@article{34802, abstract = {{Purpose Academic research has intensively analyzed the relationship between market concentration or market power and banking stability but provides ambiguous results, which are summarized under the concentration-stability/fragility view. We provide empirical evidence that the mixed results are due to the difficulty of identifying reliable variables to measure concentration and market power. Design/methodology/approach Using data from 3,943 banks operating in the European Union (EU)-15 between 2013 and 2020, we employ linear regression models on panel data. Banking market concentration is measured by the Herfindahl–Hirschman Index (HHI), and market power is estimated by the product-specific Lerner Indices for the loan and deposit market, respectively. Findings Our analysis reveals a significantly stability-decreasing impact of market concentration (HHI) and a significantly stability-increasing effect of market power (Lerner Indices). In addition, we provide evidence for a weak (or even absent) empirical relationship between the (non)structural measures, challenging the validity of the structure-conduct-performance (SCP) paradigm. Our baseline findings remain robust, especially when controlling for a likely reverse causality. Originality/value Our results suggest that the HHI may reflect other factors beyond market power that influence banking stability. Thus, banking supervisors and competition authorities should investigate market concentration and market power simultaneously while considering their joint impact on banking stability.}}, author = {{Herwald, Sarah and Voigt, Simone and Uhde, André}}, journal = {{Journal of Risk Finance}}, keywords = {{market concentration, market power, banking stability, European banking}}, number = {{3}}, pages = {{510 -- 536}}, title = {{{The conditional impact of market consolidation and market power on banking stability – Evidence from Europe}}}, doi = {{https://doi.org/10.1108/JRF-03-2023-0075}}, volume = {{25}}, year = {{2024}}, } @techreport{34798, author = {{Herwald, Sarah and Voigt, Simone and Uhde, André}}, title = {{{The conditional impact of market consolidation and market power on banking stability – Evidence from Europe}}}, year = {{2023}}, } @article{13147, abstract = {{Employing a unique and hand-collected sample of 648 true sale loan securitization transactions issued by 57 stock-listed banks across the EU-12 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the relationship between true sale loan securitization and the issuing banks’ non-performing loans to total assets ratios. Overall, we provide evidence for a negative impact of securitization on NPL exposures suggesting that banks predominantly used securitization as an instrument of credit risk transfer and diversification. In addition, the analysis at hand reveals a time-sensitive relationship between securitization and NPL exposures. While we observe an even stronger NPL-reducing effect through securitization during the non-crisis periods, the effect reverses during and after the global financial crisis suggesting that banks were forced to provide credit enhancement and employ securitization as a funding management tool. Along with the results from a variety of sensitivity analyses our study provides important implications for the recent debate on reducing NPL exposures of European banks by revitalizing the European securitization market.}}, author = {{Wengerek, Sascha Tobias and Hippert, Benjamin and Uhde, André}}, journal = {{The Quarterly Review of Economics and Finance}}, keywords = {{European Banking, Non-performing Loans, Securitization}}, pages = {{48--64}}, publisher = {{Elsevier}}, title = {{{Risk allocation through securitization – Evidence from non-performing loans}}}, doi = {{https://doi.org/10.1016/j.qref.2022.06.005}}, volume = {{Vol. 86 (11)}}, year = {{2022}}, } @article{35992, abstract = {{In this paper new semiparametric generalized autoregressive conditional heteroscedasticity (GARCH) models with long memory are introduced. A multiplicative decomposition of the volatility into a conditional component and an unconditional component is assumed. The estimation of the latter is carried out by means of a data-driven local polynomial smoother. According to the revised recommendations by the Basel Committee on Banking Supervision to measure market risk in the banks’ trading books, these new semiparametric GARCH models are applied to obtain rolling one-step ahead forecasts for the value-at-risk and expected shortfall (ES) for market risk assets. Standard regulatory traffic-light tests