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
Document Type: Doctoral dissertation
Year of publication: 2019
Place of publication: Mannheim
University: Universität Mannheim
Evaluator: Maug, Ernst
Date of oral examination: 16 July 2019
Publication language: English
Institution: Business School > ABWL u. Corporate Finance (Maug 2006-)
License: CC BY 4.0 Creative Commons Attribution 4.0 International (CC BY 4.0)
Subject: 330 Economics
Classification: JEL: G14, G10, G12, G31, H10, L25, C21, C22, C23, C58, D25,
Keywords (English): 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.

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