Institut für Financial Management

Permanent URI for this collection

https://hohpublica.uni-hohenheim.de/handle/123456789/23

Browse

Now showing 1 - 20 of 37

Entscheidungsorientierte Bewertung zur Preisobergrenzenbestimmung von Sponsoringengagements
(2023) Brian, Kevin; Troßmann, Ernst
Sponsoringengegaments sind ein weit verbreitetes Kommunikationsinstrument, mit denen eine ganze Reihe spezifischer betrieblicher Zielsetzungen in Verbindung gebracht werden. Die Anzahl und die hierarchische Struktur der identifizierten Ziele nehmen entscheidenden Einfluss auf die Zweckmäßigkeit der Bewertungsmethodik. Überlegungen zu dieser Hierarchie unter Berücksichtigung des sich im Planungsprozess entwickelnden Informationsstandes führen in der vorliegenden Arbeit zu einer Trennung der methodischen Behandlung der Bewertung zur Auswahlentscheidung aus mehreren Sponsoringalternativen und der Bewertung zur Durchführungsentscheidung, an deren Ende ein monetärer Wert als Preisgrenze steht. Im Rahmen der Auswahlentscheidung wird ein multikriterieller Bewertungsansatz ausgestaltet, der methodisch dem Konzept der Nutzwertanalyse folgt. Mit dem Ergebnis der Auswahlentscheidung als Ausgangspunkt, werden die Konsequenzen der Entscheidung monetarisiert, um – dem Kapitalwertkalkül folgend – die finanzielle Vorteilhaftigkeit in einem Simulationsmodell als Basis der Durchführungsentscheidung berechnen zu können.
Sovereign and bank risk : contagion, policy uncertainty and interest rates
(2024) Bales, Stephan; Burghof, Hans-Peter
This dissertation addresses the dependence between sovereign and bank default risk and the importance of policy uncertainty and interest rates for this nexus. To this end, the thesis includes four self-contained but interrelated studies with different methodological approaches. The first paper sheds light on the cross-country contagion of sovereign and bank default risk between 2009 and 2021 to assess the introduction of the European Banking Union in 2014. Based on Credit Default Swap premia of systemically important banks in the 10 largest eurozone countries, the estimated network structures provide evidence that the introduction of the Single Supervisory Mechanism, as part of the European Banking Union, has been effective in reducing overall financial contagion in the short run (up to 1 month). In the long run, the risk dependence is still very pronounced. Nevertheless, a shock in sovereign or bank risk is less severely transmitted to other eurozone countries after 2014, indicated by lower volatility spillovers. Thus, the Banking Union supports financial stability by weakening the strength of dependence rather than eliminating the dependence itself. The second study takes a closer look at the domestic dependence between sovereign and bank risk in 14 countries. The estimation of dynamic conditional correlations indicates that the dependence is significantly higher in euro member states. This reveals a systematic eurozone risk factor mainly rooted in the home bias of domestic sovereign bond holdings of eurozone banks. Moreover, fixed-effect panel regressions indicate that the sovereign-bank correlation increases in times of great policy uncertainty, high interbank market rates, low bank lending margins, and a low ratio of core bank capital. Economically, banks with a low level of core equity capital are less capable of withstanding shocks to their balance sheets, which spills over to the state and results in higher risk dependence. In addition, banks charge each other higher rates for short-term lending during times of financial distress. In this way, bank liquidity issues and lending aversion in the interbank market are passed on to other banks and ultimately to the sovereign. Overall, the second study emphasizes the importance of bank capital adequacy regulations and joint European policies to mitigate domestic sovereign-bank dependencies. The third study extends prior results and examines the impact of economic policy uncertainty (EPU) on the sovereign-bank nexus by introducing a continuous wavelet time domain. This setting allows to derive causal lead-lag relationships for each point in time. The assessment of the lead-lag relationships in 10 countries shows that a higher level of sovereign default risk leads to an increase in bank risk in the short horizon. In the medium run (6-32 months), the relationship reverses and the default risk of banks determines sovereign risk. Once the influence of policy uncertainty on sovereign and bank risk is eliminated, the partial coherency shows that the sovereign-bank dependence significantly weakens. This reveals the great relevance of political risk factors for the sovereign-bank nexus. The final study addresses the impact of different sources of uncertainty. Besides newspaper-based economic policy uncertainty, the study employs the implied volatility of options written on the S&P500 and a Twitter-based uncertainty index. Based on stock returns of the 22 largest U.S. banks, the computation of principal components, Granger causality, and volatility spillover provides evidence that EPU and Twitter-based uncertainty capture different sources of investor perception in the very short horizon (up to 1 week). Twitter captures consumer uncertainty more appropriately in the short run than newspapers, which usually have a delay in responding to news due to editorial processes. In addition, the study reveals that the impact of uncertainty is considerably stronger for banks with a high ratio of loans to total assets and a large ratio of derivatives to total bank assets. Moreover, banks with a greater loan ratio face a higher level of credit risk. Assuming that bank risk can be transmitted to the state through the sovereign-bank nexus, the results emphasize the importance of differentiating between the sources of uncertainty to evaluate its implications for financial stability. The findings also highlight the increasing importance of social media for the financial markets.
