Lars Helge Haß

The Fast Track IPO – Success Factors for Taking Firms Public with SPACs

Special Purpose Acquisition Companies (SPACs) are shells initiated with the sole intent of acquiring a single privately held company. SPAC shareholders vote on this acquisition, and in this paper we identify the factors that affect approval probability. Surprisingly, the data indicate more experienced managers and boards do not enhance the probability of deal approval. Similarly, glamor underwriters and larger underwriter syndicates are less likely to be associated with successful SPACs. Further, we find a negative relation between the presence of active investor (hedge funds and private equity funds) shareholdings in a SPAC and approval probability.

Private Equity Benchmarks and Portfolio Optimization

Portfolio optimization using private equity is typically based on one of three indices: listed private equity, transaction-based private equity, or appraisal value-based private equity indices. However, we show that none of these indices is fully suitable for portfolio optimization. We introduce here a new benchmark index for venture capital and buyouts, which is updated monthly, adjusted for autocorrelation (de-smoothing), and available contemporaneously. We illustrate how our benchmark enables superior quantitative portfolio optimization.

Is Corporate Governance in China Related to Performance Persistence

This paper examines the relationship between performance persistence and corporate governance (proxied by board characteristics and shareholder structure). We document systematic differences in performance persistence across listed companies in China during 2001-2011, and empirically demonstrate that firms with higher corporate governance (especially for board characteristics) show higher performance persistence. The results are stronger for short horizons and for an accounting-based view. Overall, our empirical findings, although not being able to completely exclude other explanations, strongly suggest that a well-structured board with more independent directors, split positions for CEOs and the chairman as well as smaller boards favors performance persistence. In terms of the shareholder structure we find evidence that lower levels of State ownership and a nonconcentrated blockholder structure is positively associated with performance persistence.

Strategic Asset Allocation and the Role of Alternative Investments: Strategic Asset Allocation and the Role of Alternative Investments

We introduce a framework for strategic asset allocation with alternative investments. Our framework uses a quantifiable risk preference parameter, λ, instead of a utility function. We account for higher moments of the return distributions and approximate best-fit distributions. Thus, we replace the empirical return distributions with two normal distributions. We then use these in the strategic asset allocation. Our framework yields better results than Markowitzs framework. Furthermore, our framework better manages regime switches that occur during crises. To test the robustness of our results, we use a battery of robustness checks and find stable results.

State-ownership and bank loan contracting: evidence from corporate fraud

This paper explores the effect of borrower and lender state-ownership on the consequences of corporate fraud in the debt market. Fraud revelations can increase a firm’s information and credit risk, and are therefore expected to significantly affect future bank loan conditions. The Chinese economy provides a unique setting from which to study the influence of state-ownership on debt contracting because it is dominated by state-owned banks (SBs) and firms. Using a sample of bank loans and enforcement actions announced between 2001 and 2012, we find that, after fraud announcements, the cost of private debt increases significantly, but not for loans issued by SBs to state-owned enterprises (SOEs). Moreover, we find evidence that SBs grant, and SOEs receive, lower interest rates. Additional tests show that SOEs that received a more favorable interest rate after the announcement of fraud from a SB perform worse than other firms. These results indicate that despite the bank reforms SBs continue to favor SOEs and this could lead to sub-optimal lending.

Diversifikations- und »Downside Protection-Potenzial« von Rohstoffportfolios in Multi-Asset- Portfolios

Seit dem wegweisenden Aufsatz von Markowitz (1952) ist bekannt, dass durch Diversifikation die erwartete Portfoliorendite gesteigert und dabei gleichzeitig das Risiko, gemessen an der Volatilitat, gesenkt werden kann. Trotzdem kann es fur Investoren sinnvoll sein, nicht blind weitere Anlageklassen in ihr Portfolio aufzunehmen, ohne im Vorfeld ihre Eigenschaften sorgfaltig zu prufen. Eine naive Allokation von neuen Anlageklassen kann, muss aber nicht unbedingt die Rendite- und Risikoeigenschaften des Portfolios verbessern, es konnte sie auch verschlechtern. Daher stellt sich die Frage, ob Rohstoffe wirklich die (risiko-adjustierte) Performance von Multi-Asset-Portfolios steigern konnen und wenn ja, wie stark sie in einer strategischen Asset Allocation zu berucksichtigen sind. Diese Frage soll unter Verwendung von unterschiedlichen Rohstoffbenchmarks sowie fur diverse Risikomase beantwortet werden, um robuste Aussagen ableiten zu konnen.