Florian Kiesel

Regulation of uncovered sovereign credit default swaps – evidence from the European Union

This study aims to analyze the impact and effectiveness of the regulation on the European sovereign Credit Default Swap (CDS) market. The European sovereign debt crisis has drawn considerable attention to the CDS market. CDS have the ability of a speculative instrument to bet against a sovereign default. Therefore, the Regulation (EU) No. 236/2012 was introduced as the worldwide first uncovered CDS regulation. It prohibits buying uncovered sovereign CDS contracts in the European Union (EU).

The Effect of Ratings Announcements, on Firms in Bank-Based Systems

Rating agencies act as intermediaries for investors in evaluating the creditworthiness of borrowers. The role of ratings agencies is particularly crucial in market-based systems, because, in contrast to long-run bank relationships, outside investors are confronted with greater obstacles to in-depth and reliable evaluations of firm credit risk. The financial intermediation in bank-based systems has implications for the role and the focus of credit rating agencies. This study examines the influence of ratings announcements in Germany, one of the premier bank-based systems. During the study period, from January 2000 through June 2014, we examine 189 Standard & Poor’s and 204 Moody’s ratings announcements. Our results show that ratings announcements are less important in the German market than in market-based systems such as the United States.

Erklärung von Aktienrenditen durch Faktormodelle

Die Erklarung und Prognose von Aktienrenditen ist eine der zentralen Herausforderungen der Kapitalmarktforschung. Die Aktienrendite druckt die Wertentwicklung einer Aktie uber einen bestimmten Zeitraum aus, und Faktormodelle beschreiben meist stochastische Prozesse, die solche Aktienrenditen generieren. In diesem Beitrag werden die wichtigsten Ein- und Multifaktormodelle sowie deren erklarende Variablen – die sog. Risikofaktoren – vorgestellt.

CDS and bank ownership structures: does the credit side show who advocates more risk?

Purpose - This study aims to investigate whether ownership compositions effect credit risk profiles of banks prior to and during the financial crisis. In detail, this study examines whether more powerful owners of a bank impact the credit risk profile. Design/methodology/approach - The effects of the ownership structure on credit risk are estimated using credit default swap (CDS) spreads. Therefore, 86 global privately held and publicly listed banks from 23 countries are considered in a panel analysis for the period 2005-2008. Findings - The results indicate that banks with a more concentrated ownership structure tend to be riskier, as they have larger CDS spreads. Furthermore, we observe that bank regulation has a negative impact on banks’ credit risk. Larger banks exhibit significantly lower risk than smaller banks. Originality/value - These findings are of high relevance for the respective national regulative environment and for the respective financial institutions themselves. Regulatory bodies have to be aware of whether certain ownership compositions lead to a significant risk factor and which risk indicators exhibit the risk more precisely and in timely fashion.

Capital Market Reactions and the Content of Credit Rating Reports: A Textual Analysis

This paper analyzes the informational content of 3,365 Moody’s credit rating reports, such as rating changes, watchlist announcements, and outlooks, and their impact on financial markets. We test whether the tone or the length of credit rating report have an immediate impact on the equity or credit default swap (CDS) market and therefore provide new market information. Moreover, we analyze whether credit rating agencies (CRAs) have a monitoring type in financial markets.Our results show that the tone of the rating report has an significant impact on stock returns and CDS spread. This is particularly driven by the negative words in the reports, resulting in negative stock market reaction and increasing CDS spreads. These results document the importance of credit rating reports and the role of CRAs as informational providers and underline their monitoring function for financial markets.

Return patterns of South Korean stocks following large price shocks

ABSTRACT This study tests the market efficiency of the South Korean stock market by examining returns on stocks of the constituents of the KOSPI 50 from 2000 to 2014 following large 1-month price decreases and increases. An exponential GARCH (EGARCH) event study framework is used to analyse the stock returns. The results show that large price shocks, positive and negative, are likely to be followed by positive market returns. Moreover, the results show an increase in the beta of stocks in the years following a large price shock. The overall results therefore support the Uncertain Information Hypothesis. However, beginning in 2008, return patterns more closely reflect those hypothesised by the Efficient Market Hypothesis, possibly due to increased participation by international investors. The observed returns following large price increases and decreases can be partially explained by changes in the Korean won to US dollar exchange rate and the trading behaviour of foreign investors.

Werteffekte auf die Leerverkaufsrestriktion bei Finanztiteln in Deutschland

Zusammenfassung An deutschen Wertpapierbörsen waren gedeckte und ungedeckte Leerverkäufe bis zum 19. 9. 2008 generell zulässig. Durch die Insolvenz der amerikanischen Investmentbank Lehman Brothers am 15. 9. 2008 befürchtete die Bundesanstalt für Finanzdienstleistungsaufsicht eine verstärkte Volatilität an den Finanzmärkten und veranlasste am 19. 9. 2008 ein Verbot von ungedeckten Leerverkäufen für 11 Finanztitel. Diese Studie zeigt die Kapitalmarktkonsequenzen der deutschen Leerverkaufsperiode. Es werden verschiedene Risikomaße untersucht, die im Zusammenhang mit der Einführung von Leerverkaufsrestriktionen stehen könnten. Es zeigt sich, dass die erhoffte Wirkung der Leerverkaufsrestriktion in Deutschland ausblieb. Leerverkäufe in Deutschland führten nicht zu einem positiven Werteffekt. Zudem wird gezeigt, dass bei Einführung der Leerverkaufsrestriktion im Jahr 2008 die Volatilität anstieg, womit auch hier das Verbot sein beabsichtigtes Ziel verfehlt hat.

Zum Erfolg von Unternehmensübernahmen in der globalen Agrarindustrie

Die Studie untersucht die Auswirkungen von Unternehmensubernahmen und Zusammenschlussen in der internationalen Agrarindustrie auf die Kapitalmarktbewertung der beteiligten Unternehmen. Die Stichprobe umfasst 295 weltweite Transaktionen in einem Untersuchungszeitraum von 1994 bis 2013. Die Ergebnisse zeigen, dass bei den hier betrachteten Unternehmensubernahmen und -zusammenschlussen im Agrarsektor positiver Wert sowohl fur die Kaufer als auch die Zielunternehmen generiert wird. Dieser Befund steht im Gegensatz zu Erkenntnissen in anderen Industrien.