Suchergebnisse

This dissertation consists of three independent papers. The first paper investigates the role of incomplete investor information in financial innovations. We analyze the information that structured product issuers provide to the investors and find that issuers have an information advantage over investors regarding two important valuation parameters: volatility and dividends. This advantage allows issuers to push overpriced securities to investors and induces them to design products with large information frictions. The insights are of systemic importance because they suggest that product issuers' behavior increases information frictions in the financial system. The second paper examines the role of obfuscation in the market for structured products. By exploiting the staggered adoption of a price disclosure policy, I show that issuers subject to price disclosure significantly increase the complexity of their products. Further, I provide evidence that complexity significantly reduces the price elasticity of demand, thus raising the concern that complexity induces social welfare costs. The third paper proposes an explanation for the empirically documented relation between the value factor and the investment factor of the Fama-French five-factor model: Investors observing that a firm decreases its investment perceive the firm as riskier, and therefore adjust their valuations of the firm downwards. Consequently, the firm's book-to-market ratio increases. In support of this conjecture, we find considerable overlap between the factor-mimicking portfolios of the value and the investment factor. We show that this overlap is driven by stocks that experience an increase in their book-to-market ratios due to a decrease in their market values. Moreover, our results show that these value stocks behave like low investment stocks and thus earn a premium. Together with actual low investment stocks, these stocks are primarily responsible for the value premium.

In the first chapter I analyze the predictability of European stock returns, using a large set of stock-level predictors and several machine learning algorithms. The analysis suggests monthly returns are hardly predictable. In the second and third chapters monetary policy in the Euro Area is studied in a core-periphery perspective. First, I study the effects of the quantitative easing on the convenience yield on safe German bonds. I identify a contractionary component of the QE related to the induced increase in the scarcity of German bonds. In the last chapter I identify a novel shock, necessary to fully characterize monetary policy in the Euro Area, using high-frequency variations of asset prices around ECB press conferences. This shock generates from the ECB having a direct role in driving expectations about the credit/redenomination risk of peripheral countries' debt and have tangible effects on Euro Area economy.

This dissertation consists of three chapters. In the first chapter, I investigate how political spending by corporations responds to regulatory concerns and if it is associated with improved firm value. Using the 2010 Deepwater Horizon disaster as an exogenous shock to the difficulty of obtaining offshore oil drilling permits, I show that offshore oil firms spent more money hiring lobbyists in order to influence the permitting process. In contrast, the evidence of a response through campaign contributions is weak. The lobbying spending was associated with both a higher probability of permit approval and faster time to approval. Permit approvals had a five-day cumulative abnormal return of 0.69% after the disaster. In particular, offshore firms hired more lobbyists with prior-employment connections to Congressmen or Federal agencies with oil industry oversight. My results show that corporate governance issues may be second-order in this setting and that lobbying may have a real impact on regulator decisions and a positive effect on firm value.In the second chapter, I establish a previously unknown fact about the value of firms engaging in lobbying. Despite evidence that firms respond to specific opportunities or concerns through lobbying spending, most corporations lobby persistently. I show that firms engaging in lobbying spending earn higher returns relative to non-lobbying firms in response to elections that result in a unified government (White House and Congress controlled by the same political party). In contrast, lobbying firms earn lower returns relative to non-lobbying firms in response to elections that result in a divided government (White House and Congress controlled by different political parties, or Congressional division). The results show that the balance of power within the government has an effect on the cross-section of stock returns. Disentangling expected return and abnormal return explanations for these results is an interesting area for future research.In the third chapter (with Ivo Welch), we investigate extended abnormal rates of return for S&P 500 index changes in a comprehensive 1979-2013 sample. The evidence suggests that the short-window portfolio announcement returns that did not revert in the 1980s have fully reverted in the 2000s. The reversion was a portfolio effect, not an individual stock effect.

Defence date: 24 April 2007 ; Examining board: Prof. Mike Artis, University of Manchester, Supervisor ; Prof. Anindya Banerjee, EUI ; Prof. Lionel Fontagné, Université Paris I Panthéon-Sorbonne ; Prof. Massimiliano Marcellino, Università Bocconi ; First made available online on 24 June 2015. ; On the Ist of January 1999 eleven European Union (EU) members fixed their currencies to form the Economic and Monetary Union (EMU). In the run-up to the formation of the euro area candidate countries had to fulfil a set of entry criteria laid down in the Treaty of Maastricht. These consisted of limitations on nominal exchange rate volatility, and on the levels of inflation, interest rate, public debt and fiscal deficit. After the successful formation of the common currency, the countries gave up individual monetary policy to the European Central Bank (ECB), which supposedly, at least for some, meant a gain in credibility and a substantial change in monetary policy in general. Finally, following the latest wave of EU enlargement, which took place on the 1st of May 2004, in the next years we can expect new members to be aiming to join the euro. The five nominal criteria will most certainly be applied to future enlargements. Whilst before EU entry practically all candidate countries declared a willingness to join the euro "as soon as possible" the question whether they are ready and suitable to do so, is important.