Policy & Press
Policy and Press:
Climate Change and Financial Stability: The Weather Channel
(with Donald Morgan)
Federal Reserve Bank of New York Liberty Street Economics, April 4, 2022
The Adverse Effect of “Mandatory” Flood Insurance on Access to Credit
(with Katherine Engelman, Theo Linnemann, and João A.C. Santos)
Federal Reserve Bank of New York Liberty Street Economics, May, 23, 2022
Banking the Unbanked: The Past and Future of the Free Checking Account
(with Stein Berre and Rajashri Chakrabarti)
Federal Reserve Bank of New York Liberty Street Economics, June 30, 2021
The Costs of Corporate Debt Overhang Following the COVID-19 Outbreak
(with João A.C. Santos)
Federal Reserve Bank of New York Liberty Street Economics, December 01, 2020
How Has COVID-19 Affected Banking System Vulnerability?
(with Matteo Crosignani, Fernando M. Duarte, Thomas M. Eisenbach, Fulvia Fringuellotti, and Anna Kovner)
Federal Reserve Bank of New York Liberty Street Economics, November 16, 2020
Banking System Vulnerability: Update
(with Fernando M. Duarte, Thomas M. Eisenbach, and Anna Kovner)
Federal Reserve Bank of New York Liberty Street Economics, December 18, 2019
Der Steinige Weg zum Wohneigentum
(with Martin Brown)
Saturday edition of the NZZ
Wer nicht erbt, kann nicht kaufen
(with Martin Brown)
Ökonomenstimme
Policy Oriented Research:
Announcement Effects of Contingent Convertible Securities: Evidence from the Global Banking Industry
(with Manuel Ammann and Christian Ehmann)
Abstract: This paper investigates the announcement effects of contingent convertible securities (CoCo bonds) issued by global banks between January 2009 and June 2014. Using a sample of 34 financial institutions and 87 CoCo bond issues, we examine abnormal stock price reactions and CDS spread changes before and after the announcement dates. We find that the announcement of CoCo bonds correlates with positive abnormal stock returns and negative CDS spread changes in the immediate post-announcement period. The effects are most pronounced for first-time issues. We explain the CDS spread changes by the lower probability of costly bankruptcy proceedings and the abnormal stock returns by a signaling framework that is based on pecking order theory and the cost advantage over equity (tax shield). We also examine the factors that are associated with the post-announcement abnormal stock returns and find that the existence of issuer call provisions reduces the positive abnormal returns.
Status: Published in European Financial Management (EFM); older version available on SSRN