1,721,016 research outputs found
Four Essays in Empirical Finance
Get PDFIn four self-contained essays, this thesis aims at empirically exploring phenomena which emerge as a result of the asymmetric information stemming from the separation of ownership and control. Chapter 1 deals with the traditional agency conflict topic. When investors fear that managers do not act in their best interest and fail to collectively organize and control managers appropriately, is there an opportunity for professional investors to step in and reduce agency cost? In particular, are the activities of hedge funds and private equity funds in the German equity market driven by the reduction of agency costs? The remaining three chapters deal with a second implication of asymmetric information: the phenomenon of insider trading. Both Chapter 2 and Chapter 3 investigate the trading of so called 'corporate insiders'. Corporate insiders are individuals associated with the firm and having obvious access to private information about the firm, that is, high ranking managers, board members or larger shareholders. The U.S. regulator requires them to disclose their transactions. Both chapters explore the trading behavior of corporate insiders using data on transactions from the U.S. regulator, the Securities and Exchange Commission (SEC). Chapter 2 investigates whether corporate insiders exploit short-term information advantages. Chapter 3 deals with the interaction of regulation and corporate insider trading. The chapter analyzes whether corporate insiders exploit leeway in reporting their transactions. Chapter 4 deals with a different dimension of insider trading. The analysis in this chapter focuses on illegal insider trading - the trading on material, non-public information in violation of Rule 10b-5 of the Securities and Exchange Act of 1934. Most developed countries prohibit trading on material, non-public information based on the premise that it harms other investors. Illegal trading is to be distinguished from 'legal' insider trades by corporate insiders which have to be registered with the SEC. Legal insider trades are disclosed to the public and are not necessarily based on material, non-public information. Chapter 4 investigates the extent to which the phenomenon of illegal insider trading responds to the detection and sanctioning of insider trading by the regulator
Essays in Empirical Corporate Finance and Corporate Governance
Get PDFGuided by the observation that ownership in large U.S. corporations is dispersed rather than concentrated in blocks of control (Berle and Means, 1932) and Jensen and Meckling's (1976) seminal principal-agent theory, much corporate governance research has put its focus on the conflict between managers and shareholders and the Anglo-American system of corporate governance. The present thesis provides several contributions to this literature in the substantially different context of the German corporate governance system. Chapter 1. Most existing theories of dividend policy imply that dividend announcements convey value-relevant information to market participants. However, in an efficient market, only the unexpected part of a dividend announcement should contain value-relevant information. The evaluation of the informational content conveyed by dividend announcements therefore crucially relies on the proper modeling of dividend expectations. We find that differences in modeling expectations have severe implications for the investigation of theories explaining the share price reaction to dividend announcements, including agency-based explanations. Chapter 2 provides novel contributions to the literature on dual-class share structures. Rather than focusing on a firm's decision to issue more than one share class, the chapter explores the drivers behind firms' decisions to abandon existing dual-class structures. We exploit a change in the index selection rules of Deutsche Boerse that discriminated against dual-class companies by adversely affecting their relative weight within selection indices. We suggest and empirically support the hypothesis that the change in rules resulted in a trade-off for large controlling shareholders between safeguarding their extant private benefits of control and the costs associated with a loss in index weight. Aside from the concentration of control, the two-tier board structure is another distinctive feature of Germany's corporate governance system. As the name suggests, German corporations are governed by two separate boards: an executive board managing the firm and a supervisory board overseeing management. Frequently, members of the board do not only serve on their own board, but are also simultaneously active in several other outside boards. The literature on busy boards suggests that such additional commitments may put too much strain on the board's resources and thereby adversely affect the compliance with its monitoring duties. Chapter 3 employs methods from social network analysis to explore aspects of board busyness and revisits the relationship between firm governance and the board's position in the network of directors
Essays in Financial Economics
Get PDFThis dissertation consists of four chapters. In the first chapter, I analyze strategic underreporting of market risk for a sample of North American and European Banks from 2002 to 2014. In particular, the chapter examines whether banks used modelling leeway in the calculation of the diversification effect to report a lower market risk. Value-at-Risk (VaR) and the deviation thereof from an empirical counterfactual is used as proxy for underreporting of market risk. The counterfactual is constructed based on broad asset class VaR and the correlation of indices tracking the broad asset classes (Perignon and Smith, 2010). Underreporting is identified by exploiting variations in the incentives to report a lower risk, namely equity scarcity and potential penalties. The second chapter examines the effects of the Dodd-Frank Act on credit ratings. The evolution of credit rating levels is evaluated against the movement of market-implied default probabilities as counterfactual. In line with existing literature – namely Dimitrov et al. (2014) – I document a decrease in the rating levels after the Dodd-Frank Act. However, this finding is not robust and sensitive to specification changes. The second part of the chapter documents that the effects of the Dodd-Frank Act are not limited to rating levels, but also affect the informational value of rating reports, a brief explanation stating the reasoning behind the decision. Using natural language processing tools, I detect a more ambiguous language for rating reports on entities with a low rating after the Dodd-Frank Act. In the third chapter, we document the transition of banking in Central and Eastern Europe to market-oriented banking systems that are largely free of government influence. Commonly, the success is attributed to foreign ownership. However, during the crisis, foreign banks were a source of the transmission of financial fragility. In this chapter, we argue that the quality of banking institutions – i.e. of credit institutions and the legal and regulatory structure – is an important determinant of the success of a banking system. In particular, our empirical analysis shows that the crisis shock had a smaller impact on loan growth in countries with credit registers or bureaus for the recording of loans. The fourth chapter compares the speed with which information are compounded into equity and CDS prices in a lead-lag setup. Though equity prices generally incorporate information faster than CDS spreads, there is substantial heterogeneity both between companies and over time. The difference in speed is related to a set of CDS liquidity and trading measures. Although liquidity and trading appears to drive the price discovery process, the actual effect is inconsistent and depends strongly on the actual specification