Empirical essays on agency problems in venture capital
(2023) Koenig, Lukas; Burghof, Hans-Peter
In the first essay, we explore the potential agency conflict between limited partners and general partners in venture capital firms due to changes in investment style. Investment style refers to the characteristics of a venture capital funds portfolio, such as the portfolio companies stage of development, location, and industry. While investment style can significantly impact the risk and return profile of a fund, it is usually not explicitly agreed upon by limited and general partners. We argue that changes in investment style, known as style drifts, can reveal information about the risk-taking behavior of venture capitalists and present empirical evidence in support of this claim. To determine whether style drifts constitute an agency conflict, we consider two sets of hypotheses. The first set posits that style drifts are intentional decisions to take on more risk, potentially driven by incentives related to compensation or employment. The second set suggests that style drifts may occur because of competitive pressure and may not necessarily be indicative of an intent to increase risk. Our findings suggest that style drifts are likely to create an agency conflict, as the evidence supports the hypothesis that well-performing venture capitalists increase investment risk to benefit from higher compensation potential via carried interest when they feel confident, they will be able to raise a follow-on fund securing their base income via management fees. Additionally, we examine the impact of style drifts on individual investments and fund performance and find that overall, style drifts hurt a funds exit rate, indicating the potential for increased risk. In the second essay, we examine the relationship between venture capitalists and entrepreneurs, specifically focusing on the role of information asymmetry in the funding process. Using text classification and text mining techniques we analyze the content and level of detail in capital allocation plans provided by entrepreneurs to investors, which serve as a proxy for private informational updates that are typically not widely available. Our analysis shows that investors do consider the content and specificity of these updates when making valuation decisions and that both positive information signals and more detailed information are related to higher valuations. We also investigate the effect of the relative level of information asymmetry between venture capitalists and entrepreneurs on the value of these updates, finding that they are more impactful in situations where there is a higher level of information asymmetry. The results of our study have practical implications for entrepreneurs, as we find that the negative impact of negative information signals can be offset by providing highly specific information and that the value of an informational update is influenced by the existing level of information asymmetry. In the third essay, I explore the impact of university affiliations on the initial matching process between venture capitalists and founders, the involvement of the investor during the funding relationship, and the eventual startup performance and investment exit success. University affiliations can influence the funding relationship through two channels: first, attending a top university may serve as a signal of founder quality to venture capitalists, helping them to avoid adverse selection; second, shared alumni networks may establish trust and reduce information asymmetry between otherwise unknown individuals. Using a dataset of 42,101 investments involving 38,452 unique venture capitalists and founders, I find that educational ties between venture capitalists and founders have a positive effect on the funding relationship, including the initial matching, the level of involvement of the investor during the funding relationship, and the eventual startup performance and investment exit success. The effect of sharing an educational background between a venture capitalist and a founder is about five times larger than the effect of a founder attending a top university. Further, the results also show that educational ties are more valuable the more exclusive they are, and that redundant ties between the founding team and the investors have diminishing value for the investment decision.
Institutions, contracts, and regulation of housing financing
(2023) Braun, Julia; Burghof, Hans-Peter
The real estate market and, more specifically, the housing market is one of the most important markets of an economy. It impacts public health, influences social relations and crime, triggers other’s sector growth, and thus affects the prosperity of an economy. The close interconnectedness between economic sectors creates mutual dependencies and spillover effects from one market to another. Due to this, a stable and resistant housing market is in common public, economic, and political interest. The prediction of the development of the housing market, however, is highly challenging as it displays several individual features. One is its high capital intensity. What drives housing investment is sustainable access to housing financing. As sufficient funding is a precondition for acquiring residential property, mortgage lending institutions play a decisive role in the housing market. They enable home seekers to become homeowners and, at the same time, decide by whom and when a residential property can be bought. Furthermore, they influence housing prices. By either granting loans or rejecting applicants and conducting other business, the demand for dwellings is influenced which affects prices. This was clearly evidenced by the latest financial crisis. A second special feature of the housing market is its distinct heterogeneity. From various perspectives, housing is, above all, particularly individual. Dwellings must meet individual circumstances, habits, and preferences. Furthermore, they need to fit into geographical or political circumstances. To meet these individual needs, some financial systems are quite diverse, consisting of manifold types of financial intermediaries that offer several products to finance a residential property. Others are rather uniform, characterized mainly by privately organized institutions, focused on common banking business. This dissertation investigates the impact of different types of financial institutions, financial contracts, and financial regulation on the housing market. The first part investigates whether various lending practices of different types of financial institutions affect housing market cycles differently. We develop a heterogeneous agent-based model that mimics a real-world housing market, consisting of potential home buyers and sellers who trade residential property. Financial intermediaries finance residential property and, therefore, mainly determine whether housing investment can be realized. We create a heterogeneous financial market with special emphasis on two institutional bank types: conventional banks (CBs) and building and loan associations (BLs). Especially in Germany and continental Europe, both serve the mortgage lending market while BLs constitute a peculiar but essential real estate financier. In our research, BLs represent an example of specialized financial intermediaries. Contrasting the mortgage granting decisions of the two bank types that arise out of varying business models and specialized institutional regulations, we find that CBs exercise procyclic mortgage lending that exacerbates prevailing up- or downturns in the housing market. Using BLs’ core product, contractual saving for housing (CSH), they put less emphasis on collateral values. Instead, they use information out of relationship lending which leads to less pronounced market cycles and more stable housing prices. Computational experiments reveal that a heterogeneous financial market, consisting of both CBs and BLs creates the most stable housing market and, at the same time, provides homeownership for a larger share of the economy. As the first part of the dissertation suggests a diversified financial market with differing institutional features and heterogeneous product landscapes to stabilize the housing market and diminish the risk of crises, the second part extends the research scope to embrace regulatory environments. I introduce an extended heterogeneous agent-based model of a housing and a financial market to assess whether it is reasonable to impose homogenous regulatory requirements for heterogeneous financial institutions out of the perspective of housing, capital, and financial market stability. In addition to the real estate market, where potential buyers and sellers can trade dwellings, I model a capital market on which banks can trade a standardized share portfolio that depicts alternative investment opportunities for financial institutions. If banks engage in risky business which is either to finance housing investments or trading shares, Basel III requires them to hold a specified amount of equity. Banks’ business activities are thus restricted by the prevailing capital adequacy requirements (CAR). Via computational experiments, I introduce a heterogeneous regulation in terms of different levels of CAR for a special type of financial intermediary, BLs, while CAR for CBs are held fixed. The results provide evidence that imposing CAR on banks is effective in increasing market stability and the resilience of the banking sector. The obligation to meet CAR restricts risky business activities and increases banks loss absorbency capacity. However, stability is not only a monotonic function of capital. Elevating CAR for BLs worsens stability measures and banking soundness. The study reveals that the institutional type of BLs and their special regulation imposes a risk-mitigating and stabilizing effect on the housing, the capital, and the financial market which can be intensified if CAR are aligned to their individual business model. These findings advocate in favor of heterogeneous CAR that shape market structures and create most stable market conditions. The third part of this dissertation investigates a special component of the current regulatory requirements of Basel III, the countercyclical capital buffer (CCyB). The macroprudential tool strives to counteract the issue of procyclicality of the previous regulatory rules. Conducting computational experiments in an artificial market setting, we examine the macroeconomic performance of the CCyB by evaluating the dynamics of key stability indicators of the housing and the financial market. Under four different scenarios, an undisturbed market, a financial shock scenario, a positive housing demand shock scenario, and in times of a housing bubble, we test whether the macroprudential tool meets its regulatory goals. Doing this, we find that, in general, the CCyB performs well in stabilizing the housing and the financial market in all of the tested market settings. It is not able, however, to prevent any of the simulated crises to occur. Furthermore, its effectiveness depends on the magnitude of the shock and on how much buffer has been built up by banks in the previous periods. A CCyB introduced at the wrong time might even affect market conditions procyclically. As the introduction of a CCyB is currently discussed in different countries, this study contributes to current regulatory issues and provides valuable insights. With its three parts, this dissertation provides new insights into the relationship between financial and housing markets. Incorporating the special features of the housing market, it reveals the merits of a diversified financial market and the existence of specialized financial institutions and heterogeneous financial products. Furthermore, the results argue in favor of a heterogeneous regulation. Additionally, it provides information about the effectiveness of a currently discussed regulatory component, the CCyB. Hereby, this dissertation contributes to existing literature and has important implications for the design of financial markets and regulatory capital requirements in order to stabilize one of the most important markets of an economy, the housing market.
