Finance Brown Bag Seminar
The Finance Brown Bag Seminar is held jointly with the Vienna Graduate School of Finance (VGSF) and serves as a presentation platform for PhD students, faculty members, and visitors. It usually takes place on Wednesdays from 12:00 to 13:00 (location tba). For further information, please contact firstname.lastname@example.org
Winter Term 2020/2021
December 9th, 2020, 1.00 p.m. - 2.00 p.m. online via MS Teams
You can access the meeting starting from 12:45 p.m. using this link.Florian Pauer, WU Wien
Title: Sell or Hold? On the Value of Non-Performing Loans and Mandatory Write-Off Rules
Abstract: This paper investigates the decision that rational banks face when they consider selling a non-performing loan (NPL). We start with developing a risk neutral pricing model for non-performing loans and show that even if a bank and a potential buyer agree on the expected recovery value a difference in the precision in the estimation of the drift of the underlying recovery process may greatly influence the decision to sell an NPL. This difference could be due to private information of the bank about the borrower’s loan history or due to a larger sample of similar borrowers where defaults can be observed. Furthermore, the question if it is optimal to hold on to an NPL is also affected by capital requirements and funding costs banks typically face. This is of particular interest in the light of mandatory write-off policies, which basically force banks to write-off/provision for NPLs after some time has passed. This raises the question whether or not banks are incentivized to sell NPLs at prices that are too low and thus represent a wealth transfer from banks to other capital market participants. Given the results presented here it can be concluded that mandatory write-off rules would indeed lead to the aforementioned transfer and that such policies could be refined to incorporate a bank’s ability to estimate time-series properties of an NPL’s underlying recovery rate process.
November 24th, 2020, 11:30 a.m. -12:30 p.m. online via MS Teams
You can access the meeting starting from 1:00 p.m. using this link.
Vesa Pursiainen, University of St. Gallen
Title: Stress Testing Banks' Digital Capabilities: Evidence from the COVID-19 Pandemic
Abstract: We study the relationship between banks' IT capabilities and their ability to serve customers during the demand shock for digital banking services generated by the COVID-19 pandemic. Amid mobility restrictions imposed during the outbreak, banks with better IT capabilities exhibit better share price performance, larger reduction in physical branch visits, larger increases in website traffic and shorter reaction times to mention COVID-19 on their websites. Banks with better IT originate more PPP loans, especially in segments more dependent on human interaction as well as in areas with more severe COVID-19 outbreaks, higher levels of internet use, and higher bank competition. They also attract more deposits during the pandemic.
October 20th, 2020, 1:30-2:30 p.m.online via MS Teams
Roberto Pinto (Lancaster University)
Title: Bargaining and Debt Structure
Abstract: Conventional wisdom is that leverage improves a firm's position when bargaining with employees, by pushing money off the negotiation table. In a dynamic model of the firm-employee negotiation, we show the opposite can be true. Leverage and shorter debt maturity reduce the firm's ability to withstand long strikes. If workers suffer more from long negotiations, this reduced ability weakens the shareholders’ bargaining position. We use firm-level union elections and the passage of labor laws to capture changes in employees' bargaining power. We find evidence consistent with our theoretical predictions. Our results indicate that firms respond to powerful employees by increasing their financial resiliency to long negotiations and strikes.