Die Bewertung von Genussscheinen zwischen Fremd- und Eigenkapitalcharakteristika

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.