and a newly introduced traffic-light test for the ES are carried out for all models. In addition, model performance is assessed via a recently introduced model selection criterion. The practical relevance of our proposal is demonstrated by a comparative study. Our results indicate that semiparametric long-memory GARCH models are a meaningful substitute for their conventional, parametric counterparts. }}, author = {{Letmathe, Sebastian and Feng, Yuanhua and Uhde, André}}, journal = {{Journal of Risk}}, keywords = {{long memory, generalized autoregressive conditional heteroscedasticity (GARCH) models, value-at-risk (VaR), expected shortfall (ES), traffic-light test, backtesting}}, number = {{2}}, title = {{{Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}}}, volume = {{25}}, year = {{2022}}, } @article{5163, abstract = {{Employing a unique hand-collected sample of 956 credit risk securitization transactions issued by 64 stock-listed European banks across the EU-13 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the impact of securitization on the issuing banks’ effective tax rates. Our analysis reveals that banks may reduce their tax expense through securitization via a direct and indirect channel suggesting that tax avoidance may be a further motive for banks to engage in the securitization business. These baseline findings remain robust under various robustness checks, especially when implementing structural equation models and controlling for a reverse causality between the banks’ tax burden and their incentive to securitize. Finally, various sensitivity analyses provide further important results and implications for tax policies, banking regulation and the ongoing process of revitalizing the European securitization market.}}, author = {{Uhde, André}}, journal = {{The Quarterly Review of Economics and Finance}}, keywords = {{Securitization, Credit risk transfer, Effective tax rates, European banking}}, pages = {{411--421}}, title = {{{Tax avoidance through securitization}}}, doi = {{10.1016/j.qref.2020.07.008}}, volume = {{79}}, year = {{2021}}, } @techreport{36060, abstract = {{Merging a sample of 492 merger and acquisition (M&A) announcements from 284 acquiring firms across Europe and North America with data from 5-year single-name credit default swaps (CDSs) written on stock-listed acquiring firms between 2005 and 2018, the paper at hand empirically analyzes the CDS investors’ risk perceptions of M&A announcements using event study methodologies. As a baseline result, we provide evidence for significantly positive cumulative average abnormal CDS spread changes for both, European and North American acquirers suggesting that CDS investors perceive an increase in the acquiring firms’ credit risk exposures due to M&A announcements. Our baseline finding holds under several robustness checks, especially when controlling for the robustness of the empirical design. Moreover, results from a large variety of sensitivity analyses reveal a number of deal and firm characteristics that may explain why CDS investors from our sample expect an increase in the acquirers’ credit risk exposures due to forthcoming M&A transactions. }}, author = {{Hippert, Benjamin and Uhde, André}}, keywords = {{credit default swaps, risk perception of CDS investors, mergers and acquisitions, event study}}, title = {{{CDS Investors’ Risk Perceptions of M&A Announcements}}}, year = {{2021}}, } @techreport{36063, abstract = {{This paper empirically investigates determinants of the outstanding net notional amount of credit default swaps (CDSs) contracts written on banks. We extend and complement the previous literature dealing with CDS trading by analyzing a comprehensive set of CDS tradingspecific, bank-fundamental, macroeconomic and bank-institutional determinants. We find that risk hedging clearly dominates an investor’s speculation and arbitrage motive, while the latter, however, exhibits the strongest impact on the outstanding net notional amount of bank CDSs. Furthermore, being classified as a G-SIB, being a constituent of the main CDS index and the equity trading volume may significantly explain changes in the outstanding CDS net notional on banks. The analysis at hand provides important implications for both academics and practitioners, since understanding the trading motives of bank CDS investors provides a deeper insight into the opaque CDS market. }}, author = {{Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}}, keywords = {{banking, outstanding CDS net notional, determinants of bank CDS trading}}, title = {{{Determinants of CDS Trading on Major