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Josef Zech­ner

Josef Zech­ners re­search has con­trib­uted to unify as­set pri­cing the­ory with cor­por­ate fin­ance. Several of his pa­pers de­rive valu­ation mod­els for cor­por­ate claims in the pres­ence of de­fault risk. He has developed (jointly with Robert Heinkel and Ed­win Fis­cher) a cor­por­ate bond pri­cing model which ex­pli­citly al­lows firms to ad­just their cap­ital struc­ture or to de­fault on their debt at any point in time. This model has be­come one of the stand­ard refer­ences in the cap­ital struc­ture and bond valu­ation lit­er­at­ure. More re­cently he has ex­ten­ded cor­por­ate bond pri­cing to re­late the valu­ation mod­els to stand­ard credit risk meas­ures, such as ex­pec­ted de­fault fre­quen­cies (EDFs) and Value-at-Risk, and to de­rive a the­ory of op­timal debt ma­tur­ity (jointly with Tho­mas Dangl).
In an­other ser­ies of pa­pers, he has de­rived as­set pri­cing mod­els which ac­count for the fact that firm's own­er­ship struc­tures in­flu­ence their cor­por­ate gov­ernance and there­fore their fun­da­mental val­ues. In par­tic­u­lar share­holder act­iv­ism will de­pend on own­er­ship con­cen­tra­tion. Thus, the port­fo­lio de­cisions of in­vestors gen­er­ally af­fect se­cur­it­ies prices. The im­plic­a­tions for equi­lib­rium pri­cing, port­fo­lio hold­ings and the de­gree of share­holder act­iv­ism have been de­rived in a pa­per joint with Anat Ad­mati and Paul Pflei­derer. The im­plic­a­tions of share­holder act­iv­ism and own­er­ship struc­ture on IPO design and IPO pri­cing have been ex­plored in a pa­per joint with Neal Stoughton.
A third ma­jor strand of re­search fo­cuses on the ef­fects of gov­ernance in the as­set man­age­ment in­dustry. The tra­di­tional as­set pri­cing lit­er­at­ure does not con­sider the fact that in­di­vidual se­cur­it­ies are fre­quently not held dir­ectly by in­di­vidual in­vestors but via in­sti­tu­tions such as mu­tual funds or closed-end funds. In many in­stances in­vest­ment de­cisions are there­fore deleg­ated to a port­fo­lio man­ager who is in turn chosen by a port­fo­lio man­age­ment com­pany. In a pa­per (joint with Tho­mas Dangl and Youchang Wu), he ex­plores the man­age­ment com­pan­ies' in­cent­ives to re­place port­fo­lio man­agers, to choose par­tic­u­lar port­fo­lio risk levels, to de­cide how act­ively a fund should be man­aged and what man­age­ment fee should be charged. In an em­pir­ical study (joint with Russ Wer­mers and Youchang Wu) he ana­lyses the ef­fect of gov­ernance on closed end fund dis­counts.
The above pa­pers have been pub­lished in lead­ing fin­ance and eco­nom­ics journ­als such as the Journal of Fin­ance, the Journal of Fin­an­cial Eco­nom­ics, the Journal of Polit­ical Economy, the Re­view of Fin­an­cial Stud­ies and the Journal of Busi­ness.

Work­ing pa­pers