A computational study on the effects of the organizational structures on the risk of different types of banking groups
(2023) Jamshidisafari, Saeed; Burghof, Hans-Peter
In this dissertation, two theoretical models are used to compare centralized and decentralized banking structures. In the first approach, the problem for both banks is to choose an expansive or restrictive credit policy without having complete knowledge of the state of the overall and local economies. Observing and appraising verifiable information (hard information) is the benefit of the centralized banks, whereas considering unverifiable information (soft information) about the local economies, so-called soft signals, is the important asset of the decentralized banks. To compare two banking systems, the risk-return trade-off method is used to determine which type of banking system might have better performance. Although the overestimation of the local economy may have a negative impact, this soft signal has a quite positive impact on risk measures in general. As a result, decentralized bank managers are better at detecting bad loans in their banks. In addition, because small banks have less bureaucracy, the borrower can obtain credit more effortlessly and swiftly. In the second approach, a theoretical bank run model based on Chari and Jagannathan (1988) is developed by implementing a cheap talk game to compare banking structures during bank shocks when managers communicate strategically with depositors to prevent non-efficient bank runs. These two banks behaved considerably differently in the local economy, and this issue is directly tied to regional culture. The limitation of punishment in the legal system incentivizes the management system in centralized banks at some point to be cunning. Consequently, based on the modified model, the higher the punishment or the lower the salary, the less likely the manager is to be persuaded to lie. On the other hand, in small banks, trust and soft information between bank management and depositors protect inefficient bank runs. A decentralized banking system can improve the financial systems credibility by mitigating undesirable shocks during times of crisis. Hence, having decentralized banks in the banking structure increases the depositors’ welfare.
Zur Methodik entscheidungslogisch korrekter Wirtschaftlichkeitsuntersuchungen der öffentlichen Hand
(2023) Mayer, Mark Alexander; Troßmann, Ernst
For the public sector, the principle of economic efficiency must be considered when making investment decisions. It has been shown that public investments affect a variety of objectives. In contrast to private decision makers, the public sector must not solely consider financial objectives. To comply with the principle of economic efficiency as an adequate basis for decision making, economic studies must take into account these diverse objectives of public investments. The published Guidelines, ordinances, and laws on economic analysis do not meet this requirement, nor do economic cost-benefit-analyses. To develop a decision-logical methodology for economic analysis a distinction is made between choice decisions that relate to alternative projects and program decisions that relate to alternative project bundles (programs). The financial objective is interpreted in a special way: it is seen as an opportunistic objective. Rather than an origin benefit, it represents the missing or additional benefit of a displaced or additional investment. This relationship is made explicit in investment program decisions. In choice decisions it must be estimated. A utility analytical approach is used to solve the decision problem on choice decisions. Therefore, nonfinancial objectives are processed directly, while the financial objective is processed by an isolated dynamic investment model. To enable a consistent consideration of temporally differentiated effects, a decision-logically design of a dynamic utility analysis was developed. To consider the financial objective, an investment model was chosen that adequately captures comprehensive effects of investment activity on the financial situation of the public decision making unit: the generalized market interest method according to Troßmann. First, it was made usable for public investments. Then the method was adapted, so it can use different reference points in time. This enables a differentiation of the planning period, which can be used to build appropriate models in the case of long-term investments. Because alternative approaches for integrating the financial and the nonfinancial objectives in one utility analysis are not acceptable, only an omni criterial dynamic utility analysis can be recommended for making public choice decisions. In its basic structure, linear programming models are used for public program decisions. The target function maximizes the utility indicator, which is created using a dynamic utility analysis. The constraints ensure that for all periods investment budgets are complied with. The model was designed to support decisions about the beginning of the project, which on the one hand better corresponds to the practice of medium-term budget planning and on the other hand significantly increases the possibilities in the composition of the optimal investment program even within tight financial budgets. Various implementation conditions require the use of a mixed integer planning model, for which it was shown that an optimal solution can be found after a short computation time even for very extensive models. All in all, this results in two decision-logical modelling proposals for investment decisions in the public sector, which were illustrated by a comprehensive case study. If cleverly combined, they can also be used to deal with the entire investment planning task in the public sector. Combining these well-known methods in business administration into a fundamentally new approach offers starting points for further research. The next step towards results, that are utilizable would be the integration of uncertainty.
