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Publications (10 of 154) Show all publications
Schäfer, D., Stephan, A. & Weser, H. (2023). Crisis stress for the diversity of financial portfolios: evidence from European households. International Review of Economics and Finance, 83, 330-347
Open this publication in new window or tab >>Crisis stress for the diversity of financial portfolios: evidence from European households
2023 (English)In: International Review of Economics and Finance, ISSN 1059-0560, E-ISSN 1873-8036, Vol. 83, p. 330-347Article in journal (Refereed) Published
Abstract [en]

In this paper, we investigate how European households changed the diversity of their financial portfolios in response to the Great Financial and the subsequent European Debt Crisis. For this purpose we apply a Difference-in-Differences (DiD) approach estimated as a correlated random effects (CRE) model to six waves of the Survey of Health, Ageing and Retirement in Europe (SHARE). We find that households holding risky assets responded to the twin European financial crises with lower levels of diversity in their financial portfolios. We also reveal their flight to liquid and safe bank accounts at the expense of mutual funds and stocks. The downward trend peaked in 2015. Only after 2015, when the Eurozone debt crisis was definitely over, those households’ financial portfolios became more diverse again. The findings are highly robust across gender, income, and wealth quartiles, as well as across most countries. Such behavior is most likely a mistake with negative wealth consequences for the households and for the society. Programs to increase portfolio diversity literacy could support households in avoiding such behavior in the next crisis.

Place, publisher, year, edition, pages
Elsevier, 2023
Keywords
Background risk, CRE, DiD, European debt crisis, Financial crisis, Financial portfolio diversity, Flight-to-liquidity, Individual investment behavior, Mutual funds, Stocks
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-58572 (URN)10.1016/j.iref.2022.08.022 (DOI)001064775900007 ()2-s2.0-85138060149 (Scopus ID)
Available from: 2022-10-03 Created: 2022-10-03 Last updated: 2023-09-29Bibliographically approved
Sahamkhadam, M., Stephan, A. & Östermark, R. (2022). Copula-based Black–Litterman Portfolio Optimization. European Journal of Operational Research, 297(3), 1055-1070
Open this publication in new window or tab >>Copula-based Black–Litterman Portfolio Optimization
2022 (English)In: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 297, no 3, p. 1055-1070Article in journal (Refereed) Published
Abstract [en]

We extend the Black-Litterman (BL) approach to incorporate tail dependency in portfolio optimization and estimate the posterior joint distribution of returns using vine copulas. Our novel copula-based BL (CBL) model leads to flexibility in modeling returns symmetric and asymmetric multivariate distribution from a range of copula families. Based on a sample of the Eurostoxx 50 constituents (also for S&P 100 as robustness check), we evaluate the performance of the suggested CBL approach and portfolio optimization technique using out-of-sample back-testing. Our empirical analysis and robustness check indicate better performance for the CBL portfolios in terms of lower tail risk and higher risk-adjusted returns, compared to the benchmark strategies.

Place, publisher, year, edition, pages
Elsevier, 2022
Keywords
Finance, portfolio optimization, Black–Litterman framework, truncated regular vine copula, tail constraints, conditional value-at-risk
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-53119 (URN)10.1016/j.ejor.2021.06.015 (DOI)000719584000020 ()2-s2.0-85119565907 (Scopus ID)HOA;intsam;53119 (Local ID)HOA;intsam;53119 (Archive number)HOA;intsam;53119 (OAI)
Available from: 2021-06-14 Created: 2021-06-14 Last updated: 2021-11-29Bibliographically approved
Petreski, A., Schäfer, D. & Stephan, A. (2022). Green bonds’ reputation effect and its impact on the financing costs of the real estate sector. Global Labor Organization (GLO)
Open this publication in new window or tab >>Green bonds’ reputation effect and its impact on the financing costs of the real estate sector
2022 (English)Report (Other academic)
Abstract [en]

This paper explores the effect of a firm's reputation of being a green bond issuer on its financing costs. Using a sample of 73 listed Swedish real estate companies issuing in total about 1500 bonds over the period from 2011 till 2021, differencein- difference analyses and instrumental variable estimations are applied to identify the causal impact of frequent green vis-à-vis frequent non-green bond issuing on a firm's cost of capital and credit rating. The paper argues that it is repetitive issuance which lowers a firm's cost of capital, while the effects from first or one-time green bond issuance is the opposite. In line with the reputation capital hypothesis, issuing green bonds even lowers the firm's cost of equity capital, while issuing non-green bonds has no effect on the cost of equity capital.