Banks}}}, year = {{2021}}, } @techreport{13146, abstract = {{Employing a sample of 492 merger and acquisition (M&A) announcements from 284 acquirers across North America and Europe between 2005 and 2018, this study analyzes the impact of M&A announcements on an acquirers abnormal CDS spread changes. We find that spreads from CDS which are written on acquirers increase by 310 bps during a symmetric five-day event window suggesting that investors expect an increase in the acquirers credit risk exposure due to M&As. Next to this baseline finding, we conduct a large variety of sensitivity analyses to gain more insight into the driving factors of the rising risk perception of CDS investors due to M&A announcements.}}, author = {{Hippert, Benjamin}}, keywords = {{credit default swaps, risk perception of CDS investors, mergers and acquisitions, event study}}, title = {{{The relationship between announcements of complete mergers and acquisitions and acquirers' abnormal CDS spread changes}}}, year = {{2019}}, } @article{4562, abstract = {{Employing main and sector-specific investment-grade CDS indices from the North American and European CDS market and performing mean-variance out-of-sample analyses for conservative and aggressive investors over the period from 2006 to 2014, this paper analyzes portfolio benefits of adding corporate CDS indices to a traditional financial portfolio consisting of stock and sovereign bond indices. As a baseline result, we initially find an increase in portfolio (downside) risk-diversification when adding CDS indices, which is observed irrespective of both CDS markets, investor-types and different sub-periods, including the global financial crisis and European sovereign debt crisis. In addition, the analysis reveals higher portfolio excess returns and performance in CDS index portfolios, however, these effects clearly differ between markets, investor-types and sub-periods. Overall, portfolio benefits of adding CDS indices mainly result from the fact that institutional investors replace sovereign bond indices rather than stock indices by CDS indices due to better risk-return characteristics. Our baseline findings remain robust under a variety of robustness checks. Results from sensitivity analyses provide further important implications for institutional investors with a strategic focus on a long-term conservative portfolio management.}}, author = {{Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}}, journal = {{Review of Derivatives Research }}, keywords = {{Corporate credit default swap indices, Mean-variance asset allocation, Out-of-sample portfolio optimization, Portfolio risk-diversification, Portfolio performance evaluation}}, number = {{2}}, pages = {{203--259}}, title = {{{Portfolio Benefits of Adding Corporate Credit Default Swap Indices: Evidence from North America and Europe}}}, doi = {{https://doi.org/10.1007/s11147-018-9148-8}}, volume = {{22}}, year = {{2019}}, } @techreport{36004, abstract = {{Employing a unique sample of 2,849 tariff imposition announcements by and against the United States (U.S.) over the period from 2018 to 2019, this study analyzes the impact of recent tariff announcements on share prices from 859 U.S. companies. We provide evidence for negative (cumulative) average abnormal stock returns due to tariff announcements during a symmetric three-day event window. We suggest that stock market investors expect adverse impacts of tariff impositions, e.g. a decrease in the companies' future cash flows and a threat of retaliation. The negative wealth effects are observed irrespective of whether the Trump administration announces safeguard tariffs to protect domestic firms or a retaliation is declared by foreign countries. Moreover, building several subsamples, we find that the adverse impact is mostly driven by announcements involving China and is associated with a variety of sector, tariff, trade and firm characteristics. }}, author = {{Wengerek, Sascha Tobias and Uhde, André}}, keywords = {{event study, international relations, protectionism, strategic trade policy, tariffs, trade conflict}}, publisher = {{Paderborn University}}, title = {{{Share price reactions to tariff imposition announcements in the Trump era – An event study of the trade conflict}}}, year = {{2019}}, } @techreport{13145, abstract = {{Employing credit default swap (CDS) data for a sample of 52 major banks across 18 countries from 2008 to 2016, this paper investigates determinants of the outstanding net notional amount of CDS which are written on banks. We extend the current literature dealing with CDS trading