Private-Equity-finanzierte Leveraged Buyouts : empirische Analyse von Akquisitionsmotiven und ereignisinduzierten Kursreaktionen

von Jan Patrick Fleck

Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Public firm sponsorship of open source software: A knowledge-based approach to open innovation

As an emerging innovation paradigm gaining momentum in recent years, the open innovation paradigm is calling for greater theoretical depth and more empirical research. This dissertation proposes that open innovation in the context of open source software sponsorship may be viewed as knowledge strategies of the firm. Hence, this dissertation examines the performance determinants of open innovation through the lens of knowledge-based perspectives. Using event study and regression methodologies, this dissertation found that these open source software sponsorship events can indeed boost the stock market performance of US public firms. In addition, both the knowledge capabilities of the firms and the knowledge profiles of the open source projects they sponsor matter for performance. In terms of firm knowledge capabilities, internet service firms perform better than other firms owing to their advantageous complementary capabilities. Also, strong knowledge exploitation capabilities of the firm are positively associated with performance. In terms of the knowledge profile of sponsored projects, platform projects perform better than component projects. Also, community-originated projects outperform firm-originated projects. Finally, based on these findings, this dissertation discussed the important theoretical implications for the strategic tradeoff between knowledge protection and sharing.

The Impact of Expropriations on the Stock Prices of the Parent Companies: Sell on the rumor, buy on the news?

We measure the impact of warnings of expropriation and of forced divestments of pri- vate property on the stock prices of the parent company. We use a unique database of 116 events in 12 countries from 2005 to 2013. Our results show signi cant negative effects on the stock prices of different kinds of warnings; the largest effect is when the warning takes the form of a transitory permit revocation. In the case of forced divestments, we nd a signi cant negative impact when there is a permanent revocation of a permit. However, nationalizations seem to generate a positive market reaction.

Information Content of Bank Credit Rating Changes: Evidence from Europe

This thesis examines the short-term impact of credit rating announcements on daily stock returns of 41 European banks indexed in STOXX Europe 600 Banks. The time period of this study is 2002–2015 and the ratings represent long-term issuer ratings provided by S&P, Moody’s and Fitch. Bank ratings are significant for a bank’s operation costs so it is interesting to investigate how investors react to changes in creditworthiness. The study objective is achieved by conducting an event study. The event study is extended with a cross-sectional linear regression to investigate other potential determinants surrounding rating changes. The research hypotheses and the motivation for additional tests are derived from prior research. The main hypotheses are formed to explore whether rating changes have an effect on stock returns, when this possible reaction occurs and whether it is asymmetric between upgrades and downgrades. The findings provide evidence that rating announcements have an impact on stock returns in the context of European banks. The results also support the existence of an asymmetry in capital market reaction to rating upgrades and downgrades. The rating downgrades are associated with statistically significant negative abnormal returns on the event day although the reaction is rather modest. No statistically significant reaction is found associated with the rating upgrades on the event day. These results hold true with both rating changes and rating watches. No anticipation is observed in the case of rating changes but there is a statistically significant cumulative negative (positive) price reaction occurring before the event day for negative (positive) watch announcements. The regression provides evidence that the stock price reaction is stronger for rating downgrades occurring within below investment grade class compared with investment grade class. This is intuitive as investors are more concerned about their investments in lower-rated companies. Besides, the price reaction of larger banks is more mitigated compared with smaller banks in the case of rating downgrades. The reason for this may be that larger banks are usually more widely followed by the public. However, the study results may also provide evidence of the existence of the so-called “too big to fail” subsidy that dampens the negative returns of larger banks.

The introduction of a financial transaction tax in Italy

Mestrado em Finanças

Ciclos económicos, capital bancario y nuevas opciones de política económica

El objetivo de este trabajo es utilizar algunos hechos estilizados de la "Gran recesión", específicamente la drástica caída en el nivel de capitalización bancario, para analizar la relación entre los ciclos financieros y los ciclos reales, así como la efectividad de la política monetaria no convencional y las políticas macroprudenciales. Para esto, en el primer capítulo se desarrolla una microfundamentación de la banca a partir de un modelo de Costly State Verification, que es incluido posteriomente en distintas especificaciones de modelos DSGE. Los resultados muestran que: (i) los ciclos financieros y los ciclos económicos pueden relacionarse a partir del deterioro del capital bancario; (ii) Las políticas macroprudenciales y no convencionales son efectivas para moderar los ciclos económicos, pero son costosas en términos de recursos e inflación.

