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See detailEssays on Financial Markets and Banking Regulation.
El Joueidi, Sarah UL

Doctoral thesis (2016)

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See detailHIGHER MOMENT ASSET PRICING: RISK PREMIUMS, METHODOLOGY AND ANOMALIES
Lin, Yuehao UL

Doctoral thesis (2016)

Detailed reference viewed: 77 (12 UL)
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See detailEssays on the macro-analysis of international migration
Delogu, Marco UL

Doctoral thesis (2016)

This dissertation consists of three chapters, all of them are self-contained works. The first chapter, “Globalizing labor and the world economy: the role of human capital” is a joint work with Prof. Dr ... [more ▼]

This dissertation consists of three chapters, all of them are self-contained works. The first chapter, “Globalizing labor and the world economy: the role of human capital” is a joint work with Prof. Dr. Frédéric Docquier and Dr. Joël Machado. We develop a microfounded model of the world economy aiming to compare short- and long-run effects of migration restrictions on the world distribution of income. We find that a complete removal of migration barriers would increase the world average level of GDP per worker by 13% in the short run and by about 54% after one century. These results are very robust to our identification strategy and technological assumptions. The second chapter, titled “Infrastructure Policy: the role of informality and brain drain” analyses the effectiveness of infrastructure policy in developing countries. I show that, at low level of development, the possibility to work informally has a detrimental impact on infrastructure accumulation. I find that increasing the tax rate or enlarging the tax base can reduce the macroeconomic performance in the short run, while inducing long-run gains. These effects are amplified when brain drain is endogenous. The last chapter, titled “The role of fees in foreign education: evidence from Italy and the UK” is mainly empirical. Relying upon a discrete choice model, together with Prof. Dr. Michel Beine and Prof. Dr. Lionel Ragot I assess the determinants of international students mobility exploiting, for the first time in the literature, data at the university level. We focus on student inflows to Italy and the UK, countries on which tuition fees varies across universities. We obtain evidence for a clear and negative impact of tuition fees on international students inflows and confirm the positive impact of quality of education. The estimations find also support for an important role of additional destination-specific variables such as host capacity, expected return of education and cost of living in the vicinity of the university. [less ▲]

Detailed reference viewed: 179 (19 UL)
See detailDisposition Effect, Expectations and Behavior: Essays in Experimental Finance
Carlé, Tim Alexander UL

Doctoral thesis (2016)

This thesis indicates future price expectations and past returns as major determinants for trading decisions in experimental asset markets. Both determinants persist independently of the market ... [more ▼]

This thesis indicates future price expectations and past returns as major determinants for trading decisions in experimental asset markets. Both determinants persist independently of the market institutions continuous double auction market or once per period closing call auction market. Investor subjects are shown to submit more market sell orders after positive returns than after negative returns. They sell more assets with a past positive return, especially when this return is higher than the market return. Expectations about a positive return also lead to more sales of assets with past positive returns. Those investor subjects who have high price expectations buy more frequently and submit higher bids and asks, and those who hold low price expectations sell more frequently and submit lower bids and asks, than average. Future price expectations are adapted based on market outcome when investors receive feedback about market prices. The results do not reveal a significant relationship between transaction volume and the heterogeneity of price expectations, rather they support a positive relationship between the heterogeneity of price expectations and prices. Heterogeneity in price expectations decreases with experience, but markets are not able to homogenize expectations to reach a no-trade equilibrium. [less ▲]

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See detailESSAYS ON SLOT ALLOCATION AND EMISSION LICENSES IN AIRPORTS
Wan, Xi UL

Doctoral thesis (2016)

Detailed reference viewed: 92 (17 UL)
See detailEssays in Empirical Corporate Finance
Rolle, Gudrun UL

Doctoral thesis (2016)

The thesis comprises three independent though topically related papers that empirically investigate the relationship between corporate governance and finance. The first paper ‘Corporate Governance, Input ... [more ▼]

