Spillover Effects among Financial Institutions: A State-dependent Sensitivity Value-at-Risk Approach
Z. Adams, R. Füss, Reint E. Gropp
Journal of Financial and Quantitative Analysis,
Nr. 3,
2014
Abstract
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). For four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions.
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How Important are Hedge Funds in a Crisis?
Reint E. Gropp
FRBSF Economic Letters,
Nr. 11,
2014
Abstract
Before the 2007–09 crisis, standard risk measurement methods substantially underestimated the threat to the financial system. One reason was that these methods didn’t account for how closely commercial banks, investment banks, hedge funds, and insurance companies were linked. As financial conditions worsened in one type of institution, the effects spread to others. A new method that more accurately accounts for these spillover effects suggests that hedge funds may have been central in generating systemic risk during the crisis.
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Venture Capitalists on Boards of Mature Public Firms
Ugur Celikyurt, Merih Sevilir, Anil Shivdasani
Review of Financial Studies,
Nr. 1,
2014
Abstract
Venture capitalists (VCs) often serve on the board of mature public firms long after their initial public offering (IPO), even for companies that were not VC-backed at the IPO. Board appointments of VC directors are followed by increases in research and development intensity, innovation output, and greater deal activity with other VC-backed firms. VC director appointments are associated with positive announcement returns and are followed by an improvement in operating performance. Firms experience higher announcement returns from acquisitions of VC-backed targets following the appointment of a VC director to the board. Hence, in addition to providing finance, monitoring and advice for small private firms, VCs play a significant role in mature public firms and have a broader influence in promoting innovation than has been established in the literature.
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Why Do Banks Provide Leasing?
D. Bülbül, Felix Noth, M. Tyrell
Journal of Financial Services Research,
Nr. 2,
2014
Abstract
Banks are engaging in leasing activities at an increasing rate, which is demonstrated by aggregated data for both European and U.S. banking companies. However, little is known about leasing activities at the bank level. The contribution of this paper is the introduction of the nexus of leasing in banking. Beginning from an institutional basis, this paper describes the key features of banks’ leasing activities using the example of German regional banks. The banks in this sample can choose from different types of leasing contracts, providing the banks with a degree of leeway in conducting business with their clients. We find a robust and significant positive impact of banks’ leasing activities on their profitability. Specifically, the beneficial effect of leasing stems from commission business in which the bank acts as a middleman and is not affected by the potential defaults of customers.
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Spillover Effects among Financial Institutions: A State-dependent Sensitivity Value-at-Risk Approach
Z. Adams, R. Füss, Reint E. Gropp
Abstract
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.
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The Internationalization of Science and Its Influence on Academic Entrepreneurship
S. Krabel, D. S. Siegel, Viktor Slavtchev
Journal of Technology Transfer,
Nr. 2,
2012
Abstract
We examine whether scientists employed in foreign countries and foreign-educated native researchers are more “entrepreneurial” than their “domestic” counterparts. We conjecture that foreign-born and foreign-educated scientists possess broader scientific skills and social capital, which increases their likelihood that they will start their own companies. To test this hypothesis we analyze comprehensive data from researchers at the Max Planck Society in Germany. Our findings provide strong support for the conjecture that academic entrepreneurship can be stimulated by facilitating the mobility of scientists across countries.
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The Role of Investment Banking for the German Economy: Final Report for Deutsche Bank AG, Frankfurt/Main
Michael Schröder, M. Borell, Reint E. Gropp, Z. Iliewa, L. Jaroszek, G. Lang, S. Schmidt, K. Trela
ZEW-Dokumentationen, Nr. 12-01,
Nr. 1,
2011
Abstract
The aim of this study is to assess the contributions of investment banking to the economy with a particular focus on the German economy. To this end we analyse both the economic benefits and the costs stemming from investment banking.
The study focuses on investment banks as this part of banking is particularly relevant for financing companies as well as the development and use of specific products to support the needs of private and professional clients. The assessment of benefits and costs of investment banking has been conducted from a European perspective. Nevertheless there is a focus on the German economy to allow a more detailed analysis of certain aspects as for example the use of derivatives by German companies, the success of M&As in Germany or the effect of securitization on loan supply and GDP in Germany. For comparison purposes other European countries and also the U.S. have been taken into account.
The last financial crisis has shown the negative impacts of banks on the financial system and the whole economy. In a study on the contribution of investment banks to systemic risk we quantify the negative side of the investment banking business.
In the last part of the study we assess how the effects of regulatory changes on investment banking. All important changes in banking and capital market regulation are taken into account such as Basel III, additional capital requirements for systemically important financial institutions, regulation of OTC derivatives and specific taxes.
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Industrial Associations as a Channel of Business-Government Interactions in an Imperfect Institutional Environment: The Russian Case
A. Yakovlev, A. Govorun
IWH Discussion Papers,
Nr. 16,
2011
Abstract
International lessons from emerging economies suggest that business associations may provide an effective channel of communication between the government and the private sector. This function of business associations may become still more important in transition economies, where old mechanisms for coordinating enterprise activities have been destroyed, while the new ones have not been established yet. In this context, Russian experience is a matter of interest, because for a long time, Russia was regarded as a striking example of state failures and market failures. Consequently, the key point of our study was a description of the role and place of business associations in the presentday
Russian economy and their interaction with member companies and bodies of state
administration. Relying on the survey data of 957 manufacturing firms conducted in
2009, we found that business associations are more frequently joined by larger companies, firms located in regional capital cities, and firms active in investment and innovation. By contrast, business associations tend to be less frequently joined by business groups’ subsidiaries and firms that were non-responsive about their respective ownership structures. Our regression analysis has also confirmed that business associations are a component of what Frye (2002) calls an “elite exchange”– although only on regional and local levels. These “exchanges” imply that members of business associations, on the one hand, more actively assist regional and local authorities in social development of their regions, and on the other hand more often receive support from authorities. However, this effect is insignificant in terms of support from the federal government. In general, our results allow us to believe that at present, business associations (especially the
industry-wide and “leading” ones) consolidate the most active, advanced companies and act as collective representatives of their interests. For this reason, business associations can be regarded as interface units between the authorities and businesses and as a possible instrument for promotion of economic development.
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How an IPO Helps in M&A
Ugur Celikyurt, Merih Sevilir, Anil Shivdasani
Journal of Applied Corporate Finance,
Nr. 2,
2010
Abstract
An initial public offering (IPO) can often provide a powerful stimulus to private companies seeking to pursue an acquisition-driven growth strategy. Based on a comprehensive analysis of U.S. IPOs, the authors show that newly public companies are prolific acquirers. Over 30% of companies conducting an IPO make at least one acquisition in their IPO year, and the typical IPO firm makes about four acquisitions during its first five years as a public company. IPOs facilitate M&A not only by providing infusions of capital but also by creating ongoing access to equity and debt markets for cash-financed deals. In addition, IPOs create an acquisition currency that can prove valuable in stock-financed deals when the shares are attractively priced. The authors also argue that IPOs improve the ability of companies to conduct M&A by resolving some of the valuation uncertainty facing privately held companies.
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