My doctoral thesis has the objective of broadening our understanding regarding the risk dynamics in capital markets. All three essays provide new evidence on how corporate investment decisions affect firm risk and how the adjustment process of risk
can be described. Overall, my research documents the importance of understanding the dynamics of risk. Researchers, investors, and bank supervisors should bear in mind that corporate investment decisions may significantly affect firm risk. The assumption that risk remains constant over time may lead to incorrect conclusions.
Inhaltsverzeichnis (Table of Contents)
- OVERVIEW AND GENERAL RESEARCH OBJECTIVE.
- ESSAY 1: RESEARCH QUESTIONS AND MAIN FINDINGS
- ESSAY 2: RESEARCH QUESTIONS AND MAIN FINDINGS
- ESSAY 3: RESEARCH QUESTIONS AND MAIN FINDINGS
- CROSS-BORDER BANK ACQUISITIONS AND CHANGES IN BANK RISK.
- INTRODUCTION
- RELATED LITERATURE.
- DATA AND METHODOLOGY
- Sample and data..
- Measurements of (bank) risk.
- RESULTS
- Univariate analysis of acquiring bank's risk.
- The acquiring bank's risk, functional diversification, and relative riskiness..
- Robustness Tests..
- Cross-sectional regression on risk changes after cross-border bank M&A
- Quantile regression of revenue diversity
- CONCLUSIONS.
- RISK DYNAMICS SURROUNDING THE ISSUANCE OF CONVERTIBLE BONDS
- INTRODUCTION
- RELATED LITERATURE
- SAMPLE AND RESEARCH METHODS
- Sample Construction.
- Matched Firm Selection.
- Measurements of Risk..
- RESULTS
- Descriptive Analysis..
- Analysis of Systematic Risk Dynamics.
- Univariate Analysis of Systematic Risk Dynamics.
- Cross-sectional Analysis of Post-issuance Beta Changes.
- Effects on Short-term Studies.
- Effects on Long-term Studies.
- CONCLUSION
- TERROR ATTACKS AND THE EFFICIENCY OF RISK ADJUSTMENT..
- INTRODUCTION
- RELATED LITERATURE
- SAMPLE AND RESEARCH METHODS
- Event Definition and Sample Construction.
- Measurements of Systematic and Total Risk.
- RESULTS
- Descriptive Analysis..
- Analysis of Total Firm and Systemic Risk.
- Implications for Event Study Methodology..
- CONCLUSION
- CONCLUSION.
Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)
This doctoral thesis examines the dynamics of firm-level risk, focusing on how risk changes after specific events, such as cross-border bank acquisitions, convertible bond issuances, and terrorist attacks. The research aims to contribute to the understanding of risk management in these contexts and explore the efficiency of risk adjustments. Key themes include:- Impact of cross-border bank acquisitions on bank risk.
- Risk dynamics surrounding the issuance of convertible bonds.
- Efficiency of risk adjustment after terrorist attacks.
- Relationship between functional diversification and risk.
- Application of event study methodology in risk analysis.
Zusammenfassung der Kapitel (Chapter Summaries)
The thesis is structured into three main essays, each exploring a distinct aspect of firm-level risk dynamics:- **Chapter 2: Cross-border Bank Acquisitions and Changes in Bank Risk**: This chapter analyzes the impact of cross-border bank acquisitions on the risk profile of acquiring banks. It examines the relationship between acquisition-induced changes in risk, functional diversification, and relative market risk. The chapter includes a detailed analysis of univariate and multivariate regression results, providing insights into the short-term and long-term effects of acquisitions on acquiring banks' risk levels.
- **Chapter 3: Risk Dynamics Surrounding the Issuance of Convertible Bonds**: This chapter investigates the effects of convertible bond issuance on firm-level risk, focusing on systematic risk. It examines the short-term and long-term changes in systematic risk following convertible bond issuance, considering factors such as firm size, book-to-market ratio, and industry characteristics. The chapter also explores the implications of these findings for event study methodology.
- **Chapter 4: Terrorist Attacks and the Efficiency of Risk Adjustment**: This chapter investigates how firms adjust their risk levels in response to terrorist attacks. It examines the relationship between terrorist attacks and changes in systematic and total firm risk. The chapter discusses the implications of these findings for event study methodology and provides evidence regarding the efficiency of market risk adjustments in the context of terrorist attacks.
Schlüsselwörter (Keywords)
This research explores the dynamics of firm-level risk, focusing on cross-border bank acquisitions, convertible bond issuances, and terrorist attacks. It analyzes risk changes after these events, investigates the efficiency of risk adjustment, and examines the role of functional diversification, event study methodology, and systematic risk in shaping risk profiles.
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- Felix Zeidler (Autor), 2008, The Dynamics of Firm-Level Risk, Múnich, GRIN Verlag, https://www.grin.com/document/168691
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