by analyzing further CDS trading-specific, fundamental bank-specific as well as macroeconomic and institutional determinants with a focus on bank CDS trading. We find that, next to well-discussed determinants for corporate firms in the literature, especially a bank's tail risk, capital adequacy, loan portfolio and business model affect a bank's outstanding CDS net notional. This finding indicates that investors in the bank CDS market partly have a recourse to a fundamental analysis for their investment decision. Our study fills an important gap since empirical studies have solely focused on sovereign and corporate CDS yet. In addition, the analysis at hand provides important implications for both academics and practitioners since understanding the trading motives of bank CDS investors gives deeper insights into the still opaque CDS market. }}, author = {{Hippert, Benjamin and Uhde, André and Wengerek, Sascha Tobias}}, keywords = {{banking, outstanding CDS net notional, determinants of bank CDS trading}}, title = {{{Determinants of CDS trading on major banks}}}, year = {{2019}}, } @techreport{5170, abstract = {{Employing credit default swap (CDS) data for a sample of 52 major banks across 18 countries from 2008 to 2016, this paper investigates determinants of the outstanding net notional amount of CDS which are written on banks. We extend the current literature dealing with CDS trading by analyzing further CDS trading-specifi c, fundamental bank-speci fic as well as macroeconomic and institutional determinants with a focus on bank CDS trading. We fi nd that, next to well-discussed determinants for corporate firms in the literature, especially a bank's tail risk, capital adequacy, loan portfolio and business model affect a bank's outstanding CDS net notional. This finding indicates that investors in the bank CDS market partly have a recourse to a fundamental analysis for their investment decision. Our study fills an important gap since empirical studies have solely focused on sovereign and corporate CDS yet. In addition, the analysis at hand provides important implications for both academics and practitioners since understanding the trading motives of bank CDS investors gives deeper insights into the still opaque CDS market.}}, author = {{Hippert, Benjamin and Uhde, André}}, keywords = {{banking, outstanding CDS net notional, determinants of bank CDS trading}}, title = {{{Determinants of CDS trading on major banks}}}, year = {{2019}}, } @book{3378, abstract = {{Nach der Finanzkrise sind die Modellwelten der Finanzierungstheorie, vor allem diejenigen, die auf vollkommenen Märkten spielen, nicht mehr zeitgemäß. Heute muss die Lehre zu Theorie und Praxis der Finanzierungspolitik beide Sphären miteinander verbinden - wie es das Konzept dieses neuen Lehrbuchs verfolgt: Aus der strategischen Sicht des Finanzleiters werden die zentralen Themen der unternehmerischen Finanzierungspolitik aufgezeigt: Investitionsrechnung, Nutzung von Finanzmärkten, -intermediären und -instrumenten, Finanzielles Risikomanagement, Finanzkommunikation, Gestaltung von Unternehmensstruktur und -kontrolle. Mit vielen Anwendungsbeispielen und Einblicken in die Praxis.}}, author = {{Paul, Stephan and Horsch, Andreas and Kaltofen, Daniel and Uhde, André and Weiß, Gregor}}, isbn = {{ 978-3-7910-3086-9}}, keywords = {{Investitionsrechnung, finanzielles Risikomanagement, Finanzkommunikation}}, pages = {{760}}, publisher = {{Schäffer Poeschel}}, title = {{{Unternehmerische Finanzierungspolitik}}}, volume = {{1}}, year = {{2017}}, } @techreport{5171, abstract = {{Employing a unique and hand-collected sample of 648 true sale loan securitization transactions issued by 57 stock-listed banks across the EU-12 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the relationship between true sale loan securitization and the issuing banks' non-performing loan to total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase of securitizations in Europe suggesting that banks in our sample may (partly) securitize NPLs as the most risky junior tranche and do not (fully) retain NPLs as a reputation and quality signal towards less informed investors in imperfect capital markets. In contrast, we fi nd the reverse effect during the crises period in Europe indicating that issuing banks provided credit enhancement and demonstrated `skin in the game'. Our baseline result remains robust when controlling for endogeneity concerns and a potential persistence in the time series of the NPL data. Moreover, results from a variety of sensitivity analysis reveal that the NPLR-reducing effect is stronger for opaque securitization transactions, for issuing banks exhibiting higher average levels of NPLRs and for banks operating from non-PIIGS countries. In addition, a reduction of NPLRs through securitization is observed for issued collateralized debt obligations, residential mortgage-backed securities, consumer and other unspeci ed loans as well as for non-frequently issuing, systemically less important and worse-rated banks. Our analysis offers essential insights into the loan risk allocation process through securitization and provides important implications for the vital debate on reducing NPL exposures and the process of revitalizing and regulating the European securitization market.