![]() Wolff, Christian ![]() Scientific Conference (2020, February) Detailed reference viewed: 19 (2 UL)![]() Wolff, Christian ![]() in Small Business Economics (2020) Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default ... [more ▼] Do large credit risk shocks spill over to small businesses and affect their real economic activity? Using information on small business credit risk, we find that small businesses show increased default and bankruptcy rates following a shock to a customer industry. On an industry level, the shock to a customer industry is followed by a decrease in industry markups, disproportionate closure of firms, and cutbacks in inventories. Our analysis quantifies the elevated credit risk among small businesses and suggests a non-negligible 0.83% increase in expected losses on a diversified loan portfolio following a credit risk shock. This study provides banks and supervisors with greater clarity on timing and on the extent of elevated small business credit risk. It also allows them to assess the exposure of a bank portfolio to fluctuations in small business default rate. Such improved default prediction reduces credit rationing to the small business economy. [less ▲] Detailed reference viewed: 79 (2 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2020) Detailed reference viewed: 12 (0 UL)![]() Wolff, Christian ![]() in Asia-Pacific Journal of Accounting and Economics (2020) Detailed reference viewed: 64 (9 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2020) Detailed reference viewed: 7 (0 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2020) Detailed reference viewed: 8 (0 UL)![]() Wolff, Christian ![]() in Journal of Empirical Finance (2019), 52 Detailed reference viewed: 106 (9 UL)![]() ; Lehnert, Thorsten ![]() ![]() in International Review of Financial Analysis (2019), 63 Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium ... [more ▼] Using an equilibrium asset and option pricing model in a simple economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for holding stocks when the market skewness risk premium is high. However, when we characterize periods of high and low risk aversion, we show that in line with theory, the relationship only holds when risk aversion is high. In periods of low risk aversion, investors demand lower risk compensation, thus substantially weakening the skewness-risk-premium-return trade off. [less ▲] Detailed reference viewed: 96 (1 UL)![]() Wolff, Christian ![]() Scientific Conference (2019, April) Detailed reference viewed: 29 (1 UL)![]() ![]() Wolff, Christian ![]() Scientific Conference (2019, March) Detailed reference viewed: 56 (0 UL)![]() Wolff, Christian ![]() in VoxEU (2019) Detailed reference viewed: 88 (17 UL)![]() Wolff, Christian ![]() ![]() in Journal of Derivatives (2019) Detailed reference viewed: 121 (22 UL)![]() Wolff, Christian ![]() Report (2019) In this paper we examine the relationship between ownership concentration and dividend policy for Thai publicly listed companies. High family ownership firms have higher dividend payouts than low family ... [more ▼] In this paper we examine the relationship between ownership concentration and dividend policy for Thai publicly listed companies. High family ownership firms have higher dividend payouts than low family ownership firms, which we interpret to mean high family ownership firms follow a more rational dividend policy. This finding is consistent with the prediction that agency conflicts between the managers and shareholders are lower at firms with a controlling shareholder. The evidence is robust through different econometric specifications, robust when the level used to determine the extent of family ownership (family control) is lowered to 10 percent of the outstanding shares, and robust to the inclusion of the ownership wedge as a proxy for the severity of agency conflicts. [less ▲] Detailed reference viewed: 28 (0 UL)![]() Wolff, Christian ![]() Report (2019) Detailed reference viewed: 52 (6 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2019) Detailed reference viewed: 56 (1 UL)![]() Wolff, Christian ![]() in International Review of Financial Analysis (2019) Detailed reference viewed: 77 (2 UL)![]() Wolff, Christian ![]() in Wolff, Christian (Ed.) pacific basin (2019) Detailed reference viewed: 37 (1 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2019) Detailed reference viewed: 47 (0 UL)![]() Wolff, Christian ![]() Diverse speeches and writings (2018) Detailed reference viewed: 9 (0 UL)![]() Wolff, Christian ![]() E-print/Working paper (2018) Detailed reference viewed: 32 (0 UL) |
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