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Mandatory financial information disclosure and credit ratings

Vanhaverbeke, Steven; Balsmeier, Benjamin; Doherr, Thorsten - 2022

When firms are forced to publicly disclose financial information, credit rating agencies are supposed to improve their risk assessments. Theory predicts such an information quality effect but also an adverse reputational concerns effect because credit analysts may become increasingly concerned...

Persistent link: https://www.econbiz.de/10013411270

OTC discount

Roure, Calebe de; Mönch, Emanuel; Pelizzon, Loriana; … - 2019

We study price dispersion and venue choice in the interdealer market for German sovereign bonds, where an exchange and over-the-counter segments coexist. We show that 85% of OTC traded prices are favorable with respect to exchange quotes, indicating the prevalence of an OTC discount. This...

Persistent link: https://www.econbiz.de/10012125222

Flying under the radar : the effects of short-sale disclosure rules on investor behavior and stock prices

Jank, Stephan; Roling, Christoph; Smajlbegovic, Esad - 2016

This paper analyzes how newly introduced transparency requirements for short positions affect investors' behavior and … that the transparency measures effectively represent a short-sale constraint for secretive investors, which results in … transparency regulation imposes a negative externality on stock market efficiency. …

Persistent link: https://www.econbiz.de/10011500150

Lighting up the dark : liquidity in the German corporate bond market

Gündüz, Yalın; Pelizzon, Loriana; Schneider, Michael; … - 2021

We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a … corporate bond market without trade transparency (Germany), and comparing our findings to a market with full posttrade …

Persistent link: https://www.econbiz.de/10012589378

Herding of institutional traders : new evidence from daily data

Kremer, Stephanie - 2010

This paper sheds new light on herding of institutional investors by using a unique database that identifies every transaction made by financial institutions in the German stock market. First, the analysis reveals that herding behavior of institutions occurs daily. Second, replication of the...

Persistent link: https://www.econbiz.de/10008665444

Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2014

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

Persistent link: https://www.econbiz.de/10010471968

The joint dynamics of sovereign ratings and government bond yields

El-Shagi, Makram; Schweinitz, Gregor von - 2016

Can a negative shock to sovereign ratings invoke a vicious cycle of increasing government bond yields and further downgrades, ultimately pushing a country toward default? The narratives of public and political discussions, as well as of some widely cited papers, suggest this possibility. In this...

Persistent link: https://www.econbiz.de/10011482939

Arbitraging the Basel securitization framework : evidence from German ABS investment

Efing, Matthias - 2015

This paper provides evidence for regulatory arbitrage within the class of assetbacked securities (ABS) based on individual asset holding data of German banks. I find that those banks operating with tight regulatory constraints pick the securities with the highest yield and lowest collateral...

Persistent link: https://www.econbiz.de/10011391709

The capital gains tax : a curse but also a blessing for venture capital investment

Bock, Carolin; Watzinger, Martin - 2017

Our study analyzes the effect of the capital gains tax on the individual investment decisions of venture capitalists. By doing so, we are able to study the decisions for a sample of 76,852 funding rounds in 32 countries from 2000 to 2012. Our results support the predictions of the theoretical...

Persistent link: https://www.econbiz.de/10011697451

Measuring the spillovers of venture capital

Schnitzer, Monika; Watzinger, Martin - 2017

We provide the first measurement of knowledge spillovers from venture capital-financed companies onto the patenting activities of other companies. On average, these spillovers are nine times larger than those generated by the R&D investment of established companies. Spillover effects are larger...

Persistent link: https://www.econbiz.de/10011762520

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