2020
|
Köchling, Gerrit; Schmidtke, Philipp World Finance Banking Symposium Conference Forthcoming Forthcoming. Links | BibTeX @conference{Köchling2020,
title = {World Finance Banking Symposium},
author = {Gerrit Köchling and Philipp Schmidtke},
url = {https://www.world-finance-conference.com/conference.php?id=20},
year = {2020},
date = {2020-12-05},
keywords = {},
pubstate = {forthcoming},
tppubtype = {conference}
}
|
Köchling, Gerrit; Posch, Peter N; Hahnenstein, Lutz Do Firms Hedge in Order to Avoid Financial Distress Costs? New empirical evidence using bank data Journal Article Journal of Business Finance & Accounting , 2020. Abstract | Links | BibTeX @article{GKWP20172,
title = {Do Firms Hedge in Order to Avoid Financial Distress Costs? New empirical evidence using bank data},
author = {Gerrit Köchling and Peter N Posch and Lutz Hahnenstein
},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jbfa.12489},
year = {2020},
date = {2020-08-11},
journal = {Journal of Business Finance & Accounting },
abstract = {Utilizing the Merton (1974) framework we introduce a model for a firm’s optimal hedge ratio. This ratio results from trading off ex-ante expected financial distress costs (FDC) which are determined by an all-or-nothing put option in a static capital structure model. We continue to test our theoretical findings in an empirical setting. We obtain data for 185 SMEs’ hedging activity with a major bank on a single-contract level as well as their Basel II default probabilities and historical accounting information. We demonstrate our model’s ability to explain observed cross-sectional differences in the hedge ratio. Hereby we provide strong empirical evidence that German firms hedge in response to financial distress costs incentives.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Utilizing the Merton (1974) framework we introduce a model for a firm’s optimal hedge ratio. This ratio results from trading off ex-ante expected financial distress costs (FDC) which are determined by an all-or-nothing put option in a static capital structure model. We continue to test our theoretical findings in an empirical setting. We obtain data for 185 SMEs’ hedging activity with a major bank on a single-contract level as well as their Basel II default probabilities and historical accounting information. We demonstrate our model’s ability to explain observed cross-sectional differences in the hedge ratio. Hereby we provide strong empirical evidence that German firms hedge in response to financial distress costs incentives. |
Köchling, Gerrit; Schmidtke, Philipp; Posch, Peter N Volatility forecasting accuracy for Bitcoin Journal Article Economics Letters, 2020. Abstract | Links | BibTeX @article{Köchling2019b,
title = {Volatility forecasting accuracy for Bitcoin },
author = {Gerrit Köchling and Philipp Schmidtke and Peter N Posch },
url = {https://www.sciencedirect.com/science/article/pii/S0165176519304239?dgcid=author},
year = {2020},
date = {2020-06-01},
journal = {Economics Letters},
abstract = {We analyse the quality of Bitcoin volatility forecasting of GARCH-type
models applying the commonly used volatility proxy based on squared daily
returns as well as a jump-robust proxy based on intra-day returns and vary
the degrees of asymmetry in robust loss functions. We construct model
confidence sets (MCS) which contain superior models with a high probability
and find them to be systematically smaller for asymmetric loss functions
and the jump robust proxy. Our findings suggest a cautious use of GARCH
models in forecasting Bitcoin’s volatility.
},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We analyse the quality of Bitcoin volatility forecasting of GARCH-type
models applying the commonly used volatility proxy based on squared daily
returns as well as a jump-robust proxy based on intra-day returns and vary
the degrees of asymmetry in robust loss functions. We construct model
confidence sets (MCS) which contain superior models with a high probability
and find them to be systematically smaller for asymmetric loss functions
and the jump robust proxy. Our findings suggest a cautious use of GARCH
models in forecasting Bitcoin’s volatility.
