TY - JOUR AB - 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. AU - Wengerek, Sascha Tobias AU - Hippert, Benjamin AU - Uhde, André ID - 13147 JF - The Quarterly Review of Economics and Finance KW - European Banking KW - Non-performing Loans KW - Securitization TI - Risk allocation through securitization – Evidence from non-performing loans VL - Vol. 86 (11) ER - TY - GEN AB - 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. AU - Wengerek, Sascha Tobias ID - 17703 KW - event study KW - international relations KW - protectionism KW - strategic trade policy KW - tariffs KW - trade conflict TI - Share price reactions to tariff imposition announcements in the Trump era - An event study of the trade conflict ER - TY - JOUR AU - Ortmann, Regina AU - Pelster, Matthias AU - Wengerek, Sascha Tobias ID - 17730 JF - Finance Research Letters SN - 1544-6123 TI - COVID-19 and investor behavior VL - 37 ER - TY - JOUR AU - Ortmann, Regina AU - Pelster, Matthias AU - Wengerek, Sascha Tobias ID - 41180 JF - Finance Research Letters KW - Finance SN - 1544-6123 TI - COVID-19 and investor behavior VL - 37 ER - TY - JOUR AB - 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. AU - Hippert, Benjamin AU - Uhde, André AU - Wengerek, Sascha Tobias ID - 4562 IS - 2 JF - Review of Derivatives Research KW - Corporate credit default swap indices KW - Mean-variance asset allocation KW - Out-of-sample portfolio optimization KW - Portfolio risk-diversification KW - Portfolio performance evaluation TI - Portfolio Benefits of Adding Corporate Credit Default Swap Indices: Evidence from North America and Europe VL - 22 ER -