1,721,025 research outputs found
Thou shalt not bear false witness against your customers: Cultural norms and the Volkswagen scandal
No full textThis paper investigates whether cultural norms shaped by religion drive consumer decisions after a corporate scandal. We exploit the unexpected notice of violation by the US Environmental Protection Agency in September 2015, accusing the car producer Volkswagen (VW) to have used software to manipulate car emission values during test phases. Using a difference-in-difference model, we show that new registrations of VW (diesel) cars decline significantly in German counties with a high share of Protestants following the VW scandal. Our results suggest that the enforcement culture rooted in Protestantism affects consumer decisions and penalises corporate fraud.A revised version of this paper has been published as Hasan, Iftekhar; Noth, Felix; Tonzer, Lena: Cultural Norms and Corporate Fraud: Evidence from the Volkswagen Scandal. IWH Discussion Paper 24/2020. Halle (Saale) 2020: http://hdl.handle.net/10419/22648
Financial transaction taxes: Announcement effects, short-run effects, and long-run effects
No full textWe analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In addition, we consider long-run volatility measures that better fit the French FTT's legislative design. While we find strong evidence of a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence of a long-run treatment effect. Thus, evidence of a strong reduction of trading volumes resulting from the French FTT might be driven by announcement effects and short-term treatment effects. We find evidence of an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets.A completely revised version of this paper has been published as Eichfelder, Sebastian; Noack, Mona; Noth, Felix: The Impact of Financial Transaction Taxes on Stock Markets: Short-run Effects, Long-run Effects, and Reallocation of Trading Activity. IWH Discussion Papers 12/2022. Halle (Saale) 2022. http://hdl.handle.net/10419/25158
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe 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
Unintended side effects of financial market interventions on banks and firms
Full text linkThe economy is a complex system because market participants do not act independently
but adjust their behavior to other agents and to the outcome which emerges from their joint
actions (Arthur, 2014). Dependencies among participants can impede policy makers capabilities
to influence or steer the course of the economy. Kambhu et al. (2007) argue that to
influence developments in financial markets, for instance to prevent crises from spreading,
there are only “coarse or indirect options” available for policy makers. Similar to crises
which propagate through a complex system, interventions might result in unintended side effects
which can also disseminate through the system. Thus, in a complex system, unintended
consequences of policy efforts may well be the rule.
Policy makers try to ward off or mitigate negative consequences for the economy and
society during periods of crisis. For instance, during the Covid crisis large scale support programs
for firms in Western economies were set up to avoid bankruptcies. Similarly, during
the sovereign debt crisis in the Eurozone, the European Central Bank (ECB) set up large scale
asset purchase programs as well as additionally longer-term refinancing operations (LTRO)
which provided immediate support to financial market participants’ liquidity positions and
thereby prevented a melt-down of the financial system. During these periods, immediate
and abundant liquidity supply is of utmost importance. Meanwhile, crisis measures, due to
their massive scale and non-specific target group, may entail unknown or unintended side
effects for instance on competition among market participants, firms’ investment behavior,
or changes in lending strategies and risk taking behavior of banks. Likewise, new regulatory
frameworks such as the introduction of new markets can have consequences previously not
thought of. For policy makers it is important to know direct effects of policy interventions
but also to be aware of the possibility and impact of indirect or unexpected side effects in
order to evaluate measures taken and to learn for future design of regulation or intervention. This thesis sheds light on the unintended side effects that followed policy interventions
such as the introduction of new markets by the regulator or unconventional monetary policy
measures. More specifically, in Paper 1, together with my co-authors, I study how banks
respond in terms of their lending as well as risk-taking behavior when the regulator allows
a market for covered bonds. Covered bonds reduce refinancing costs of mortgage loans
and therefore make mortgage lending more profitable. Surprisingly, we observe that banks
exposed to the regulation do not increase mortgage lending. Instead, we find that covered
bonds increase total balance sheet liquidity which enables banks to extend more risky and
less liquid firm lending.
In Paper 2 and 3 I assess the unintended side effects of the first large asset purchase
program of the ECB - the Securities Market Program (SMP). I show that asset purchases
can cause spillover effects on investments across firms in Paper 2. In line with previous
findings on peer effects between firms (e.g. Bustamante and Fr´esard, 2021; Dougal et al.,
2015), I observe that firms adapt their investment decisions to affected peer firms. With this
finding, I contribute to the understanding of a slowdown in economic recovery after large
asset purchases as pointed out by Acharya et al. (2019). In Paper 3, together with my coauthor,
I provide an explanation for the phenomenon of a slowing down of business dynamics
among very small firms which began in 2010 in Germany. We show that small and medium
sized enterprises (SMEs) and their plants have lower market exit probabilities when they
were exposed to asset purchases during the SMP.
In Paper 4, together with my co-authors, I demonstrate that banks which operate in many
different regulatory regimes, i.e. which have a geographically complex organizational structure,
show higher default risks and are more likely to receive state aid. The results indicate
that a lack of international coordination in financial regulation might result in the unintended
side effect that internationally operating banks increase their risk-taking behavior.