Lernsoftware für Operations-Research-Methoden – Konzeption von Software für die spezifischen Anforderungen des Selbstlernens von Methoden des Operations Research
(2022) Winterholer, Günter; Kleine, Andreas
Digital learning formats and environments play an increasingly important role, both as a supplement to and a substitute for traditional forms of teaching. The Corona pandemic is accelerating this process to a far-reaching extent, particularly in the field of teaching. The development of digital learning arrangements is often oriented towards mainly technological aspects, neglecting didactic approaches and developments. However, it is precisely these that make a significant contribution to the learning process and the desired learning outcome. This also applies to teaching in the field of Operations Research (OR), the core of which is, among other things, the use of quantitative methods to solve economic problems. The teaching of methods in this area involves numerous learning requirements and special features that must also be taken into account when developing digital forms of learning. Considering this fact, the aim of this thesis is to design a concept for the development of a learning software for the methodology of Operations Research on the basis of learning theory findings and suitable didactic models. For this purpose, an introduction to the field of OR is given first. After considering the development over time and the basic approach of OR, the focus is on the modeling and solution methods of this field, followed by a common classification of OR methods. In order to work out the specifics of OR methods as a learning object, common learning requirements of individual method classes are considered. In addition, a comparison of typical learning requirements of selected OR methods is provided. For more detailed consideration, Dikin’s interior point method is selected for exemplary analysis and described in terms of its approach and the resulting learning requirements. This is followed by explaining the idea of using educational software for learning OR methods. Also, the choice of the mentioned method is justified. For the pedagogical-didactic foundation of the conception of learning software, an overview of the most important learning theories and the basic didactical models is given. The field of media didactics with the transfer of general pedagogical-didactic basics to media forms of learning is considered separately. Since learning software is to be seen as a form of e-learning, an introduction to this area is given. The concept of learning software comes to the fore in order to be able to deal with its various ideal-typical manifestations and characteristic features. General criteria for the suitability of e-learning are presented and analyzed with regard to the use case of OR methods. To this end, the special significance of learning software in the design of e-learning applications is also highlighted. Since the core of this thesis is the development of an learning software didactics for Dikin’s interior point method chosen as a demonstration example, general principles for the design of an educational software, starting with the idea and the original model of instructional design by Gagné, are given first. This is followed by a consideration and investigation of selected situationist models in order to derive conclusions for the concrete software design in the given case. In addition, conclusions for the design of an educational software for the chosen method are drawn from the respective learning requirements. These are then incorporated into the development of the basic didactic structure, which follows Kerres’ 3-2-1 model of didactic elements. The didactic design of the learning software is worked out in detail. Special attention is paid to interactivity and flow control in the learning software. The benefits of different forms of interaction for the learning progress and the learning goal as well as the possibilities to design individual learning paths are considered. Furthermore, the ways in which learning software can influence learner motivation are discussed and corresponding findings are incorporated into the implementation. Thus, in this thesis it is shown that learning software for the methodology of the OR can also be conceptualized under consideration of learning theory insights and corresponding didactic models. In a further step, the opportunities and challenges of learning software, especially in the methodology of the OR, which is the focus of this work, are examined. Tasks, goals and forms of evaluation are shown, quality criteria for multimedia learning and information systems are defined and current methods and models of evaluation are considered. Based on this, on the one hand, the limitations of digital forms of learning with a special focus on their use in methodology and, on the other hand, the resulting computer didactic potentials are identified and described. Finally, an outlook on future developments of specific learning software for Operations Research methods is given.
Empirical essays on initial public offerings
(2022) Reiff, Annika; Tykvová, Tereza
This dissertation builds on and extends previous IPO literature by analyzing unresolved questions with regard to the phenomenon of IPO withdrawals and the effect of IPOs on industry rivals. After a short introductory chapter, chapter 2 contributes to the analysis of IPO withdrawal by taking a data-driven and forward-looking perspective. In particular, it applies two machine learning methods, namely lasso and random forest, to predict IPO withdrawal and compares the performance of both models to the performance of a logistic regression model. Results show that random forest predicts IPO withdrawal quite well and outperforms lasso and logit with regard to in-sample prediction and cross-sectional out-of-sample prediction. However, all models fail substantially when trying to predict future IPO withdrawal. One explanation for this puzzling finding is the presence of concept drift – a change in the relationship between the predictors and IPO withdrawal over time. Further, the study contributes to the clarification of the question of which variables are most important to predict IPO withdrawal by exploiting certain features of the machine learning methods and considering a vast selection of different predictors. Market characteristics at filing seem to be the most important variables for prediction in all models, while corporate governance and intermediary characteristics seem to be less important. Closely related to the second chapter, the third chapter takes a more theory-based perspective on IPO withdrawal. This chapter is co-authored with Tereza Tykvová and a reviewed version is published in the Journal of Corporate Finance. It addresses the question whether certain factors, particularly high-quality corporate governance and VC backing, may serve as signals for investors and can thus reduce the withdrawal probability, especially in risky market environments. The latter argument is based on the assumption that investors are especially careful in these situations and thus signals might be especially meaningful. Results from an interaction-term analysis suggest that corporate governance characteristics, like large and experienced boards, are indeed able to reduce the withdrawal probability in highly volatile markets. However, this finding does not hold true for VC backing per se. We therefore delve deeper into the effect of VCs by distinguishing three VC characteristics: syndicated vs. stand-alone VCs, domestic vs. foreign VCs, and VCs with high vs. low reputation. The analysis reveals that local VCs and VC syndication tend to reduce the withdrawal probability, particularly in highly volatile markets, which supports the signaling explanation. In contrast, the withdrawal probability for firms backed by reputable VCs tend to be lower only in less volatile and not in highly volatile markets. One explanation for this finding could be that these firms rather follow a dual-track strategy or postpone the IPO more likely in highly volatile markets than in less volatile markets. Chapter 4 moves away from IPO withdrawals towards the consideration of intra-industry effects of IPOs. Irrespective of the question of whether to withdraw or complete an IPO after filing, an IPO filing might influence its industry rivals. In order to analyze the mechanisms behind the effects of IPO filings on industry rivals more closely, I apply a new two-step-methodology which consists of an event study in the first step and a Difference-in-Difference analysis in the second step. This methodology allows to separately test for the existence of a competition and an information effect. The rationale of the competition effect is that by going public, firms gain some kind of competitive advantage over their industry rivals thereby increasing the competitive pressure in the industry and harm their rivals. The idea behind the information effect is that an IPO filing does not only deliver information about the IPO firm but about also about the industry in which it operates. In this connection, the information effect could either induce positive (by signaling good growth prospects) or negative (by foreshadowing future negative industry trends or revealing that the industry is overvalued) valuation effects on industry rivals. Results provide evidence for the existence of the competition effect, suggesting that IPO filings tend to harm industry rivals to a certain extent. In contrast, results do not provide sufficient evidence for the existence of the information effect. However, the lack of evidence for an aggregate information effect could also be the result of a positive effect on some but a negative effect on other rival firms which cancel each other out. Finally, chapter 5 concludes with a summary and provides and outlook for future research in the field of IPOs.
