Empirical essays on macroeconomic shocks and financial markets

Schelenz, Robert

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URL:	https://madoc.bib.uni-mannheim.de/55964
URN:	urn:nbn:de:bsz:180-madoc-559643
Dokumenttyp:	Dissertation
Erscheinungsjahr:	2019
Ort der Veröffentlichung:	Mannheim
Hochschule:	Universität Mannheim
Gutachter:	Maug, Ernst
Datum der mündl. Prüfung:	16 Juli 2019
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Betriebswirtschaftslehre > ABWL u. Corporate Finance (Maug 2006-)
Lizenz:	Creative Commons Namensnennung 4.0 International (CC BY 4.0)
Fachgebiet:	330 Wirtschaft
Fachklassifikation:	JEL: G14, G10, G12, G31, H10, L25, C21, C22, C23, C58, D25,
Freie Schlagwörter (Englisch):	insider trading , presidential puzzle , investments , capacity , macroeconomic shocks , business cycle , political uncertainty , investment-based asset pricing
Abstract:	This dissertation has the objective to further foster the understanding of this interrelation by examining the impact of macroeconomic shocks on financial markets. The three chapters of this dissertation investigate the impact of macroeconomic shocks on asymmetric information, stock returns, and corporate investment activity. Chapter II provides empirical support for the assumption of Bernanke et al. (1994), who argue that financial markets can accelerate macroeconomic shocks by increasing the cost of capital and thereby decreasing economic activity. Chapter III identifies the uneven distribution of US recessions and expansions between Democratic and Republican presidencies as the source of the presidential puzzle, the return anomaly that US market returns are higher under Democratic presidents compared to Republican presidents. Chapter IV documents systematic cross-sectional differences in the way firms adapt their capital level in response to macroeconomic shocks and relates this cross-sectional heterogeneity to known stock return patterns: size premium, book-to-market premium, and investment intensity premium. In conclusion, this dissertation identifies new channels through which macroeconomic shocks impact financial markets. Thereby, this dissertation adds insights about the relation between financial markets and the real economy.