Place, publisher, year, edition, pages
Global Labor Organization (GLO), 2022. p. 25
Series
GLO Discussion Paper Series ; 1182
Keywords
bond issuance, green debt, reputation capital, sustainability, ESG
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-58903 (URN)
Funder
EU, Horizon 2020, 857831
Available from: 2022-11-16 Created: 2022-11-16 Last updated: 2023-02-20Bibliographically approved
Mutarindwa, S., Schäfer, D. & Stephan, A. (2021). Differences in African banking systems: causes and consequences. Journal of Institutional Economics, 17(4), 561-581
Open this publication in new window or tab >>Differences in African banking systems: causes and consequences
2021 (English)In: Journal of Institutional Economics, ISSN 1744-1374, E-ISSN 1744-1382, Vol. 17, no 4, p. 561-581Article in journal (Refereed) Published
Abstract [en]

This paper links banking system development to the colonial and legal history of African countries. Based on a sample of 40 African countries from 2000 to 2018, our empirical findings show a significant dependence of current financial institutions on the inherited legal origin and the colonization type. Findings also reveal that current financial legal institutions are not major determinants of banking system development, and that institutional development and governance quality are more important. A high share of government spending relative to GDP also positively affects banking system development in African countries.

Place, publisher, year, edition, pages
Cambridge University Press, 2021
Keywords
banking systems, colonial history, correlated random effects model, financial institutions, legal origin, G21, G38, G39, K15, K40, K54
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-52017 (URN)10.1017/S174413742100014X (DOI)000669695300003 ()2-s2.0-85102375137 (Scopus ID)HOA;intsam;1537536 (Local ID)HOA;intsam;1537536 (Archive number)HOA;intsam;1537536 (OAI)
Available from: 2021-03-16 Created: 2021-03-16 Last updated: 2024-01-22Bibliographically approved
Kärnä, A., Manduchi, A. & Stephan, A. (2021). Distance still matters: Local bank closures and credit availability [Letter to the editor]. International Review of Finance, 21(4), 1503-1510
Open this publication in new window or tab >>Distance still matters: Local bank closures and credit availability
2021 (English)In: International Review of Finance, ISSN 1369-412X, E-ISSN 1468-2443, Vol. 21, no 4, p. 1503-1510Article in journal, Letter (Refereed) Published
Abstract [en]

In recent years, commercial banks have substantially reduced the number of their branch offices. We address the question of whether or not the increased distance to lenders caused by branch office closures translates into a lower credit supply for small and medium sized enterprises (SMEs). We use a unique dataset based on 33,000 loan contracts from a state-owned Swedish bank designed to support credit-constrained SMEs, and relate loan size and the interest rate to the number of nearby commercial bank offices. We use an IV strategy to account for potential endogeneity of the number of banks in a region. In line with previous studies, we find that interest rates increase with distance, while loan size decreases with distance. Thus, a larger number of local bank offices increases the local credit supply, and thereby reduces credit constraints of nearby SMEs.