The thesis comprises three independent though topically related papers that empirically investigate the relationship between corporate governance and finance. The first paper ‘Corporate Governance, Input Market Regulation, and Equity Prices’ links how anti-competitive regulation in the input market impacts the effectiveness of corporate governance in terms of firm and market performance. For stock price related data, I find that governance and regulation are complements: abnormal returns of hedge portfolios based on corporate governance quality are only attainable in industries which are highly competitive. For companies in relatively competition-protected industries governance has no impact on market data. Turning to business fundamentals, the relationship reverses and governance and competition become substitutes, i.e. companies’ operating performance benefits from strong governance if the company operates in a relative anti-competitive industry. The second paper ‘Corporate Governance and Idiosyncratic Skewness: Evidence from External and Internal Provisions’ (co-authored with Thorsten Lehnert) analyzes the relationship between corporate governance and firm-specific skewness of stock returns for U.S. firms. Since firm-level skewness determinants are differences in investor opinion, information and information asymmetries, and companies with good corporate governance are more informative and transparent than their counterparts with less shareholder protection, we argue that differences in the quality of corporate governance matter to idiosyncratic skewness. We test this hypothesis by analyzing the impact of external as well as internal governance provisions, and are thus able to provide an overall understanding of the relationship between governance and firm-specific return asymmetries. The results show that better governance leads to a reduction in idiosyncratic skewness in relatively non-competitive industries. In industries that face higher levels of competition, governance has no impact on firm-specific return skewness. Especially the results of the internal governance analysis are robust and both statistically and economically significant. The third paper ‘Compensation Structure under Debt Insurance’ investigates the relevance of compensation structure as a means towards managerial incentive setting. Inside debt is designed to align managers with debt holders, and to mitigate risk-taking versus risk-avoiding conflicts of interest between shareholders and bondholders. Thus it constitutes an efficient component in the equity- and debt-like compensation structure of executives. However, under debt insurance the alignment structure should shift – towards the interests of equity holders. And it does. Exploiting first-time initiations of credit default swaps (CDS) on a reference entity, I show that companies whose debt can be insured through CDS significantly reduce their CEO’s relative debt-equity and incentive ratios, therefore shifting the incentive structure towards equity holders. The results are economically large and robust. [less ▲]

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See detailGuarding the Guardians. Essays on Audit Regulation
Löhlein, Lukas UL

Doctoral thesis (2015)

Detailed reference viewed: 254 (47 UL)
See detailLa "bancabilité" des infrastructures intégratives financés par les Institutions du développement en Afrique de l'Ouest
Bassale, Wilfried UL

Doctoral thesis (2015)

Le terme « bancabilité » est l’une de ses expressions omniprésentes dans le discours des praticiens du financement des grands projets d’infrastructures sans que l’on ne sache précisément ce qu’il désigne ... [more ▼]

Le terme « bancabilité » est l’une de ses expressions omniprésentes dans le discours des praticiens du financement des grands projets d’infrastructures sans que l’on ne sache précisément ce qu’il désigne. Lorsqu’elle est présentée comme étant les prérequis à l’octroi de financements des grands projets d’infrastructures par les institutions financières, la bancabilité ou la « financiabilité » ne demeure pas moins difficile à cerner. Sa nature suscite le débat. D’aucuns doutent qu’il s’agisse d’une notion juridique, d’autres y voient une pratique essentiellement financière assimilable à l’évaluation de la situation financière des candidats à un emprunt bancaire. Son régime est tout aussi incertain. Dès lors que la bancabilité est analysée à travers le prisme de critères ou de paramètres applicables aux promoteurs des projets d’infrastructures, la formation de ces « règles » puisqu’il s’agit effectivement de règles de conduite, de prescriptions, orientant le comportement des candidats-emprunteurs, mais également les conditions de leur mise en œuvre ne peuvent échapper à un encadrement juridique. À défaut de définition textuelle, identifier les déterminants de la bancabilité, saisir sa nature, comprendre cette pratique forgée par les professionnels du crédit, la distinguer de notions similaires – telles que la rentabilité, la solvabilité ou la dignité de crédit - sont d’autant plus essentiels que la bancabilité s’apparente à un concept émergent en droit dont la gestation est en cours. A cet égard, le régime applicable aux cas de manquement lors de l’appréciation de la conformité des projets d’infrastructure eu égard aux prérequis de bancabilité reste encore à définir. La présente étude entreprend une réflexion sur la valeur des critères juridiques de bancabilité tels qu’appliqués par les principales institutions financières du développement en Afrique de l’Ouest et explore les effets de leur mise en œuvre sur les cadres juridiques nationaux et régionaux. À partir de l’analyse de projets d’infrastructure de transport d’énergie favorisant l’intégration régionale des États-membres de la Communauté Économique des États d’Afrique de l’Ouest, l’étude met en lumière les écarts entre les principaux critères juridiques de bancabilité édictés par les institutions financières de développement et la pratique observée en Afrique de l’Ouest puis, elle propose des pistes d’évolution de ces critères de bancabilité. [less ▲]

Detailed reference viewed: 252 (16 UL)
See detailEssays on Judgment and Decision Making in Accounting
Pietsch, Christian Philipp Rafael UL

Doctoral thesis (2015)

Detailed reference viewed: 199 (44 UL)
See detailCredit in the Economy: Small Business Default Correlation and Firms' Co-movements
Pisa, Magdalena UL

