joint work with Dominik Walter (VGSF) and Rüdiger Weber (WU).  April 2023.

Abstract: We systematically study the variation in returns induced by varying 14 methodological decisions in portfolio sorts. These non-standard errors range between 0.14 and 0.39 percent per month and are larger than standard errors. However, for most sorting variables, mean return differentials and alphas are pervasively positive, statistically significant, and increase monotonically. Decisions such as excluding firms with negative earnings or the information time lag have an impact comparable to size-related ones. Non-standard errors are countercyclical, raising concerns about non-classical measurement error in predictive regressions. Using our publicly available code to report distributions of estimated premia provides an easy remedy.

Internet Appendix, open source code on Github with full replication and all-in-one script.

Presentations: Australasian 2022, AWG 2022,  DGF 2023°, EFA 2023°, EFMA 2023*, PFMC 2022*, University of Vienna

joint work with Lukas Handler (WU) and Rainer Jankowitsch (VGSF & WU).  February 2023.

Abstract: In this paper, we analyze the key drivers of bond covenant prices by employing a novel measurement approach based on secondary market data. We find that covenant prices vary significantly over time and are associated with market-wide credit risk, volatility, and macroeconomic variables. Apart from the time-series dynamics, there is also significant variation across bond and firm characteristics. In particular, covenant prices increase with the riskiness of bonds and are higher for firms that have more growth options, more tangible assets, and are smaller. Furthermore, we document a positive correlation between the prices of covenants and their subsequent inclusion rates.

Presentations: Australasian 2021, AWG 2021, EFMA 2022, DGF 2022, Reykjavik University, SFA 2022*, VGSF Conference 2019