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We analyze global data about electricity generation and document that the risk exposure of a firm’s owners and its workers depends on competitors’ ability or willingness to change their output in response to productivity shocks. Competitor inflexibility appears to be a risk factor: the sales of firms with more inflexible competitors respond more strongly to aggregate sales shocks. As a consequence, competitor inflexibility also affects the stability of firms’ total wage- and dividend-payments. Firms with relatively flexible competitors appear to smoothen both wages and dividends, but an increase in competitor inflexibility is associated with less dividend-smoothing and more wage-smoothing. Our evidence supports the idea that labor productivity risk associated with competitor inflexibility should be borne by firms’ shareholders, rather than by their workers.
Low risk anomalies?
(2016)
This paper shows theoretically and empirically that beta- and volatility-based low risk anomalies are driven by return skewness. The empirical patterns concisely match the predictions of our model which generates skewness of stock returns via default risk. With increasing downside risk, the standard capital asset pricing model increasingly overestimates required equity returns relative to firms' true (skew-adjusted) market risk. Empirically, the profitability of betting against beta/volatility increases with firms' downside risk. Our results suggest that the returns to betting against beta/volatility do not necessarily pose asset pricing puzzles but rather that such strategies collect premia that compensate for skew risk.
Using merger announcements and applying methods from computational linguistics we find strong evidence that stock prices under-react to information in financial media. A one standard deviation increase in the media-implied probability of merger completion increases the subsequent 12-day return of a long-short merger strategy by 1.2 percentage points. Filtering out the 28% of announced deals with the lowest media-implied completion probability increases the annualized alpha from merger arbitrage by 9.3 percentage points. Our results are particularly pronounced when high-yield spreads are large and on days when only few merger deals are announced. We also document that financial media information is orthogonal to announcement day returns.
The ECB’s Outright Monetary Transactions (OMT) program, launched in summer 2012, indirectly recapitalized periphery country banks through its positive impact on the value of sovereign bonds. However, the regained stability of the European banking sector has not fully transferred into economic growth. We show that zombie lending behavior of banks that still remained undercapitalized after the OMT announcement is an important reason for this development. As a result, there was no positive impact on real economic activity like employment or investment. Instead, firms mainly used the newly acquired funds to build up cash reserves. Finally, we document that creditworthy firms in industries with a high prevalence of zombie firms suffered significantly from the credit misallocation, which slowed down the economic recovery.
SAFE Newsletter : 2016, Q3
(2016)
SAFE Newsletter : 2016, Q4
(2016)
The grammar of global law
(2016)
Legal grammar is understood as the conceptual and linguistic foundation on which legal decisions rest – law’s meta-structure, its argumentative techniques and its systematicity. The essay distinguishes between two ways of thinking about this grammar. The first way of thinking appeals to a grammar as a stabilizing factor, maintaining the coherence of the law. The second way of thinking highlights the asymmetries of power within this structure and perceives legal grammar as the medium carrying the ideological commitments of the law. As the essay ultimately argues, both perspectives react differently to the challenges of globalization that the law is confronted with. While the debate on the grammar(s) of global law is one place where future political order is negotiated, the outcome of the debate is largely open.
Background: Ovarian cancer is mostly associated with pathologically regulated permeability of peritoneal vessels, leading to ascites. Here, we investigated the molecular regulation of endothelial permeability by the vascular endothelial growth factor (VEGF) and both tight and adherens junction proteins (VE-cadherin and claudin 5) with regards to the tumor biology of different ovarian cancer types.
Methods: Serum and ascites samples before and after surgery, as well as peritoneal biopsies of 68 ovarian cancer patients and 20 healthy controls were collected. In serum and ascites VEGF protein was measured by ELISA. In peritoneal biopsies co-localization of VE-cadherin and claudin 5 was investigated using immunohistochemical dual staining. In addition, the gene expression of VE-cadherin and claudin 5 was quantified by Real-time PCR. Differences in VEGF levels, VE-cadherin and claudin 5 gene expression were analyzed in relation to various tumor characteristics (tumor stage, grading, histological subtypes, resection status after surgery) and then compared to controls. Furthermore, human primary ovarian cancer cells were co-cultured with human umbilical vein endothelial cells (HUVEC) and changes in VE-cadherin and claudin 5 were investigated after VEGF inhibition.
Results: VEGF was significantly increased in tumor patients in comparison to controls and accumulates in ascites. The highest VEGF levels were found in patients diagnosed with advanced tumor stages, with tumors of poor differentiation, or in the group of solid / cystic-solid tumors. Patients with residual tumor after operation showed significantly higher levels of VEGF both before and after surgery as compared to tumor-free resected patients. Results of an immunohistochemical double-staining experiment indicated co-localization of VE-cadherin and claudin 5 in the peritoneal vasculature. Compared to controls, expression of VE-cadherin and claudin 5 was significantly suppressed in peritoneal vessels of tumor patients, but there were no significant differences regarding VE-cadherin and claudin 5 expression in relation to different tumor characteristics. A significant positive correlation was found between VE-cadherin and claudin 5 expression. VEGF inhibition in vitro was associated with significant increase in VE-cadherin and claudin 5.
Conclusions: Our results indicate that increased peritoneal permeability in ovarian cancer is due to down-regulation of adhesion proteins via tumor derived VEGF. Advanced ovarian cancer with aggressive tumor biology may be associated with early dysregulation of vascular permeability leading to ascites. These patients may benefit from therapeutic VEGF inhibition.