}}, author = {{Uhde, André and Wengerek, Sascha Tobias}}, keywords = {{European Banking, Non-performing Loans, Risk Allocation, Securitization}}, title = {{{The relationship between credit risk transfer and non-performing loans. Evidence from European banks}}}, year = {{2017}}, } @article{3376, abstract = {{Employing compensation data provided by 63 banks from 16 European countries for the period from 2000 to 2010 this paper empirically investigates the impact of excess variable compensation on bank risk. As a main finding, we provide evidence for a risk-increasing impact of excess variable pay for both executive variable cash-based and variable equity-based compensation. This baseline finding holds under various robustness checks, in particular when controlling for likely reverse causality between bank risk and variable compensation by employing Granger-causality tests and instrumental variable regressions. In addition, results from a large number of sensitivity analyses including board and banking characteristics as well as the financial crisis period and the quality of a country's regulatory framework provide further important implications for banking regulators and politicians in Europe.}}, author = {{Uhde, André}}, journal = {{The Quarterly Review of Economics and Finance}}, keywords = {{Banking, Executive compensation, Risk-taking, Financial stability}}, number = {{5}}, pages = {{12--28}}, publisher = {{Elsevier}}, title = {{{Risk-taking incentives through excess variable compensation: Evidence from European banks}}}, doi = {{https://doi.org/10.1016/j.qref.2015.11.009}}, volume = {{60}}, year = {{2016}}, } @article{4396, abstract = {{Analyzing 75 securitizing and non-securitizing stock-listed banks in the EU-13 plus Switzerland over the period from 1997 to 2010, this paper provides empirical evidence that loan securitization in Europe is a composite decision based on bank-specific as well as market- and country-specific determinants. In addition, we find that these determinants remarkably change when separately investigating securitization transactions during the pre-crisis and crisis period. Moreover, results from several subsample regressions reveal that determinants of loan securitizations in Europe depend on the transaction type, the underlying asset portfolio and the regulatory and institutional environment under which banks operate.}}, author = {{Farruggio, Christian and Uhde, André}}, journal = {{Journal of Banking and Finance}}, keywords = {{Securitization, Determinants, European banking}}, pages = {{12--27}}, title = {{{Determinants of loan securitization in European banking}}}, doi = {{10.1016/j.jbankfin.2015.01.015 }}, volume = {{56}}, year = {{2015}}, } @article{4398, abstract = {{Employing a Hausman–Taylor instrument variable (HT–IV) estimator to data from 558 microfinance institutions (MFIs) in 80 developing countries for the period from 2002 to 2007, this paper provides empirical evidence for a positive impact of a country's external governance quality and outcome on local microbanks' economic success in terms of profitability and sustainability. Evidence as well suggests a negative relationship between external governance and the microbanks' social success measured by the depth of outreach. In this context, our analysis reveals that a country's political stability, governance effectiveness, regulatory quality and rule of law are significant key elements of external governance affecting the MFIs' functional performance. Moreover, results from sensitivity analyses indicate that the relationship between external governance quality and microfinance functional performance significantly depends on the microbanks' business concepts, their lending methodologies and sources of funding.