Entscheidungsorientierte Bewertung von Alternativen in Verhandlungsprozessen
(2022) Heinle, Timo; Troßmann, Ernst
Negotiations take place within and between all possible types of businesses. They not only shape private and public households, but they are also an elementary component in everyday business life. The main focus is on negotiations in make-to-order-production that take place between two companies. In the case of make-to-order-production the project character is important, which is reflected on the one hand in the high level of customer-related service specifications, and on the other hand in the low standardization of the drafting of contracts. To be able to draft the contracts, more or less extensive negotiations between the contracting parties, in which an attempt is made to reach an agreement on the relevant subjects of the negotiation, are usual. At different points in the negotiation process the negotiating parties must make a large number of decisions. If in such cases the negotiators only focus on the outcome of the negotiations, there is a risk of protracted negotiations with high costs. Such an approach is not compatible with a conventional operational target system. When considering the negotiation costs, it may be preferable to accept an allegedly worse offer in order to avoid further rounds of negotiations and the associated costs. Negotiation decisions, depending on the time the decision is made, can be characterized by a multitude of different alternatives. In any event, before a negotiation begins, it must be decided whether entering into a negotiation rather than the renunciation of a common agreement is preferable. If the negotiating parties are already negotiating, a decision on whether to accept or reject an existing offer is imperative. Breaking off a negotiation and the subsequent failure to reach an agreement is an alternative that regularly exists up until shortly before a contract is agreed on. To be able to make a choice, a decision-oriented valuation of alternatives in negotiation processes is necessary. The methodological apparatus designed in this dissertation enables a decision-oriented valuation of negotiation alternatives by the supplier in make-to-order-production. This allows negotiators to check at any time during a negotiation whether the intended negotiation alternative is the most appropriate or whether another negotiation alternative is relatively advantageous due to updated environmental conditions and updated levels of information.
Investor beliefs and their impact on financial markets
(2021) Hartmann, Carolin; Burghof, Hans-Peter
The idea of this thesis is to use new data sources to approximate investor beliefs. It investigates whether the approximation improves the measurement of return and volatility in existing model frameworks. The findings are that differences in implied volatility, Google Search volume and Twitter Volume can be proxy variables for investor beliefs. They have an impact on financial market indicators and on the prediction of future market movements. Comparison of the trading behaviour of individual and institutional investors to predict market movements The first approach is to create a new sentiment index which compares the difference between retail investor behaviour at the Stuttgart Stock Exchange (SSE) and professional investors at the Frankfurt Stock Exchange (FSE). The measure is a comparison between the implied volatility measures for the DAX at the FSE (VDAX and VDAX-NEW) and a newly created implied volatility index (VSSE) for the SSE. The sentiment index is significant in predicting the daily returns on a size-based long-short portfolio over a four-year period. The analysis shows the persistent inconsistence between prices of structured products for retail investors on the SSE and option prices of professional investors on the FSE. The results provide empirical evidence that there are significant persistent behavioural differences between the two investor types which is reflected in persistent mispricing. Measurability of investor beliefs and their impact on financial markets The second approach is to measure individual investor beliefs with Google search volume (GSV) and Twitter volume (TV) to analyse their impact on financial markets. The basis is a daily panel of 29 Dow Jones Industrial average index (DJIA) stocks over a time period of 3.5 years in a panel data set-up. The impact on trading activity measured by turnover, is positive for GSV and TV on the same day and the next day which indicates their predictive power. The impact on realized volatility (RV), indicating the share of noise traders on the market, is only positive and significant for TV. It is significant on the same day and the next day. The impact of GSV is not significant. The results support the idea that GSV and TV capture the beliefs of individual investors. Although they suggest that the impact of TV on financial markets is more important than the impact of GSV. Predictive power of Google and Twitter The third approach is to use GSV and TV as a proxy for investor attention and investor sentiment, to assess their predictive power on the RV of the DJIA. The basis is a time-series set-up with a vector autoregression (VAR) model over a period of 2.5 years. The findings show that GSV and TV granger cause RV, controlling for macroeconomic and financial factors. Again, the effect of TV on RV is more important than the effect of GSV. In-sample, the linear prediction model with GSV and TV outperforms a standard AR (1) process. Out-of-sample the AR (1) process outperforms the standard model with GSV and TV. Clustering for high and low volatility groups, the analysis shows that the effect of GSV and TV on RV changes. Especially in times of high and low RV, GSV and TV seem to contain new information, as they improve the model fit compared to a standard AR (1) process. However, the results are not persistent in- and out-of-sample. This underlines that the results of GSV and TV are not generally persistent but depend on the selected criteria. Overall, the results of this thesis show that investor beliefs have an impact on financial markets. The measures, such as a sentiment index based on implied volatility, GSV and TV are proxy variables for investor beliefs. Future research should further improve the comprehension of investor beliefs to improve causality and economic significance in the long term.
The effect of central counterparties on counterparty risk, liquidity and systemic risk of Over-the-Counter markets
(2020) Schönemann, Gregor H.; Gehde-Trapp, Monika
The introduction of central clearing on formerly bilaterally cleared derivatives markets has been one of the biggest changes in the landscape of financial markets during the last decade. The studies in this thesis examine this landmark in financial markets regulation by analyzing its effect on three relevant areas of financial market stability: counterparty risk, market liquidity and systemic risk. The studies in this dissertation examine the effect of central clearing on these three areas empirically on the market for Credit Default Swaps (CDS) by using data from the Depository Trust & Clearing Corporation (DTCC). The results show that the option to clear trades with an arguably very creditworthy Central Clearing Counterparty (CCP) leads to varying effects depending on the risk profile of the CDS contracts. In chapter 2, we show that the introduction of central clearing decreases the netting efficiency of CDS contracts and leads to a higher fragmentation of CDS positions. This negative effect is concentrated in CDS contracts that were relatively efficiently netted in bilateral markets. The netting efficiency of ex-ante less efficiently netted CDS contracts, however, is not decreased by the introduction of central clearing. In chapter 3, I use a regression discontinuity design to show that central clearing affects market liquidity of CDS contracts positively. This effect, however, is concentrated in CDS contracts with high fundamental risk and high liquidity risk. Furthermore, I show that the positive liquidity effect can be explained by a lower sensitivity of market liquidity to counterparty risk and lower regulatory costs. In chapter 4, we use different time series techniques in order to show that the default dependencies among the dominant CDS market participants decrease with the introduction of central clearing. All in all, the results show the potentially stabilizing effect of CCPs on the financial market architecture of derivatives markets. However, this effect depends on the contracts that are made eligible for central clearing by CCPs. High-risk contracts exhibit by far the highest benefits from the central clearing option. For CCPs, however, low-risk contracts of high liquidity and high trading volumes may be most attractive to make eligible for central clearing as they maximize revenues and minimize risk management costs. This shows the conflict between regulators and regulated entities and the necessity of bespoke financial markets regulation.
