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Studies

Get to know our research programmes and find out about the results of the individual studies:

Household Finance research programme - financial knowledge, financial consulting and household financial decisions

Research Programme Empirical Capital Market Research

  • Inhalt ausklappen Inhalt einklappen Which influencing factors drove bond prices in nervous market phases?Which influencing factors drove bond prices in nervous market phases?

    This study deals with the question relevant for investors and issuers, but also for financial regulators, which influencing factors determine the prices of corporate bonds. We use a regime-switching approach to model US corporate bond prices. This approach makes it possible for the strength of the influence of price-relevant risk factors on interest premiums to differ between phases of calmer financial markets and phases of financial market stress, with the two alternating market conditions being derived directly from the observed behavior of all model variables. The study finds empirical evidence that, in quiet market phases, corporate bond prices are mainly driven by credit and interest rate risk. However, these two influencing factors lose importance in phases of nervous, volatile markets and (lack of) liquidity comes to the fore as a determinant.

    The study The Nonlinear Dynamics of Corporate Bond Spreads: Regime-Dependent Effects of their Determinants (Fischer & Stolper, 2021) documents the project and is published in Jahrbücher für Nationalökonomie und Statistik (published online ahead of print 2021).

  • Inhalt ausklappen Inhalt einklappen How do securities analysts work?How do securities analysts work?

    In their role as information intermediaries between listed companies and investors, securities analysts play a particularly important role in efficient capital markets. This includes informing the market in regular reports about information events that may be relevant to the share price of the analyzed stock corporation. In this explorative project, original reports from securities analysts were used to extract for the first time the information events leading to a report and compare their relative relevance to the analyst's work. The results of this work suggest that analysts attach particular importance to non-financial information events when translating earnings estimates into price targets and transaction recommendations. In addition, it can be seen that forward-looking statements by corporate management with a strategic reference particularly frequently lead to adjustments in the summary measures reported in analyst reports (i) earnings estimates, (ii) price targets and (iii) transaction recommendations.

    The study Tagging the Triggers: An Empirical Analysis of Information Events Prompting Sell-Side Analyst Reports (Kerl, Stolper & Walter, 2012) documents the project and is published in Financial Markets and Portfolio Management 26(2), 217–246.