Doctoral thesis (2015)

Small businesses play crucial part in every developed economy. They employ about 50% of the workforce and are the engine of innovation. For this reason policy makers and regulators support financing small ... [more ▼]

Small businesses play crucial part in every developed economy. They employ about 50% of the workforce and are the engine of innovation. For this reason policy makers and regulators support financing small businesses’ operations to allow them to grow and show its potential. Through a series of studies about small business credit risk, we show that small business credit risk is predominantly related to firm characteristics rather than to economy or industry wide conditions. We find evidence that a distress in a customer industry is linked to higher credit risk among the small business suppliers and that a trade credit is an important channel transmitting distress from one firm to another. [less ▲]

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See detailEssays on Credit Risk: European studies in the context of the global financial crisis
Bekkour, Lamia UL

Doctoral thesis (2015)

Given the major role of credit risk in the recent financial crisis, this thesis focuses on analysing different perspectives of credit risk in Europe during the financial crisis. We consider different ... [more ▼]

Given the major role of credit risk in the recent financial crisis, this thesis focuses on analysing different perspectives of credit risk in Europe during the financial crisis. We consider different markets: Credit Default Swap (CDS), options on equities and exchange rates, and finally, the equity markets. We also look at the impact on different entities: corporates, banks and sovereigns however, we focus more on banks. [less ▲]

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See detailEssays on Sovereign and Banking Credit Risk
Rasmouki, Fanou UL

Doctoral thesis (2015)

In view of growing concerns about financial stability, this thesis revolves over two major objectives. The first objective relates to exploiting option pricing models to generate bank and sovereign credit ... [more ▼]

In view of growing concerns about financial stability, this thesis revolves over two major objectives. The first objective relates to exploiting option pricing models to generate bank and sovereign credit risk indicators and is pursued in chapters One and Two. The second objective is about determining the extent to which key institutions, namely the credit rating agencies and the ECB contributed to curing or hampering the European banking system. Chapter Three and Chapter Four address the latter theme. All through this thesis, we lay stress upon the connection between banks and sovereigns. [less ▲]

Detailed reference viewed: 124 (7 UL)
See detailEssays on Dynamic Economic Analysis
Tabakovic, Amer UL

Doctoral thesis (2015)

Detailed reference viewed: 250 (42 UL)
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See detailAn empirical analysis of the luxembourg mutual fund market place
Irek, Fabian UL

Doctoral thesis (2015)

Detailed reference viewed: 157 (19 UL)
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See detailEssays on Benchmarking Credit Performance
Michala, Dimitra UL

Doctoral thesis (2015)

Detailed reference viewed: 267 (20 UL)
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See detailEssays on the Euro zone Sovereign Debt Crisis and Financial Markets
Perego, Erica UL

Doctoral thesis (2014)

This thesis analyses the euro zone sovereign crisis from a macroeconomic perspective with a focus on the interaction between sovereign risk, financial markets and the real economy at the euro area ... [more ▼]

This thesis analyses the euro zone sovereign crisis from a macroeconomic perspective with a focus on the interaction between sovereign risk, financial markets and the real economy at the euro area currency union-wide level. The first part consists of an empirical study on the euro zone asset markets. It computes and analyses the dynamic comovements of stock and sovereign bonds for the core and the periphery of the euro zone focusing on the geographical and asset dimension of the markets. This comprehensive approach allows shading new light on European financial markets with respect to studies that focus at only one dimension. Results suggest that further economic integration would be desirable but that, at the moment, Europe is a tale of two regions. The second part of the thesis consists of two chapters dealing with the modeling of the euro zone financial markets and the study of the international transmission of shocks. Chapter 3 focuses on the international transmission of sovereign debt default and looks at the spillover from the periphery to the core region via financial intermediaries. The study of the structure of the banking sector suggests the desirability of more banking integration for the euro area welfare. Chapter 4 expands the model of Chapter 3 by introducing international equity markets. This framework allows exploring the relation between financial intermediaries and asset markets for the euro zone. Results point to the key role of this interaction as a driver of the time varying stock-bond correlation. [less ▲]

Detailed reference viewed: 265 (21 UL)
See detailInnovation, learning and construal levels in the modern workplace
Reyt, Jean-Nicolas Alfred Jules UL

Doctoral thesis (2014)

Knowledge is increasingly recognized as one of the most critical resources in the modern workplace, because the way knowledge is learned, shared and used determines organizational innovation and ... [more ▼]