Financial development and its effects on the structure of banking systems, economic growth, and inequality
(2022) Gehrung, Marcel; Burghof, Hans-Peter
Besides the well-known factors for economic growth and income inequality such as globalization, technological progress, demographic change, or human capital acquisition, financial development is often overlooked. This dissertation uses the case of the Single Banking License on the harmonized European Financial Market to show how financial liberalization and the abolishment of financing constraints improve economic growth and closes the gap between top and bottom income shares in the European Union. In the second part of the thesis, with the use of a worldwide data set, we show that the actual access to financial services through a widespread network of bank branches and ATM machines is one of the major channels through which financial development affects economic growth and inequality. These two examples argue in favor of the supply-leading hypothesis of financial development. The third part of the thesis then gives proof for the demand-following side of financial development. By means of a novel and hand-picked data set of historical contracts for contractual saving for housing (Bausparen) from one of the first building societies in the Weimar Republic, the Gemeinschaft der Freunde Wüstenrot, we show how this new financial product spread geographically across the German Empire and across social classes. The fact that especially the upper lower class and lower middle class used CSH most frequently shows that CSH is a prime example of financial development. Meanwhile, the need for this new form of housing finance stems from an insufficient credit supply of common banks and only little subsidies by the state.
The connection between banking systems and the economy
(2021) Schmidt, Daniel Alexander; Burghof, Hans-Peter
Banks fulfil various tasks within an economy. While the functions of banks are comparable around the world, the banking business organisation and banking systems are not. In addition, the way in which banks conduct their business differs greatly depending on the legal structure of the institute. Given the important role of banks as well as the variety of banking systems and business models, analysing their influence on the economy and on firms is a relevant task of modern research. In this dissertation, I focus on European countries to answer the overall research question: How are banking systems and the economy connected? My contribution to the literature is threefold. (1) I show that the presence of savings banks and co-operative banks improve regional wealth and reduce inequality. (2) Furthermore, my analyses explain how those banking types enhance the performance of local firms, especially small and medium-sized enterprises. Moreover, I evaluate the connection between banking systems and the economy from a different angle. (3) I outline the impact of economic factors on regulatory capital requirements for large banks. The results suggest that banking regulation is not completely politically independent and differs between European states. I show that national economic preconditions change the parameters for banking business within a country. In my first project, my co-authors and I use panel data on regional levels to study the influence of regional banking systems on local wealth and inequality in five European countries. We know from the literature that banks behave differently depending on their characteristics such as the size, the legal form, their business purposes and their internal company structure. As the varying banking forms have different advantages and disadvantages, a diverse banking system should be beneficial. The econometrical analyses demonstrate the positive impact of a multiplex regional banking system on GDP per capita, the unemployment rate and the primary private household income per capita. The results support the insights from the literature and show the positive influence of small regional banks. The outcome suggests that certain banking forms are beneficial in different situations. For example, savings banks especially reduce local unemployment whereas co-operative banks improve regional GDP per capita, and LLCs have a particularly large impact on primary private household income per capita. In the third chapter, I specify the influence of regional banking systems on certain participants of local economies. Local and decentralized banks are better able to analyse soft information. This ability should be of advantage when working with new companies and smaller firms where, for example, the ability of the management is key for the success of such enterprises. The econometrical analyses in this chapter show the strong positive influence of savings banks, co-operative banks and LLCs on SMEs. The evidence suggests that the positive impact of smaller banks is also apparent when observing performance of all firms within a local economy, but is clearer when looking on SMEs in particular. In the fourth chapter, my co-authors and I analyse the connection between financial systems and the economy from a different perspective. Progressing from a regional level of observation, we concentrate on comparing country information. The literature suggests that politicians might be motivated to influence the regulation of financial institutions to the benefit of their respective country or their own re-election. In panel regressions including information from the EBA, bank balance sheet data and economic data, we demonstrate that the processes to identify systemically important institutions within Europe are comparable. Building on this finding, we show that national regulators adjust the equity requirements for such institutions (i.e. O-SIIs) depending on the economic situation of their respective country. Therefore, capital requirements are influenced by factors not necessarily connected to the systemic importance of large banks. This unequal treatment leads to different business environments for otherwise comparable banks, depending on the country in which they are located. This is especially relevant, as the target was to harmonize banking regulation for large institutions in Europe.
Strategic alliances, venture capital, and their roles before IPOs and M&As
(2020) Brinster, Leonhard; Tykvová, Tereza
The research objects of this dissertation are strategic alliances, venture capital (VC), and their roles before initial public offerings (IPOs) and mergers and acquisitions (M&As) of biotechnology and pharmaceutical companies. Chapter 1 begins this dissertation with a general introduction and the motivation behind the research questions. Young and small businesses face several risks and difficulties, such as lack of access to finance. Highly innovative companies, therefore, often rely on VC finance. Firms offering VC provide not only financial capital, monitoring, and coaching, but also other useful resources and might encourage their portfolio companies to join strategic alliances. Such alliances can be beneficial for the portfolio companies because they provide new knowledge, access to scarce resources, or other synergies. In addition, engagement in one or many strategic alliances can have a positive signaling effect on outsiders, and thus, increase the probabilities of a successful exit (IPO or M&A). In Chapter 2, I analyze the role of connected VC firms in strategic alliances. This chapter is co-authored with Tereza Tykvová. A reviewed version of this chapter is published in the Journal of Corporate Finance. We study a new channel through which portfolio companies benefit from ties among venture capitalists. By tracing individual VC firms’ investment and syndication histories, we show that VC firms’ ties improve companies’ access to strategic alliance partners. While existing studies demonstrate that alliances are more frequent among companies sharing the same VC firm, we provide evidence that alliances are also more prevalent among companies indirectly connected through VC syndication networks. In addition, our results suggest that VC firms’ ties mitigate asymmetric information problems that arise when alliances are formed. Finally, we demonstrate that this type of alliance is associated with higher IPO probabilities. We also provide alternative explanations of alliance formation and address related endogeneity concerns. The research objective of the third chapter is to determine the role of strategic alliances in VC exits. This chapter is co-authored with Christian Hopp and Tereza Tykvova. A reviewed version of this chapter is published in Venture Capital. Chapter 3 contributes to a better understanding of the relationship between strategic alliances and VC exits. The recent empirical literature concludes that alliances improve the probability of successful exits for venture-backed companies. When we control for observed and unobserved heterogeneity in a cohort sample of companies, self-selection into alliance activity, and censoring, we find the effect to be smaller than evidenced in prior studies. Moreover, we confirm the positive effect of alliances only for IPOs and not M&As. These findings are consistent with the view that strategic alliances help companies certify their quality for potential buyers. Chapter 4 investigates the role of strategic alliances before M&As in more detail. This chapter is a single-authored manuscript by Leonhard Brinster. Based on a large sample of M&A deals, I estimate the role of different types of ties between companies. I distinguish related alliances into direct and indirect alliances. Related alliances provide access to more information and can reduce transaction costs by reducing the time from announcement to completion of the M&A deal. The reduction of such costs can lead to a more successful target selection and increase the transaction process efficiency of the M&A deal. This effect can be explained by trust-building, better access to private information, and certification through related alliances. The empirical results show a positive relationship between related alliances and the likelihood of an M&A. However, in contrast to other studies, I do not find statistically significant evidence that supports the hypothesis that alliances increase the post-M&A performance and that alliances are associated with higher announcement returns. Finally, Chapter 5 concludes the dissertation with a short summary of the main findings and an outlook for future research.
