Winter Term 2022/2023

• December 20, 2022 / 1:00 - 2:00 pm / D3.0222
  Tanja Brieden (Handelshochschule Stockholm)
  “Anything but Equity - On banks’ preference for hybrid debt”
  
  Abstract: Banks can fulfil part of their Basel III regulatory requirements with  Additional Tier 1 (AT1) capital. Hybrid instruments such as Contingent  Convertible Bonds (CoCos) are - under certain conditions - eligible as  AT1 capital while being inherently different from equity. Banks can  issue CoCos with very low conversion or write-down probabilities to  fulfil part of their regulatory requirements. I predict that banks that  hold CoCos with the lowest conversion or write-down probability are  systemically riskier, engage more in earnings management and have lower  Tier 1 capital levels excluding CoCo issuance amounts than banks that  fulfill their regulatory requirements with other instruments. I find  support for these hypotheses using a binary logit model and CoCo  issuances from the European Economic Area between 2009 and 2021.

  Zoom link: Click here to join the meeting
   

• December 7, 2022 / 12 noon – 1:00 pm / D3.0.222
  Alexander Schandlbauer (University of Southern Denmark (SDU)

  “Employee health and firm performance” with Daniel A. Rettl, Mircea Trandafir
  
  Abstract: When workers are in bad health, their productivity declines. We investigate whether the health of employees affects firm performance, taking advantage of the severity of the seasonal influenza seasons as a source of exogenous variation. We find that firms whose employees are particularly affected by influenza experience reductions in their return on assets and in net income. These results are not driven by firm-specific characteristics, as we find the same relationship between influenza severity and firm performance within firms, at the establishment level. We also document substantial heterogeneity in the effects, with small firms and labor-intensive firms driving our findings. This suggests that labor is an important driver of firm performance and that capital-intensive and larger firms are better able to shift resources in response to temporary shocks to their workforce. Back-of-the-envelope calculations suggest that smaller firms may be better off subsidizing vaccination programs for their employees.
  
  MS Teams: Click here to join the meeting
   

• November 30, 2022 / 2:00 – 3:00 pm / TC.5.04
  Clemens Wagner (Vienna Graduate School of Finance (VGSF), WU)
  Local Returns and Beliefs about the Stock Market” with Tobin Hanspal
  
  Abstract: This  study documents how investors extrapolate from recent stock returns of  locally headquartered firms when forming beliefs about aggregate stock  market outcomes. Consistent with studies on the equity home bias, we  find that the responsiveness to local information is a function of  proximity. While investors may feel more comfortable interpreting local  information, we find no evidence that these effects are sensitive to the  informativeness of local returns for the aggregate outcome. Our  findings suggest that differences in beliefs about the information  contained in public signals vary systematically with geographical  distance, which has been suggested as an important driver of the local  bias in equity markets.
  
  MS Teams: Click here to join the meeting 
   

• November 8, 2022 / 12 noon – 1 pm / online
  David Skeie (Warwick Business School)
  "Digital Currency Runs"
  
  Abstract: Digital currency created by the private sector, such as bitcoin, is designed to have a determined supply and enable payments with the premise of competing with and supplanting central bank fiat money and the banking system. Central banks are developing fiat central bank digital currency (CBDC) and banks are innovating in response. This paper shows that central bank monetary policy interest rates paid on bank reserves must be set dynamically and relative to interest rates (even if zero rates) paid on CBDC to prevent the disintermediation of banks, support optimal firm investment and risk sharing for consumers, and prevent digital currency runs into CBDC. Private digital currency may be preferred over fiat money in countries with high inflation, but using it outside of the banking system reduces investment and risk sharing. Banks can re-emerge by taking deposits and lending in private digital currency to increase investment and risk-sharing while avoiding fiat inflation, but these banks risk having runs into the private digital currency. Private digital currency is superior to traditional hard currencies, such as based on a gold standard, for investment, risk-sharing and financial stability.
  
  MS-Teams link: click here to join the meeting
   

• October 5, 2022 / 12 noon – 1 pm / D3.0.233
  Phillipp Gnan (WU)
  “Revisiting Discount Rates: New Evidence from Surveys” with Maximilian Schleritzko.
  
  Abstract: This paper studies retail investors’ risk-return trade-off. Existing evidence from surveys suggests that households expect lower returns, i.e., lower risk compensation, in bad times. Using a direct measure of retail investors’ subjective discount rates, we find that required compensation for risk nevertheless rises with perceptions of stock market risk. This finding resonates well with long-established principles in asset pricing. We also show that discount rates and perceived risk are more tightly connected for financially literate retail investors and during times of financial and economic distress. Our results have important implications for modelling households’ risk-return trade-off and the design of future surveys eliciting return expectations.