Interrelations and connections across market participants such as bank-firm links, supply
chains, demand factors or peer behavior, form the economy into a complex system. This
poses challenges to empirically assess unintended consequences of policies on banks and
firms. The researcher is faced with a dilemma of more complex empirical modelling, which
can take at least some parts of the relationships between market participants into account but
which is difficult to comprehend, versus simple but very reductive models which might not
be able to capture interconnections because they rely on assumptions such as independently
drawn observations or isolated treatment and control groups. In this thesis, I accommodate
these challenges by choosing empirical strategies which are very much related to a common framework, which is difference-in-differences analysis, but extend it to allow for a more
comprehensive understanding.
The common difference-in-differences model is attractive and very popular due to its
relative simplicity. The researcher compares a treatment group e.g. affected by a policy
change, to a control group over time. However, there are strong assumptions underlying the
difference-in-differences approach, for instance there must not be spillovers from one group
to the other. To ease this assumption, in Paper 2, I extend the empirical model similar to
Berg et al. (2021) and allow for spillover effects across firms which operate in the same region
and industry. The extended version is comparable to previous difference-in-differences
approaches but allows for somewhat more complex modelling to gain insights into potential
biases due to spillovers. In Paper 1, we also adapt the common difference-in-differences
framework to allow for time-varying differential effects to assess whether differential effects
decay over time. This approach is in particular suitable for our empirical setting as we conjecture
in this analysis that differences between treated and control group vanish over time.
In Paper 4 we make the complexity of organizations the topic of research itself and can see
that geographical complexity can lead to higher default risks.
In this thesis I emphasize the causal identification of effects of policy shocks on banks
and firms. This approach might suffer from taking little account of external validity. The
price of a stringent causal analysis can be that the finding only holds for a sub-sample of
firms. In Paper 1, we focus on the Norwegian economy, which might be a special case
with its prolonged house price growth and its dependency on the oil market, among others.
We try to provide generalizable arguments by adding a theoretical model from which we
derive predictions. For instance, we learn that banks extend firm lending only if firm risk
is sufficiently low. It might well be that in other countries firm risk is higher, and therefore
the impact of the covered bond market on bank lending is different. In Paper 2, I restrict the
sample of firms to SMEs which only have one bank. On the one hand, this allows me to draw
conclusions on the group of firms which are highly innovative and important for the German
economy - SMEs. On the other hand, it limits the informative value when judging on the
whole economy including also larger firms. However, the results on SMEs’ behavior might
be generalizable to other Western countries as long as the context in which firms operate is
comparable. In Paper 4 we include almost all large European banks in the analysis which
has the advantage that results apply to a wider setting. Nevertheless, in this set up we do not
claim to find causal effects and restrict ourselves to a descriptive analysis. Conclusions drawn from assessing side effects should also take into account the intended
effects of policy measures and whether these succeeded. Concerning the introduction of
covered bond markets in Norway, the intention was to create a market for safe assets, i.e.
assets which are low in risk and money-like. As a consequence, balance sheet liquidity
of banks increased and therefore liquidity risks were lowered. The side effect that banks
extend lending to firms while still becoming more stable institutions seems to be a positive
effect to the Norwegian economy. Concerning the main and side effects of asset purchases
during the sovereign debt crisis, we must note that for instance the SMP was very successful
in achieving its main goal of lowering government bond yields (e.g. Gibson et al., 2016;
Eser and Schwaab, 2016; Ghysels et al., 2016) and therefore in preventing a collapse of the
Eurozone. Detrimental side effects as this thesis finds, have to be weighed against the success
of the program. Policy makers can learn from this thesis the nature of side effects, such that
they can decide whether they want to accept these, pursue countervailing measures, or take
them into account when considering to set up similar programs at other times
Essays in financial economics
Full text linkBanks play a special role in the financial system. According to classical banking theory,
they help reduce informational asymmetries and serve as liquidity providers. Banks
can, at least partially, lower transaction costs that result from information frictions
between investors and firms and thereby alleviate firms’ funding constraints (Diamond,
1984). Moreover, banks create liquidity on their balance sheets by financing comparably
illiquid assets with relatively liquid liabilities (Diamond and Dybvig, 1983). Integrating
credit and liquidity provision functions, banks have been the object of numerous studies
on financial intermediation.
A particular focus in recent years has been on banks’ behavior as well as on the con-
sequences of their actions for the real economy when hit by adverse shocks. Following
the global financial crisis, financial shocks that originate from within the financial sec-
tor have received wide attention (Cingano et al., 2016; Chodorow-Reich, 2014; Khwaja
and Mian, 2008; Paravisini, 2008; Paravisini et al., 2015; Schnabl, 2012). However,
banks are also subject to numerous non-financial shocks, which are the focus of this
thesis.