Corporate risk management : new empirical evidence from foreign exchange and interest rate risk
(2019) Hecht, Andreas; Hachmeister, Dirk
Contemporary corporate risk management with its diverse facets and categories commonly involves the usage of derivative instruments. Most of the relevant empirical literature originates from commodity risk management, even though the most important risk categories in terms of derivative usage are foreign exchange (FX) and interest rate (IR) risk. Empirical evidence in these areas is rare and often relies on alternative indicators of derivative usage due to a limited availability of adequate data. We close this gap in the literature and introduce two innovative and hand-collected datasets – one for FX and one for IR risk – from the unexplored regulatory environment in France. Based on an unprecedented data granularity with advanced exposure and derivative usage information, we examine the preeminent topics on the relevance and the determinants (together with the identification) of speculative activities in corporate FX and IR risk management in three empirical papers. Chapter 2 “How do Firms Manage Their Foreign Exchange Exposure?” concentrates on how firms use derivative transactions to handle their FX risk. Regarding the composition of FX exposure, we find the exposure before hedging to be predominantly long, i.e., driven by FX-receivables and forecasted FX-sales, which is on average [median] hedged to about 90 [49] percent with mostly short derivative instruments. Regarding the relevance of speculative elements, we evaluate whether firms decrease, increase or keep their FX exposure stable with derivative instruments and find that about 61 percent of the taken currency positions can be classified as risk-decreasing and about 39 percent as risk-increasing/risk-constant. Instead of solely evaluating the number of occurrences, we further relate the exposure before hedging per currency position to overall firm exposure and find that approximately 80 percent of total FX exposure are managed using risk-decreasing strategies and 20 percent of total firm exposure are managed using risk-increasing/-constant strategies. We further address the documented impact of prior outcomes on hedging decisions with the informational advantage of our FX dataset. We use regression analyses to find supportive evidence that in response to benchmark losses, management hedges significantly more of its exposure and adjusts the hedge ratio closer to its benchmark. In addition, we analyze whether the impact of prior hedging outcomes is subject to the choice of risk-decreasing vs. risk-increasing strategies. With our finding that previous benchmark losses are only considered in risk-increasing strategies, where the exposure is again decreased following prior benchmark losses, but not in risk-decreasing strategies, we complement the growing literature on the relevance of prior hedging outcomes. In chapter 3 “Identifying Corporate Speculation Reading Public Disclosures – Why Firms Increase Risk“, we first examine whether the advanced disclosures in FX risk management of our dataset enable the identification of speculation reading openly available corporate publications. For the first time, the detailed information on FX exposures before and after hedging with corresponding hedged amounts allows for the calculation of firm-, currency-, and year-specific hedge ratios to quantitatively identify speculation as activity that increases or keeps currency-specific FX exposure constant reading public corporate disclosures. Further, we examine the determining factors of speculative activities and find through regression analyses that frequent speculators are smaller, possess more growth opportunities and have lower internal resources. While several theories for speculative behavior have been tested empirically several times, our findings indicate unprecedented empirical evidence for the convexity theories in an FX environment. Chapter 4 “How Do Firms Manage Their Interest Rate Exposure?” is dedicated to corporate interest rate risk management and how firms manage the IR risk with the differing subcategories of cash flow and fair value risk. Similar to FX risk, we evaluate the relevance and determinants of speculation in IR risk management. We observe that speculative elements are more pronounced in IR compared to FX risk management when finding that 63 percent of IR firm exposure are managed using risk-decreasing strategies, whereas 37 percent are managed using risk-increasing/-constant strategies. Contrary to the results in the FX setting, we observe frequent IR-speculators to have less growth opportunities and higher short- and long-term liquidity. We finally combine the FX and IR dataset to examine potential interactions. We find that firms seem to specialize in either FX or IR speculation and that the exposure of frequent speculators is significantly smaller for both risk categories.
Founder CEOs and new venture media coverage
(2018) Kolb, Johannes; Howard, Michael D.
Among their early key decisions, new ventures must choose whether to retain founder CEOs and how to craft a media strategy to best represent themselves to the outside world. These decisions have critical implications for firm survival and success, shaping perceptions of important external stakeholders. Our study explores the interplay between founder CEOs and media coverage and their effect on firm performance. We employ competing risk models to analyze data on 2,327 US VC-backed technology firms during the period 1985 to 2009, finding that founder CEOs enhance volume and positive tonality of media coverage, which increase the likelihood of firm IPO. Our findings provide important contributions for research into entrepreneurship and organizational reputation.