Essays in Applied Insurance Economics

The papers included in this thesis deal with a few aspects of insurance economics that have seldom been dealt with in the applied literature. In the first paper I apply for the first time the tools of the economics of crime to study the determinants of frauds, using data on Italian provinces. The contributions to the literature are manifold: -The price of insuring has a positive correlation with the propensity to defraud -Social norms constraint fraudulent behavior, but their strength is curtailed in economic downturns -I apply a simple extension of the Random Coefficient model, which allows for the presence of time invariant covariates and asymmetries in the impact of the regressors. The second paper assesses how the evolution of macro prudential regulation of insurance companies has been reflected in their equity price. I employ a standard event study methodology, deriving the definition of the “control” and “treatment” groups from what is implied by the regulatory framework. The main results are: -Markets care about the evolution of the legislation. Their perception has shifted from a first positive assessment of a possible implicit “too big to fail” subsidy to a more negative one related to its cost in terms of stricter capital requirement -The size of this phenomenon is positively related to leverage, size and on the geographical location of the insurance companies The third paper introduces a novel methodology to forecast non-life insurance premiums and profitability as function of macroeconomic variables, using the simultaneous equation framework traditionally employed macroeconometric models and a simple theoretical model of insurance pricing to derive a long term relationship between premiums, claims expenses and short term rates. The model is shown to provide a better forecast of premiums and profitability compared with the single equation specifications commonly used in applied analysis.

Essays in Empirical Political Economics

This thesis takes two perspectives on political institutions. From the one side, it examines the long-run effects of institutions on cultural values. From the other side, I study strategic communication, and its determinants, of politicians, a pivotal actor inside those institutions. The first chapter provides evidence for the legacy of feudalism - a set of labor coercion and migration restrictions -, on interpersonal distrust. I combining administrative data on the feudal system in the Prussian Empire (1816 – 1849) with the geo-localized survey data from the German Socio-Economic Panel (1980 – 2020). I show that areas with strong historical exposure to feudalism have lower levels of inter-personal trust today, by means of OLS- and mover specifications. The second chapter builds a novel dataset that includes the Twitter handles of 18,000+ politicians and 61+ million tweets from 2008 – 2021 from all levels of government. I find substantial partisan differences in Twitter adoption, Twitter activity and audience engagement. I use established tools to measure ideological polarization to provide evidence that online-polarization follows similar trends to offline-polarization, at comparable magnitude and reaches unprecedented heights in 2018 and 2021. I develop a new tool to demonstrate a marked increase in affective polarization. The third chapter tests whether politicians disseminate distortive messages when exposed to bad news. Specifically, I study the diffusion of misleading communication from pro-gun politicians in the aftermath of mass shootings. I exploit the random timing of mass shootings and analyze half a million tweets between 2010 – 2020 in an event-study design. I develop and apply state-of-the-art text analysis tools to show that pro- gun politicians seek to decrease the salience of the mass shooting through distraction and try to alter voters’ belief formation through misrepresenting the causes of the mass shootings.

The preparation and execution of self-initiated and externally-triggered movement: A study of event-related fMRI

Studies of functional brain imaging in humans and single cell recordings in monkeys have generally shown preferential involvement of the medially located supplementary motor area (SMA) in self-initiated movement and the lateral premotor cortex in externally cued movement. Studies of event-related cortical potentials recorded during movement preparation, however, generally show increased cortical activity prior to self-initiated movements but little activity at early stages prior to movements that are externally cued at unpredictable times. In this study, the spatial location and relative timing of activation for self-initiated and externally triggered movements were examined using rapid event-related functional MRI. Twelve healthy right-handed subjects were imaged while performing a brief finger sequence movement (three rapid alternating button presses: index-middle-index finger) made either in response to an unpredictably timed auditory cue (between 8 to 24 s after the previous movement) or at self-paced irregular intervals. Both movement conditions involved similar strong activation of medial motor areas including the pre-SMA, SMA proper, and rostral cingulate cortex, as well as activation within contralateral primary motor, superior parietal, and insula cortex. Activation within the basal ganglia was found for self-initiated movements only, while externally triggered movements involved additional bilateral activation of primary auditory cortex. Although the level of SMA and cingulate cortex activation did not differ significantly between movement conditions, the timing of the hemodynamic response within the pre-SMA was significantly earlier for self-initiated compared with externally triggered movements. This clearly reflects involvement of the pre-SMA in early processes associated with the preparation for voluntary movement. (C) 2002 Elsevier Science.

