Markus Doumet

Disentangling the Link Between Stock and Accounting Performance in Acquisitions

We study the accounting and stock performance of 4547 US acquisitions during 1989 and 2008. We categorise acquisitions into four types based on the four possible combinations of positive or negative abnormal stock performance and abnormal accounting performance. First, we compare the bidder, bid and target characteristics across the four types of acquisitions. We find significant differences. Second, with the help of existing theories we explain these differences in bidder, bid and target characteristics by differences in the acquisition motives.

Measuring Abnormal Credit Default Swap Spreads

This paper examines the size and power of test statistics designed to detect abnormal changes in credit risk as measured by credit default swap (CDS) spreads. We follow a simulation approach to examine the statistical properties of normal and abnormal CDS spreads and assess the performance of normal return models and test statistics. Using daily CDS data, we find parametric test statistics to be generally inferior to non-parametric tests, with the rank test performing best. A CDS factor model based on factors identified in the empirical literature is generally well specified and more powerful in detecting abnormal performance than some of the classical normal return models. Finally, we examine abnormal CDS announcement returns around issuers rating downgrades to demonstrate the effect of CDS spread change measures and normal return models on the inferences drawn from the results of CDS event studies.

Auswirkungen guter Corporate Governance und Compliance auf den Unternehmenswert

In den letzten Jahren hat die Bedeutung von Corporate Governance und Compliance in der unternehmerischen Praxis rasant zugenommen. Der vorliegende Beitrag stellt zunachst die Notwendigkeit von Corporate Governance und die bedeutendsten Governance-Mechanismen im unternehmerischen Kontext vor. Darauf aufbauend wird anhand der bestehenden wissenschaftlichen Literatur uberpruft, ob eine gute Corporate Governance bzw. eine gute Compliance wertrelevant ist oder nicht

Open Market Share Repurchases in Germany: A Conditional Event Study Approach: Repurchases in Germany

We analyze the decision to announce an open market share repurchase and the share price reaction to the announcement. We use a conditional estimation approach, which takes into account that the repurchase decision is made rationally and that, consequently, there is a potential selection bias. This approach requires a ‘non‐event sample’ of firms that could reasonably be expected to announce a repurchase but did not. The specific institutional rules for share repurchases in Germany allow us to construct such a sample. We find that a conditional approach yields results that are qualitatively comparable but differ in detail from those obtained using a non‐conditional approach. We confirm earlier findings of negative share price performance prior to the repurchase announcement and positive and significant announcement day abnormal returns. The results of our probit models are consistent with the free cash flow hypothesis and provide at least partial support for the rent extraction, signalling, and capital structure hypothesis. The results of the cross‐sectional regressions provide support for the signalling hypothesis once we control for selection bias.

Today’s or yesterday’s news?

II. Ereignisstudie, Werteffekte und Analyse der Berichtsfristen . . . . . . . . . . . 711 1. Methodische Grundlagen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 711 2. Datenerhebung . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 714 3. Empirische Ergebnisse zu Werteffekten . . . . . . . . . . . . . . . . . . . . . . 717 4. Empirische Ergebnisse zu Berichtszeiträumen . . . . . . . . . . . . . . . . . . 730