Knowledge is increasingly recognized as one of the most critical resources in the modern workplace, because the way knowledge is learned, shared and used determines organizational innovation and effectiveness. In this dissertation, we build on construal level theory to explore the relationship between the structure of workers’ roles and the types of knowledge that workers create and share. In particular, we draw upon two features of the modern workplace that are evolving dramatically – the increasing use of technology and changing hierarchical structures – to explore how the level of abstraction at which employees mentally represent their work roles mediates the relationship between these structural features of the work context and the practically-relevant and important employee behaviors underlying innovation. We leverage methodological diversity to test the hypotheses in several studies, including studies based on archival data, experiments and longitudinal studies based on survey data. [less ▲]

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See detailEssays on Irrational Behavior in Financial Markets
Martelin, Nicolas UL

Doctoral thesis (2014)

Personal preferences along with cognitive biases create the behavioral heterogeneity of a given market. In this thesis we study three markets that are completely different from each other and have their ... [more ▼]

Personal preferences along with cognitive biases create the behavioral heterogeneity of a given market. In this thesis we study three markets that are completely different from each other and have their own peculiarities: the stock market (US equity funds), the option market (S&P500 index options) and the art market (Impressionist and Modern, Post-war and Contemporary, American, and Latin American art indices). [less ▲]

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See detailLiquidity risk in capital markets
Busch, Thomas UL

Doctoral thesis (2013)

This thesis focuses on liquidity risk in capital markets. The main aim is to help practitioners to better understand and manage liquidity risk by analyzing the following three topics: modeling ... [more ▼]

This thesis focuses on liquidity risk in capital markets. The main aim is to help practitioners to better understand and manage liquidity risk by analyzing the following three topics: modeling correlations in a Liquidity Adjusted VaR (L − VaR) (Chapter Three), impact of regulatory interventions on stock liquidity (Chapter Four) and liquidity commonality and option prices (Chapter Five). The first topic focuses on an appropriate way to measure expected stock losses by considering liquidity risk (see Chapter Three). The need for a new measure, which also includes stock liquidity, is based on the concern of investors only being able to sell stock at a huge discount or not at all. In reaction, various papers with new methodologies have been published, including the liquidity adjusted Value at Risk (L − VaR) models proposed by Bangia et al. (1998) and Ernst et al. (2012). Based on their approach, we analyze different ways to extend these models and to optimize performance. This is done using advanced conditional volatility models like AR − GARCH and AR − GJR models and by considering correlations between spread and return data. The new model is called correlation and liquidity adjusted VaR (CL – VaR) and shows (based on a five-year observation period) better performance compared to the models by Bangia et al. (1998) and Ernst et al. (2012). The models are calculated and back-tested using unique data called Xetra Liquidity Measure (XLM) provided by Deutsche Börse. The collapse of Lehman Brothers in 2008 marked the beginning of a financial crisis affecting the entire world of finance. This period is characterized by increasing fear of further defaults by corporations (including banks) or even by countries. In reaction, investors began shifting their assets to more stable and secure investments and this resulted in stock market crashes. Various interventions were made by government institutions to restore stability. The target of the second topic is to analyze the impact of these interventions on liquidity (measured by volume-weighted bid-ask spreads) and market reaction (measured by returns) at the announcement date (see Chapter Four). In the event, we study abnormal changes of stocks listed on the Dax. The interventions which we consider are published by the Federal Reserve Bank (FED) in the form of a crisis time-line. Here they are further combined to the following categories: bank liability guarantees, liquidity and rescue interventions, unconventional monetary policy and other market intervention. The results show that, for example, the market reacts positively to liquidity and rescue interventions, whereas bank liability guarantees reduce liquidity. In addition, we show that international events have a significant impact on the domestic market in a "spillover effect". By analyzing the spreads of different traded volumes, an asymmetric increase can be detected at the announcement date. The last topic focuses on the link between equity and option markets (see Chapter Five). There we analyze, on one hand, the link between stock market liquidity and option prices and, on the other hand, the impact of liquidity commonality in equity and option markets. We can show that systematic liquidity (rather than idiosyncratic liquidity) gives a better explanation of changes in “at-the-money” implied volatility. This effect was especially strong during the financial crisis in 2008. Another result is that liquidity risk of higher traded stock volumes is not properly reflected in the option price. This can result in higher hedging costs, as mentioned by Certin et al. (2006). To shed more light into liquidity commonality within the stock market we calculate the LiqCom measure as mentioned by Chordia et al. (2000). The results show a continuously changing liquidity commonality which decreases with increasing traded volume. This is because the market maker focuses for bigger stock positions more on the idiosyncratic liquidity risks while for smaller stock positions the systematic liquidity risk is more important. We confirmed our findings with a robustness check. [less ▲]

Detailed reference viewed: 205 (3 UL)