The preparation and readiness for voluntary movement: a high-field event-related fMRI study of the Bereitschafts-BOLD response

Activity within motor areas of the cortex begins to increase 1 to 2 s prior to voluntary self-initiated movement (termed the Bereitschaftspotential or readiness potential). There has been much speculation and debate over the precise source of this early premovement activity as it is important for understanding the roles of higher order motor areas in the preparation and readiness for voluntary movement. In this study, we use high-field (3-T) event-related fMRI with high temporal sampling (partial brain volumes every 250 ms) to specifically examine hemodynamic response time courses during the preparation, readiness, and execution of purely self-initiated voluntary movement. Five right-handed healthy volunteers performed a rapid sequential finger-to-thumb movement performed at self-determined times (12-15 trials). Functional images for each trial were temporally aligned and the averaged time series for each subject was iteratively correlated with a canonical hemodynamic response function progressively shifted in time. This analysis method identified areas of activation without constraining hemodynamic response timing. All subjects showed activation within frontal mesial areas, including supplementary motor area (SMA) and cingulate motor areas, as well as activation in left primary sensorimotor areas. The time courses of hemodynamic responses showed a great deal of variability in shape and timing between subjects; however, four subjects clearly showed earlier relative hemodynamic responses within SMA/cingulate motor areas compared with left primary motor areas. These results provide further evidence that the SMA and cingulate motor areas are major contributors to early stage premovement activity and play an important role in the preparation and readiness for voluntary movement. (C) 2003 Elsevier Inc. All rights reserved.

An event-related fMRI study of cognitive deficits in Huntington's disease

The BOLD contrast signal history determined by lagged Unear correlation has a significant contribution to functional connectivity in activation data sets. It has been demonstrated that in resting state fMRI data, the major contribution to synchronous correlation between functionally connected areas arises from low frequency contributions (

The Thrombin Receptor Antagonist for Clinical Event Reduction in Acute Coronary Syndrome (TRA.CER) trial: study design and rationale

Background The protease-activated receptor 1 (PAR-1), the main platelet receptor for thrombin, represents a novel target for treatment of arterial thrombosis, and SCH 530348 is an orally active, selective, competitive PAR-1 antagonist. We designed TRA.CER to evaluate the efficacy and safety of SCH 530348 compared with placebo in addition to standard of care in patients with non-ST-segment elevation (NSTE) acute coronary syndromes (ACS) and high-risk features. Trial design TRA.CER is a prospective, randomized, double-blind, multicenter, phase III trial with an original estimated sample size of 10,000 subjects. Our primary objective is to demonstrate that SCH 530348 in addition to standard of care will reduce the incidence of the composite of cardiovascular death, myocardial infarction (MI), stroke, recurrent ischemia with rehospitalization, and urgent coronary revascularization compared with standard of care alone. Our key secondary objective is to determine whether SCH 530348 will reduce the composite of cardiovascular death, MI, or stroke compared with standard of care alone. Secondary objectives related to safety are the composite of moderate and severe GUSTO bleeding and clinically significant TIMI bleeding. The trial will continue until a predetermined minimum number of centrally adjudicated primary and key secondary end point events have occurred and all subjects have participated in the study for at least I year. The TRA.CER trial is part of the large phase III SCH 530348 development program that includes a concomitant evaluation in secondary prevention. Conclusion TRA.CER will define efficacy and safety of the novel platelet PAR-1 inhibitor SCH 530348 in the treatment of high-risk patients with NSTE ACS in the setting of current treatment strategies. (Am Heart J 2009; 158:327-34.)