Essays in Banking and Finance
Get PDFThis dissertation consists of three chapters covering the development and analysis of three self-standing theoretical models. They all take an informational economics view and analyze important topics related to banking and finance. The first chapter discusses crowdfunding as a tool to exploit the financial wisdom of the crowd whereas the last two chapters deal with informational problems leading to the financial crisis: the lack of early warnings and missing incentives for an improvement of risk models in banks. Crowdfunding has seen massive growth during the past few years. Under the crowdfunding concept, a firm asks for a large number of small loans from many households. However, if some predefined threshold for the aggregate loan volume is not attained, the firm cannot obtain the loans. We construct a model to determine whether this mechanism can be used to aggregate vague information from many households. In crowdfunding, from a welfare perspective, firms set both the loan rate and the threshold too low, inducing households to generate too much information. However, compared with standard debt financing, crowdfunding enables more worthy projects to receive funding. The severity of the recent financial crisis hit many by surprise. Despite warning signs, the financial system seems to have been unable to aggregate existing information. What triggers an early warning, and what are the incentives to implement such a trigger? In chapter two, a theoretical model is constructed to analyze this question and to show that a contract with insufficient incentives to communicate a warning might be implemented, as refinancing conditions deteriorate when lenders notice an upcoming crisis. We discuss policies to improve information efficiency and give conditions under which regulatory measures increase welfare. In the recent financial crisis, risk management tools have been proven inadequate. It seems that risk models did not cover the included risks comprehensively. But do banks have the incentive to improve their risk models? Chapter three takes a close look at those models and discusses if banks generally invest enough effort to improve their risk models. The question of risk model innovation is analyzed in the context of a principal agent model
Asymmetries in Contests and Women in Academia
Get PDFThis doctoral thesis is devided in three chapters. In chapter one, reference dependence is intruduced in an unfair tournament. Using a standard distribution, two equilibria can be shown that are not considered in liturature so far. For these two „new“ equilibria, the winning probability of the player initially being behind in the end becomes higher than that of his opponent. This allows to modell the motivation effect for players beeing e.g. slightly behind at halftime. In chapter two, I am modelling a reviewing process in social media of two products in a tournament setting. Characteristic for this review process is that the reviewer is using subjective as well as objective criteria for his rating. The third chapter presents a dataset of doctoral students and professors in BA in Germany that was collected especially for this thesis. The main focus is set to the developement of the percentage of women in the German academic enviroment. This developement is of special interest when setting in context with the new equality laws which were introduced in the 90th.Die Doktorarbeit ist in 3 Kapitel unterteilt. Im 1. Kapitel wird Referenzabhängigkeit in ein unfaires Turnier eingeführt. Bei Benutzung einer Normalverteilung lassen sich Gleichgewichte zeigen, welche bisher in der Literatur nicht berücksichtigt werden. Bei den neuen Gleichgewichten ist die Gewinnwahrscheinlichkeit des anfänglich benachteiligten am Ende höher als die des Gegners. Dies bietet eine Modellierungsmöglichkeit für den Motivationseffekt bei geringen Rückständen bspw. zu Beginn der 2. Halbzeit. Im 2. Kapitel modelliere ich einen Review Prozess zwischen zwei Produkten in Sozialen Medien. Besondere Charakteristik ist dabei die Benutzung von objektiven sowie subjektiven Kriterien bei der Bewertung durch den Host. Das 3. Kapitel stellt einen neuen speziell für dieses Projekt zusammengestellten Datensatz über Professoren und Doktoranden in BA in Deutschland vor. Besonderer Fokus wird dabei auf die Entwicklung des Frauenanteils in der Deutschen Hochschullandschaft gelegt. Interessant ist hierbei die Entwicklung in Zusammenhang mit den neuen Gleichstellungsgesetzen, die während der 90er Jahre eingeführt wurden
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Five Essays on Bank Regulation
Get PDFThe story of the financial crisis of 2007-08 is also a story of bank regulation. Commentators from academia and policy institutions have identified an inappropriate regulation of banks and capital markets as one of the main factors that contributed to the transformation of the U.S. subprime crisis into the global financial crisis with all its devastating consequences. Clearly, the regulation of banks and capital markets is one of the most important issues in today's post-crisis world. The present work contains five essays that contribute to the literature on bank regulation. The first three chapters deal with the effects of model-based, risk-weighted capital regulation as specified in the Basel II / Basel III regulatory framework. In Chapter 4, we examine how political factors affect bailout decisions in the German savings bank sector. Chapter 5 uses a panel of 26 countries and investigates how the removal of entry barriers for foreign banks affects economic outcomes, and how it interacts with the efficiency of the domestic banking sector at the time of liberalization
Variations on the Author
Get PDF“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
Appropriate Similarity Measures for Author Cocitation Analysis
Get PDFWe provide a number of new insights into the methodological discussion about author cocitation analysis. We first argue that the use of the Pearson correlation for measuring the similarity between authors’ cocitation profiles is not very satisfactory. We then discuss what kind of similarity measures may be used as an alternative to the Pearson correlation. We consider three similarity measures in particular. One is the well-known cosine. The other two similarity measures have not been used before in the bibliometric literature. Finally, we show by means of an example that our findings have a high practical relevance.information science;Pearson correlation;cosine;similarity measure;author cocitation analysis
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