Essays in relationship banking : the efficiency of savings-linked relationship lending and credit information sharing
(2017) Kirsch, Steffen; Burghof, Hans-Peter
The first part of my thesis concerns credit information production of lenders. In a multi-period partial equilibrium model of lending to private households I compare arm’s-length lending with relationship lending that is based on information production about borrowers in preceding saving relationships. These are often the only source of private information that lenders possess about loan demanding households. The model shows that savings-linked relationship lending leads to a Pareto improvement or an increasing allocative efficiency of the financing market compared to arm’s-length lending in markets of low time preference or low average borrower quality. In these markets, savings-linked relationship lending can overcome financing market failure due to adverse selection, especially for financing volumes that are large in comparison to households’ periodic savings or incomes. Thus, the model shows that savings-linked relationship lending is particularly well suited and economically beneficial for housing finance of private households and is able to increase home ownership rates. Competitive savings-linked relationship lending, as derived in the model, shares major characteristics with contractual saving for housing which is a widespread and important product of housing finance in Continental Europe. My model therefore provides, to my knowledge, the first theoretical relationship lending explanation for contractual saving for housing. Further, my results add a novel economic explanation for synergies between the two main activities of traditional commercial banking, deposit-taking and lending. The second part of my thesis concerns credit information sharing between lenders. Credit information sharing between lenders can have a disciplinary effect on borrowers because defaulting with one lender ruins the reputation with every other lender (Vercammen, 1995; Padilla and Pagano, 2000). This reputation effect, however, diminishes and finally disappears the more comprehensive credit registries become. I show in a multi-period model of repeated lending that credit information sharing can induce borrower discipline beyond “passive” reputation effects if banks apply classical disciplining, that is, if failure to pay inevitably provokes consequences. I find that such disciplining can Pareto improve the efficiency of the financing market and reduce defaults by overcoming market failure and mitigating underinvestment in projects and in effort, even for comprehensive and unrestricted credit information sharing. I further show that disciplining borrowers by pro rata rationing credit after default is more promising than tightening credit rates. Hence, my model provides a rare case of efficient equilibrium credit rationing: disciplining by credit rationing enhances the efficiency of the market while constituting aggregate equilibrium credit rationing in the sense of Stiglitz and Weiss (1981). Contrary to the previous literature that suggests to restrict and randomize credit reporting in order to prevent diminishing reputation effects, the policy implications following from my work are, first, to rather restrict access to credit registries than their content and, second, to enhance transparency of information sharing.
On the determinants of speculation : a case for extended disclosures in corporate risk management
(2017) Hecht, Andreas
We examine the determinants of corporate speculation and challenge the extant, conflicting evidence. Separating risk management (reducing currency-specific FX exposure) from speculation (increasing or holding currency-specific FX exposure constant), we provide unprecedented evidence that speculators are smaller, have more growth opportunities and possess lower internal resources than risk-managing firms. The refined granularity of our dataset stems from a unique regulatory environment, where a regulating authority recommends additional disclosures for FX risk management in excess of governing accounting standards. Our findings enable investors, henceforth, to identify speculation from public available sources, where our results substantiate the significance of such an extended reporting. Thus, this case of optional disclosures might serve as blueprint for further regulatory refinements in other settings.
Empirical essays on acquisitions
(2017) Kolb, Johannes; Tykvová, Tereza
ACQUISITIONS are among the most studied areas in corporate finance research. Still, many questions about acquisitions are unanswered and regularly debated in the literature. One of these questions is whether acquisitions create value for shareholders as well as stakeholders and what factors are related to value creation. The overarching question raised in this thesis is whether and how financial stakeholders and shareholders profit from acquisitions in different scenarios, i.e.: • Do bidder shareholders profit when financial advisors are involved in corporate acquisitions, and does the quality of financial advisors matter? Do high-quality advisors create more bidder shareholder value than lower quality advisors? • Do firms and SPAC shareholders profit from SPAC acquisitions? How do these firms (SPAC target firms) perform in comparison to firms that use an IPO to go public? This thesis consists of three empirical articles in which I address the above outlined questions. The first article focuses on the European market and asks whether the involvement of advisors in corporate acquisitions matters for bidder value creation. Although theoretical frameworks predict a positive relationship between advisor involvement and shareholder value creation, it is not confirmed by empirical evidence (see, e.g., Servaes and Zenner, 1996; Wang and Whyte, 2010). My results suggest that advisors provide value to their clients only when both the bidder and the target are located in the UK. Moreover, a difference-in-difference analysis, using a major European regulatory reform, indicates that advisors matter for shareholder value creation in acquisitions. The second article focuses not only on the question whether an advisor is involved in an acquisition but also on whether the quality of the advisor plays a role. In theory, high-quality advisors should be able to create more shareholder value for their clients than lower-quality advisors (see, e.g., Golubov et al., 2012). However, different authors find an insignificant, negative or positive relationship between advisor quality and value creation. Since these studies rely on advisor market shares or related measures to assess advisor quality and since evidence suggests that advisor market shares are not a good predictor of advisor performance (Bao and Edmans, 2011), we develop a new proxy to capture advisor quality. We define high-quality advisors as advisors that have won an award of excellence (i.e., best M&A house) and focus on the North American market. The results suggest that there is a positive relationship between award winners and value creation. Moreover, clients of award winners seem to outperform clients of non-award winners in the long term and seem to realize greater synergies. The results hold when we consider the endogenous choice of an advisor. Finally, it seems that award winners put more effort into acquisitions that are more visible. The last article focuses on SPAC acquisitions, which combine acquisitions with initial public offerings to enable firms a fast and cheap listing at a public stock exchange. We compare firms that use SPAC acquisitions to access the public market with firms that use IPOs to access the public market. The results from the analysis of 127 SPAC acquisitions and 1,128 IPOs during the wave of “new-generation” SPACs starting in 2003 suggest that SPAC acquisitions profit firms that are small, highly levered and have low growth opportunities in times with turbulent market environments. It seems that venture capital and private equity investors rather stick to the traditional way, the IPO, to bring their portfolio firms to the public market. Furthermore, firms that access the market via SPAC acquisitions underperform the market and similar IPO firms in the long run. The results of this thesis provide some evidence that financial advisors do play a crucial role and that shareholders might profit from their involvement in acquisitions. Moreover, innovations in financial markets that promise to improve the protection of shareholder interests, such as SPAC acquisitions, should be analyzed by the market participants with great care. On the one hand, they might provide value for certain firms (that are not able to access the public markets via an IPO); on the other hand, they seem to hurt shareholders that are interested in long-term gains.
Kapitalkosten in der Regulierung : Identifizierung und Begrenzung von Freiräumen bei der Bestimmung durch Netzbetreiber und Regulierungsbehörde
(2016) Romer, Andrea; Hachmeister, Dirk
The cost of Capital is an important part of the Network Charge.

Browse

Recent Submissions