}}, author = {{Uhde, André and Müller, Oliver}}, issn = {{1752-0487}}, journal = {{ International Journal of Monetary Economics and Finance }}, keywords = {{microfinance, external governance, economic success, social success, developing countries, profitability, sustainability, microbanks, outreach, political stability, governance effectiveness, regulatory quality, rule of law, governance quality, lending methodologies, funding sources}}, number = {{2/3}}, pages = {{116--149}}, title = {{{External governance outcome and microfinance success}}}, doi = {{https://doi.org/10.1504/IJMEF.2013.056394}}, volume = {{6}}, year = {{2013}}, } @article{4397, abstract = {{Employing four event dates of the U.S. “Troubled Asset Relief Program” (TARP) this paper empirically investigates the impact of the first announcement of TARP (September 19, 2008), the announcement of revised TARP (October 14, 2008), respective capital infusions under TARP-CPP and capital repayments on changes in shareholder value and risk exposure of 125 supported U.S. banks as perceived by the capital market through share price reactions for an entire sample period from September 19, 2008 to June 16, 2010. Our analysis reveals a light and a dark side of TARP. While announcements as well as capital repayments may restore market confidence and financial stability, equity capital injections to banks are observed to be a severe impediment to an increase in bank shareholder value and financial soundness. }}, author = {{Farruggio, Christian and Michalak, Tobias C. and Uhde, André}}, journal = {{Journal of Banking and Finance}}, keywords = {{Financial crisis, TARP, Market efficiency, Event study}}, number = {{5}}, pages = {{2586--2604}}, title = {{{The light and dark side of TARP}}}, doi = {{10.1016/j.jbankfin.2013.02.020}}, volume = {{32}}, year = {{2013}}, } @article{4399, abstract = {{Using a unique sample of 749 cash and synthetic securitization transactions issued by 60 stock-listed bank holdings in the EU-13 plus Switzerland over the period from 1997 to 2007 this paper provides empirical evidence that credit risk securitization has a negative impact on the issuing banks’ financial soundness. Baseline findings hold even when controlling for likely reverse causality by employing instrumental variable techniques and substituting the accounting-based z-score ratio by market-based indicators of bank risk. Moreover, investigating the relationship between credit risk securitization and single z-score components in order to evaluate significant transmission channels proposed by relevant theoretical literature, we find a negative impact of securitization on bank profitability and capital environment as well as a positive relationship between securitization and the issuing bank's return volatility. Against the background of our empirical results we underline that the decision by the Basel Committee to enhance the new Basel III framework in the field of securitization is a step in the right direction.}}, author = {{Michalak, Tobias C. and Uhde, André}}, journal = {{Quarterly Review of Economics and Finance}}, keywords = {{Credit risk securitization Bank soundness European banking}}, number = {{3}}, pages = {{272--285}}, title = {{{ Credit risk securitization and bank soundness: Evidence from the microlevel for Europe}}}, doi = {{https://doi.org/10.1016/j.qref.2012.04.008}}, volume = {{52}}, year = {{2012}}, } @article{4401, abstract = {{Employing data on foreign bank claims from 13 OECD countries on 51 emerging markets between 1993 and 2007, this study investigates specific characteristics of OECD banking markets and lending banks as new important determinants of cross-border lending. We initially provide empirical evidence that in addition to well-accepted “gravity measures”, characteristics of OECD banking markets as well as lending banks’ attributes may describe further important determinants of cross-border bank lending with regard to our sample. Building subsamples of more-developed emerging markets vs. frontier markets, addressing (non) common lender relationships and analyzing cross border lending flows during different time periods, our analysis additionally reveals that both the determinants’ explanatory power and their direction of impact notably vary with respective subsamples.}}, author = {{Müller, Oliver and Uhde, André}}, journal = {{Journal of International Financial Markets, Institutions & Money}}, keywords = {{Foreign bank claims, Gravity measures, OECD banking markets’ characteristics, Lending banks’ characteristics}}, pages = {{136--162}}, title = {{{Cross-border bank lending - Empirical evidence on further determinants from OECD banking markets}}}, doi = {{DOI: 10.1016/j.intfin.2012.09.004 }}, volume = {{23}}, year = {{2012}}, }