Place, publisher, year, edition, pages
John Wiley & Sons, 2021
Keywords
credit constraints, relationship banking, small business, state-owned bank
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-50319 (URN)10.1111/irfi.12329 (DOI)000560597300001 ()2-s2.0-85089694684 (Scopus ID)HOA;;1459501 (Local ID)HOA;;1459501 (Archive number)HOA;;1459501 (OAI)
Funder
The Jan Wallander and Tom Hedelius Foundation, P2018‐0162
Available from: 2020-08-20 Created: 2020-08-20 Last updated: 2021-12-19Bibliographically approved
Löffler, K. U., Petreski, A. & Stephan, A. (2021). Drivers of green bond issuance and new evidence on the “greenium”. Eurasian Economic Review, 11, 1-24
Open this publication in new window or tab >>Drivers of green bond issuance and new evidence on the “greenium”
2021 (English)In: Eurasian Economic Review, ISSN 1309-422X, Vol. 11, p. 1-24Article in journal (Refereed) Published
Abstract [en]

This paper examines whether a premium for green bonds, called “greenium”, found in previous studies, exists in primary and secondary bond markets. Using a universe of about 2000 green and 180,000 non-green bonds from 650 international issuers, we apply both propensity score matching and coarsened exact matching to determine a sample of conventional bonds that is most similar to the sample of green bonds. We find that green bonds have larger issue sizes and lower rated issuers, on average, compared to conventional bonds. The estimates show that the yield for green bonds is, on average, 15–20 basis points lower than that of conventional bonds, both on primary and secondary markets, thus a “greenium” exists.

Place, publisher, year, edition, pages
Springer, 2021
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-51956 (URN)10.1007/s40822-020-00165-y (DOI)000619747800001 ()2-s2.0-85101208615 (Scopus ID)HOA;;1531109 (Local ID)HOA;;1531109 (Archive number)HOA;;1531109 (OAI)
Available from: 2021-02-25 Created: 2021-02-25 Last updated: 2021-12-19Bibliographically approved
Lööf, H., Sahamkhadam, M. & Stephan, A. (2021). Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis.
Open this publication in new window or tab >>Is Corporate Social Responsibility investing a free lunch? The relationship between ESG, tail risk, and upside potential of stocks before and during the COVID-19 crisis
2021 (English)Report (Other academic)
Abstract [en]

Did Corporate Social Responsibility investing benefit shareholders during the COVID-19 pandemic crisis? Distinguishing between downside tail risk and upside reward potential of stock returns, we provide evidence from 5,073 stocks listed on stock markets in ten countries. The findings suggests that better ESG ratings are associated with lower downside risk, but also with lower upside return potential. Thus, ESG ratings help investors to reduce their risk exposure to the market turmoil caused by the pandemic, while maintaining the fundamental trade-off between risk and reward.

Series
CESIS Electronic Working Paper Series ; 488
Keywords
ESG; COVID 19; downside risk; upside potential; Sustainalytics; financial markets
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-52559 (URN)
Available from: 2021-05-28 Created: 2021-05-28 Last updated: 2021-05-28Bibliographically approved
Mutarindwa, S., Siraj, I. & Stephan, A. (2021). Ownership and bank efficiency in Africa: True fixed effects stochastic frontier analysis. Journal of Financial Stability, 54, Article ID 100886.
Open this publication in new window or tab >>Ownership and bank efficiency in Africa: True fixed effects stochastic frontier analysis
2021 (English)In: Journal of Financial Stability, ISSN 1572-3089, E-ISSN 1878-0962, Vol. 54, article id 100886Article in journal (Refereed) Published
Abstract [en]

This paper investigates the effects of ownership patterns on bank cost and profit efficiencies taking a sample of 607 commercial banks operating in 53 African countries during the period 2005-2015. Using pooled and modified true fixed effects (TFE) stochastic frontier panel approaches, the following results are obtained: First, foreign-owned banks are more profit and cost efficient than their domestic peers. Second, privately-owned banks outperform state-owned banks. These findings result not only from internal efficiencies but also from differences in other bank-level and country-level factors. Specifically, larger and listed banks with many years of operations in host African countries, and favorable macro-economic conditions improve the cost and profit efficiencies of foreign-owned and private-owned banks (foreign and domestic) compared to state-owned domestic banks. Other findings of this study show that ownership concentration (block-holding) has adverse effects for profit and cost efficiencies of banks.

