Contributions published at Finance (Kjell G. Nyborg)

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This thesis analyses Swiss listed non-financial firms trying to explain why firms eschew debt in such an extreme way. Results are that (almost) zero-levered firms are smaller, younger, less profitable, pay more taxes, have a lower tangibility and are committed in less investment costs but have larger cash holdings and growth opportunities. As a further detail information, the zero dividend paying ones are more affected by the financial constraints hypothesis since they are small, young and with a low profitability, while the dividend paying ones with healthier economic conditions eschew debt mostly due to the financial flexibility hypothesis.

This paper examines liquidity in the Swiss franc repurchase (repo) market and assesses its determinants using a proprietary dataset ranging from 2006 to 2016. I find that repo market liquidity has a distinct intraday pattern, with low liquidity in early and late trading hours. Moreover, repo market liquidity is negatively affected by stress in the global financial system and the end of the minimum reserve requirement period if central bank reserves are scarce. Furthermore, I show that with excess central bank reserves in the financial system, quoted volumes in the interbank market get imbalanced towards more cash provider relative to cash taker quotes and the trading volume declines. By estimating liquidity in an interbank repo market and explaining its drivers, this paper contributes to the ongoing debate on repo market functioning.

Inflation measures used in monetary policy are based solely on prices of current consumption goods. Movements in asset prices are not covered by conventional price indices. This paper is concerned with the measurement of inflation and the question whether the inclusion of house prices improve inflation measures used in monetary policy. I computed an expanded version of existing inflation measures that incorporates house prices for five currency areas. The results show that the inclusion of house prices potentially conveys information regarding the future trend of inflation and adds a macro-prudential dimension to the primary target variable of monetary policy.

Stock repurchases are a relatively new phenomenon in the German and Swiss markets. Unlike in the United States of America (US), where share repurchase programs (SRPs) were already governed in the Securities Exchange Act of 1934, share buybacks were essentially prohibited in Germany until 1998 and seemed to be merely inexistent in Switzerland until 1993 (Allen & Michaely, 2007; Andres, Betzer, Doumet & Theissen, 2016; Hackethal & Zdantchouk, 2006; Chung, Isakov & Pérignon, 2007). Given this remarkably timeous advance in legislation, it is not surprising that most of the existing literature covering share repurchases focuses on the US market. In these studies, researchers have revealed that the notion of undervaluation is of major importance in explaining the motivation and the timing of share repurchases.

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The flows-to-equity method is used to value transactions where debt amortizes according to a fixed schedule, requiring a formula that links the changing leverage with a time-varying equity discount rate. We show that extant formulas yield incorrect valuations because they are inconsistent with the basic assumptions of this method. The error from using the wrong formula can be large, especially at currently low interest rates. We derive a formula that captures the effects of a fixed debt plan, potentially expensive debt, and costs of financial distress. We resolve an important issue about what to use as the cost of debt.

The eects of rating downgrades on the CDS-bond basis are analysed in this paper. Past ndings are described on why the parity relationship between bond spreads over the benchmark risk-free rate and credit default swaps fails empirically listing key factors. A series of statistical tests using event studies are performed to demonstrate the basis behaviour around rating downgrades of European banks from 2007 to 2016. Special focus is set on eects of rating agencies, rating levels and nationalities on the CDS-bond basis. Whereas dierences in rating agencies show the most signicant outcomes in contrast to ratings below a certain threshold which barely produce any signicant results.

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The thesis at hand studies the impact of ECB unconventional monetary policy announcements on covered bond yields. I employ event-based regressions to find varying reactions of policy events on covered bond spreads of euro-zone core and periphery countries. I also apply the same regressions on high and low average spread baskets to analyze different reactions within countries. The results show periphery countries reacting stronger to ECB policy than core countries and in the case of Spain, high spread bonds being stronger affected than low spread bonds from the same country. Possible explanations for the results are discussed using related literature.

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This paper evaluates the impact of the European Central Bank’s [ECB] unconventional monetary policies between 2008 and 2016 on Swiss equity and government bond prices as well as Swiss sovereign bond yields by an event-based regression model. In addition, this study analyses if the minimum exchange rate introduced by the Swiss National Bank [SNB] from 2011 and 2015 influenced the effectiveness of the before mentioned interna-tional spillover effects. The results gathered within this work show, that (i) the mentioned unconventional monetary policies introduced by the ECB affected the Swiss financial market significant, (ii) the announcement and the abolishment of the SNB’s currency peg decreased equity and increased government bond prices and (iii) that the fixed exchange rate regime had a restraining impact on international spillover effects of the ECB’s un-conventional monetary policies.

Die Arbeit untersucht den Einfluss der Gesamtsteuerbelastung auf den Marktwert in der Pharmabranche. Zudem geht sie der Frage nach, wie sich die beiden Variablen Effektivsteuersatz und Marktwert über die Jahre 1999 bzw. 2000 bis 2015 verändert haben. Dazu wurde zuerst die bisherige Literatur über den Einfluss von Steuern auf den Unternehmenswert zusammengefasst und anschliessend die Daten von sieben multinationalen Pharmakonzernen analysiert. Obwohl die Effektivsteuersätze klar gesunken sind, liessen die Ergebnisse keinen plausiblen Zusammenhang zum Marktwert erkennen. Dies bestätigen die bisherigen widersprüchlichen Resultate aus der Literatur. Somit bleiben die Auswirkungen der Gesamtsteuerbelastungen auf die Marktwerte unklar.

The research on the effects of taxes on capital structure has its origins in the paper of Miller and Modigliani (1958) and has been an important field of research until now. Despite a huge body of research on whether an increased tax rate leads to increased levels of financial leverage in the firms, the evidence is not yet conclusive. This thesis pursues the goal to review the most important capital structure theories and examine whether financial leverage positively correlates with the tax rate. The gathered data also allow to analyze if the effective tax rate differs from the statutory tax rate and to quantify this gap for the examined countries. Procedure The