'PRICING AND ISSUANCE DEPENDENCIES IN SFP PORTFOLIOS'

(COAUTHOR: A. SCHERTLER; IN: FEN Risk Management eJournal, Vol. 9(1))

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We exploit a unique sample of different structured financial products (SFPs) to analyze pricing and issuance dependencies among different types of such market-linked investment vehicles. Our study provides evidence of cross pricing between products with complementary payoff profiles. Such dependencies may be explained by issuers' efforts to generate order flow for products that supplement their current SFP risk exposure. Additionally, we observe issuance patterns in line with the argument that issuers exploit the complementarity payout profiles when bringing SFPs to market. Our study emphasizes cross pricing from a perspective not previously considered in the literature.

  • Research Seminar at University of Augsburg, June 2016.
  • Portsmouth-Fordham Conference on Banking & Finance, Sept. 2016.

  

'STRATEGIC CORPORATE HEDGING'

(COAUTHORS: C. COX AND A. KARAM)

 

We consider a dynamic multi-period framework of a Cournot duopoly and introduce a simultaneous hedging and a storage opportunity to allow players to manage risk before and after demand uncertainty is realized. Decision makers face a strategic dilemma: they must weigh the advantages of dealing with their risk exposure and the disadvantages of higher competition. Due to the storage opportunity, our multi-period setting differs from a repetition of the single-shot interaction. In equilibrium, firms consider the strategic impact of the hedging component, which increases competition. We provide supportive evidence of this theory in a laboratory experiment. Our experimental results suggest that the simultaneous hedging device significantly increases competition and negates duopoly profits.

  • 2014 Cambridge Business & Economics Conference, Juli 2014.
  • Experimental Finance North American Finance Meeting 2016, November 2016.
  • 2017 American Economic Association Annual Meeting, January 2017.G

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'STEADY SAILING ON ROUGH SEAS: AN INVESTIGATION OF TMT DIVERSITY IN TIMES OF TURBULENT MARKETS'

(COAUTHORS: B. BADER, B. BREITMAYER, AND T. SCHUSTER)

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This study investigates the implications of top management team diversity on a firm's tendency to jointly crash with the market. We examine a sample of 3528 individual executives and their respective top management teams of 401 listed top tier firms in 13 countries. We find that diversity in gender and organizational experience are associated with a higher, while diversity in top management job tenure is associated with a lower firm's tendency to jointly crash with the market. Diversity in nationality shows no impact on a firm's joint crash probability. Overall, our study reveals that the effects on a firm's tendency to jointly crash with the market are mixed across the specific attributes of diversity indicating that various attributes of diversity are perceived differently by investors.

  • Corporate Governance, Accounting and Audit: Crisis Challenges, November 2015.
  • European Academy of Management (EURAM), May/June 2016.
  • Academy of Management (AOM), August 2016.

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