Place, publisher, year, edition, pages
Elsevier, 2021
Keywords
Ownership, Blockholding, Efficiency, Stochastic frontier analysis, Fixed effects
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-43217 (URN)10.1016/j.jfs.2021.100886 (DOI)000670127500003 ()2-s2.0-85107819511 (Scopus ID)HOA;intsam;1292486 (Local ID)HOA;intsam;1292486 (Archive number)HOA;intsam;1292486 (OAI)
Note

Included in thesis in manuscript form.

Available from: 2019-02-28 Created: 2019-02-28 Last updated: 2021-07-22Bibliographically approved
Holgersson, T., Karlsson, P. & Stephan, A. (2020). A risk perspective of estimating portfolio weights of the global minimum-variance portfolio. AStA Advances in Statistical Analysis, 104(1), 59-80
Open this publication in new window or tab >>A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
2020 (English)In: AStA Advances in Statistical Analysis, ISSN 1863-8171, E-ISSN 1863-818X, Vol. 104, no 1, p. 59-80Article in journal (Refereed) Published
Abstract [en]

The problem of how to determine portfolio weights so that the variance of portfolio returns is minimized has been given considerable attention in the literature, and several methods have been proposed. Some properties of these estimators, however, remain unknown, and many of their relative strengths and weaknesses are therefore difficult to assess for users. This paper contributes to the field by comparing and contrasting the risk functions used to derive efficient portfolio weight estimators. It is argued that risk functions commonly used to derive and evaluate estimators may be inadequate and that alternative quality criteria should be considered instead. The theoretical discussions are supported by a Monte Carlo simulation and two empirical applications where particular focus is set on cases where the number of assets (p) is close to the number of observations (n). 

Place, publisher, year, edition, pages
Springer, 2020
Keywords
Global minimum-variance portfolio, High dimensional, Portfolio theory, Risk functions
National Category
Economics and Business
Identifiers
urn:nbn:se:hj:diva-43301 (URN)10.1007/s10182-018-00349-7 (DOI)000515312400004 ()2-s2.0-85061199749 (Scopus ID)HOA;;1294288 (Local ID)HOA;;1294288 (Archive number)HOA;;1294288 (OAI)
Available from: 2019-03-07 Created: 2019-03-07 Last updated: 2021-02-25Bibliographically approved
Mutarindwa, S., Schäfer, D. & Stephan, A. (2020). Central banks' supervisory guidance on corporate governance and bank stability: Evidence from African countries. Emerging Markets Review, 43, Article ID 100694.
Open this publication in new window or tab >>Central banks' supervisory guidance on corporate governance and bank stability: Evidence from African countries
2020 (English)In: Emerging Markets Review, ISSN 1566-0141, E-ISSN 1873-6173, Vol. 43, article id 100694Article in journal (Refereed) Published
Abstract [en]

This paper focuses on the identification of the causal relationship between central banks' supervisory guidance and individual bank stability. We propose and test the hypothesis that this causal relationship is mediated by the degree to which banks comply with their central bank's corporate governance recommendations. Specifically, we exploit the fact that there is considerable cross-country heterogeneity in providing supervisory guidance. Our recursive two-equation system is equivalent to an endogenous treatment effect model in which the treatment is the provision of supervisory guidance. We find that institutional factors, in particular the legal family of origin, political stability, contract enforcement and strength of investor protection promote provision of supervisory guidance. If a central bank has published supervisory guidance, local banks show better internal governance and higher stability.

Place, publisher, year, edition, pages
Elsevier, 2020
Keywords
African banks, Central bank, Supervisory guidance, Corporate governance, Legal systems, Institutions, Bank stability
National Category
Economics
Identifiers
urn:nbn:se:hj:diva-48012 (URN)10.1016/j.ememar.2020.100694 (DOI)000536392500012 ()2-s2.0-85083045814 (Scopus ID);intsam;1417279 (Local ID);intsam;1417279 (Archive number);intsam;1417279 (OAI)
Available from: 2020-03-27 Created: 2020-03-27 Last updated: 2021-05-27Bibliographically approved
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Identifiers
ORCID iD: ORCID iD iconorcid.org/0000-0001-5776-9396

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