Paper 1 investigates how banks change their credit supply after a shock to the
salience of transition risk that arises from moving to a greener and more sustainable
economy.1 Following an increase in public awareness of firms’ transition risks, financial
market participants may update their prevailing perceptions of these risks and act
accordingly. We show that lending changes in the aftermath of such an event depending
on whether firms can benefit or lose from stricter environmental regulations as well as on
the ex-ante stringency of the regulatory landscape the borrowers operate in. Stringency
proxies for heterogeneous expectations about future environmental regulation across
countries as well as the materiality of the financial risks (benefits) that firms are exposed
to (Carbone et al., 2021; Ehlers et al., 2021; Krueger et al., 2020). Only in countries in
which existing environmental regulations are relatively stringent, banks supply more
1For a detailed definition of transition risk, see Basel Committee on Banking Supervision (2021). funding to firms that will benefit from them. Conversely, firms that are likely hurt by
regulation receive more credit if located in less stringent environments or if linked to
banks with a portfolio tilted toward lending to negatively impacted firms. Thus, the
effect of transition risk on banks’ lending depends on the interaction of how firms will
be affected by regulation, the existing regulatory landscape the firms operate in, and
banks’ own exposure to firms’ regulatory risks via their loan portfolios.
Paper 2 studies how banks’ management of transition risk interacts with corporate
loan securitization. After a political event that lowered the risk of new environmental
policies being introduced, we find that banks alter the securitization of loans granted
to firms that exhibit higher transition risks. While these loans were more likely to be
sold off before, they become more likely to remain on banks’ balance sheets after the
shock. This effect is more pronounced if banks impose covenants in the loan contract.
This could suggest that banks consider that political circumstances may change in the
future altering the performance of these loans. Evaluating which banks engage in lower
securitization of higher transition risk loans, we identify that it is, in particular, banks
that have low or no preferences for sustainable lending as well as domestic lenders that
are likely to respond more strongly to local political events.
Papers 1 and 2, thus, contribute to the discussion on the role of banks in the transi-
tion toward a greener and more sustainable economy. Banks are seen as critical for this
process given their central position in allocating resources through their intermediation
function as well as their ability to impose costs via quantity and price adjustments. Pa-
per 1 sheds light on whether and how banks account for transition risk in their lending
decisions. Paper 2 highlights an alternative channel of how banks manage transition
risk, i.e. securitization. This channel is of relevance as banks may be limited in their
willingness to account for transition risk in their lending terms and securitization mar-
kets are of very large sizes. Moreover, it is crucial for regulators and supervisors to
know, who in the financial system ultimately carries the risk. This knowledge is a pre-
condition for designing appropriate policies to address climate-related risks to financial
stability. Both papers have in common that they draw attention to how different bank
characteristics influence the management of transition risk. A finding that should be
taken into consideration when future regulatory actions are mapped out.
Moving away from shocks in the context of the green transition, Paper 3 analyses
how banks adjust lending in response to the dismantling of trade barriers. Increased im-
port competition adversely affects non-financial corporations (e.g., Autor et al., 2013)
and subsequently feeds through to banks via their lending relationships. This work shows that banks reduce lending the more they are affected by the liberalization of
trade. Importantly, it uncovers large heterogeneity in banks’ reactions depending on
their sectoral specialization. Banks shield the industries in which they specialize. While
I find evidence that banks’ reductions in credit in response to the trade shock have ad-
verse real effects, lending specialization dampens the negative impact on firm outcomes.
These findings provide valuable input for accounting the gains from trade liberalization
and therefore allow for a more informed design of such policies. Moreover, they shed
light on the complex implications of lending specialization.
All three papers use the same data as their main foundation: syndicated loan data
provided by Thomson Reuters LPC’s DealScan. This dataset is rich enough to answer
pressing questions in the fields of corporate finance and banking. In combination with
its commercial availability, it has therefore been employed by a whole array of highly
influential papers. They explore fundamental topics such as asymmetric information
and loan pricing (Ivashina, 2009; Sufi, 2007), the nature and determinants of rela-
tionship lending (Bharath et al., 2011; Schwert, 2018), as well as the effect of credit
market shocks on firm outcomes (Chodorow-Reich, 2014; Correa et al., 2021). A key
feature of the usage of this database is the multitude of options to define sample and
lending outcomes. This feature does not only leave the researcher with a large degree
of discretion regarding which option to take but also raises many questions on how to
make appropriate sampling and definition decisions.
Therefore, Paper 4 scrutinizes the results of an established empirical setting across
a variety of DealScan specifications, which we identified to be the most commonly
used in the literature. The results paint a somewhat positive picture. Estimates are
robust across many choices while we highlight modifications that appear to be especially
relevant for the conclusions drawn. In this vein, this study corroborates the sampling
choices made in Papers 1 to 3 but also provides insights to other researchers on how
specific data decisions might affect coefficient estimates as well as presents structured
guidance on possible scrutiny tests
Variations on the Author
Full text link“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
Full text linkWe 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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