 1
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
1 Tearing Down the Wall: (Non-)Participation and Habit Persistence
in East German Securities Markets 8
1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
1.2 Theoretical Background . . . . . . . . . . . . . . . . . . . . . . . . . . 10
1.2.1 Pecuniary Transaction Costs . . . . . . . . . . . . . . . . . . . . 11
1.2.2 Habit Persistence . . . . . . . . . . . . . . . . . . . . . . . . . . 12
1.2.3 Investment Experience . . . . . . . . . . . . . . . . . . . . . . . 13
1.3 Identiflcation Strategy . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
1.4 Empirical Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
1.4.1 Dynamic Random Efiects Probit . . . . . . . . . . . . . . . . . 16
1.4.2 Dynamic Random Efiects Probit with an AR(1) Error Component 17
1.5 The Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
1.6 Estimation Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
1.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
Figures and Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34
2 TaxIncentives,BequestMotives,andtheDemandforLifeInsurance:
Evidence from Two Natural Experiments in Germany 46
2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46Contents iv
2.2 A Life-Cycle Model with Tax incentives and Bequests . . . . . . . . . . 49
2.3 The Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
2.4 Tax Incentives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
2.4.1 The Tax Reform in 2000 . . . . . . . . . . . . . . . . . . . . . . 54
2.4.2 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . 55
2.5 Bequest Motives. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 59
2.5.1 Savings Environment in the GDR . . . . . . . . . . . . . . . . . 59
2.5.2 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . 61
2.6 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 62
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
Technical Appendix . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68
Figures and Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
3 Do Investors Respond to Tax Reform? Evidence from a Natural
Experiment in Germany 77
3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
3.2 The Tax Reform of 2005 . . . . . . . . . . . . . . . . . . . . . . . . . . 78
3.3 The Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79
3.4 Difierence-in-Difierences Estimates . . . . . . . . . . . . . . . . . . . . 80
3.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
4 AdoptingtoNewFinancialProducts: EvidencefromtheDemandfor
Building Society Contracts in East Germany 84
4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
4.2 Descriptive Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
4.3 Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
4.4 Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
4.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91Contents v
Figures and Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 92
5 Talking Trade: Language Barriers in Intra-Canadian Commerce 100
5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 100
5.2 Empirical Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102
5.3 The Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 104
5.3.1 Language Variables . . . . . . . . . . . . . . . . . . . . . . . . . 105
5.3.2 Communication-intensities of Industries. . . . . . . . . . . . . . 107
5.4 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
5.5 IV Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 110
5.6 Robustness . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 111
5.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 114
Tables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116List of Tables
1.1 German household savings . . . . . . . . . . . . . . . . . . . . . . . . . 37
1.2 Annual transitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38
1.3 Transitions: 1995 - 2005 . . . . . . . . . . . . . . . . . . . . . . . . . . 38
1.4 Experience in securities markets . . . . . . . . . . . . . . . . . . . . . 39
1.5 Summary statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
1.6 RE with higher order lags . . . . . . . . . . . . . . . . . . . . . . . . . 41
1.7 Estimates from standard RE and AR(1)-RE models. . . . . . . . . . . 42
1.8 Average marginal efiects . . . . . . . . . . . . . . . . . . . . . . . . . . 43
1.9 Robustness checks . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 44
1.10 Testing for attrition bias . . . . . . . . . . . . . . . . . . . . . . . . . . 45
2.1 Tax exemption limits on capital income . . . . . . . . . . . . . . . . . 70
2.2 Tax incentives - average ownership rates 1996-2001 . . . . . . . . . . . 70
2.3 Tax incentives - difierence-in-difierences . . . . . . . . . . . . . . . . . 71
2.4 Tax incentives - summary statistics . . . . . . . . . . . . . . . . . . . . 72
2.5 Tax incentives - average marginal efiects . . . . . . . . . . . . . . . . . 73
2.6 Bequest motives - summary statistics . . . . . . . . . . . . . . . . . . . 74
2.7 Bequest motives - average marginal efiects . . . . . . . . . . . . . . . . 75
3.1 Anticipation efiect of the tax reform . . . . . . . . . . . . . . . . . . . 80
3.2 Summary statistics and probit estimates . . . . . . . . . . . . . . . . . 82
4.1 Summary statistics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98Contents vii
4.2 Model choice . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 98
4.3 Split-population regression . . . . . . . . . . . . . . . . . . . . . . . . 99
5.1 Mother tongues and knowledge of o–cial languages . . . . . . . . . . . 117
5.2 Bilateral language commonality, 2001 . . . . . . . . . . . . . . . . . . 118
5.3 Input shares by sector, 2001 . . . . . . . . . . . . . . . . . . . . . . . . 119
5.4 Baseline estimates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 120
5.5 Additional regressors and instrumental variables . . . . . . . . . . . . . 121
5.6 Robustness and sensitivity analysis . . . . . . . . . . . . . . . . . . . . 122
5.7 to zeros: poisson estimates . . . . . . . . . . . . . . . . . . 123
5.8 Variable labels . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124List of Figures
1.1 Securities ownership 1989-2006. . . . . . . . . . . . . . . . . . . . . . . 34
1.2 Share of long-term investors, 1990-2006 . . . . . . . . . . . .