|
2019
|
Köchling, Gerrit; Müller, Janis; Posch, Peter N Does the Introduction of Futures Improve the Efficiency of Bitcoin? Journal Article Finance Research Letters, 30 , pp. 367-370, 2019. Abstract | Links | BibTeX @article{GJP2016,
title = {Does the Introduction of Futures Improve the Efficiency of Bitcoin?},
author = {Gerrit Köchling and Janis Müller and Peter N Posch},
url = {https://doi.org/10.1016/j.frl.2018.11.006},
year = {2019},
date = {2019-09-01},
journal = {Finance Research Letters},
volume = {30},
pages = {367-370},
abstract = {Following up recent studies on the inefficiency of Bitcoin, we test the informational efficiency of Bitcoin before and after the launch of Bitcoin futures. Futures allow easier market access for institutional investors who improve price efficiency according to studies for the stock market. Regarding the period before the launch, our results are consistent with recent findings. From the involvement of institutional traders onwards, however, we cannot reject the informational efficiency hypothesis for any of our applied tests.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
Following up recent studies on the inefficiency of Bitcoin, we test the informational efficiency of Bitcoin before and after the launch of Bitcoin futures. Futures allow easier market access for institutional investors who improve price efficiency according to studies for the stock market. Regarding the period before the launch, our results are consistent with recent findings. From the involvement of institutional traders onwards, however, we cannot reject the informational efficiency hypothesis for any of our applied tests. |
Schmidtke, Philipp; Köchling, Gerrit Cryptocurrency Research Conference 2019 Conference University of Southampton, United Kingdom, 2019. BibTeX @conference{Schmidtke2019,
title = {Cryptocurrency Research Conference 2019},
author = {Philipp Schmidtke and Gerrit Köchling},
year = {2019},
date = {2019-06-15},
address = {University of Southampton, United Kingdom},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Köchling, Gerrit; Müller, Janis; Posch, Peter N Price delay and market frictions in cryptocurrency markets Journal Article Economics Letters, 174 , pp. 39 - 41, 2019, ISSN: 0165-1765. Abstract | Links | BibTeX @article{KOCHLING201939,
title = {Price delay and market frictions in cryptocurrency markets},
author = {Gerrit Köchling and Janis Müller and Peter N Posch},
url = {https://www.sciencedirect.com/science/article/pii/S0165176518304361},
doi = {10.1016/j.econlet.2018.10.025},
issn = {0165-1765},
year = {2019},
date = {2019-01-01},
journal = {Economics Letters},
volume = {174},
pages = {39 - 41},
abstract = {We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We study the efficiency of cryptocurrencies by measuring the price’s reaction time to unexpected relevant information. We find the average price delay to significantly decrease during the last three years. For the cross-section of 75 cryptocurrencies we find delays to be highly correlated with liquidity. |
2018
|
Köchling, Gerrit Jahrestagung des Vereins für Socialpolitik Conference Verein für Socialpolitik Freiburg im Breisgau, Germany, 2018. BibTeX @conference{Köchling2018,
title = {Jahrestagung des Vereins für Socialpolitik},
author = {Gerrit Köchling},
year = {2018},
date = {2018-09-02},
address = {Freiburg im Breisgau, Germany},
organization = {Verein für Socialpolitik},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
Köchling, Gerrit; Schmidtke, Philipp International Finance and Banking Society Conference IFABS Porto, Portugal, 2018. BibTeX @conference{IFAB2018,
title = {International Finance and Banking Society },
author = {Gerrit Köchling and Philipp Schmidtke},
year = {2018},
date = {2018-06-30},
address = {Porto, Portugal},
organization = {IFABS},
keywords = {},
pubstate = {published},
tppubtype = {conference}
}
|
2017
|
Köchling, Gerrit; Posch, Peter N How does hedge accounting influence firm value? Journal Article 2017. Abstract | Links | BibTeX @article{GKWP2017,
title = {How does hedge accounting influence firm value?},
author = {Gerrit Köchling and Peter N Posch},
url = {https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3128333},
year = {2017},
date = {2017-01-01},
abstract = {We study the relation between hedge accounting and firm value. We propose an easily replicable procedure to generate a dataset directly from company’s annual reports. Using our algorithm we are able to classify, for the first time, firms into cash flow, fair value, or foreign net investment hedge accounting. Our approach allows us to give an overview of hedge accounting use over industries and time. We find significantly positive effects of fair value and foreign net investment hedges on firm value. However cash flow hedge accounting, which makes up the majority of observations, appears to have no substantial influence.},
keywords = {},
pubstate = {published},
tppubtype = {article}
}
We study the relation between hedge accounting and firm value. We propose an easily replicable procedure to generate a dataset directly from company’s annual reports. Using our algorithm we are able to classify, for the first time, firms into cash flow, fair value, or foreign net investment hedge accounting. Our approach allows us to give an overview of hedge accounting use over industries and time. We find significantly positive effects of fair value and foreign net investment hedges on firm value. However cash flow hedge accounting, which makes up the majority of observations, appears to have no substantial influence. |
