Wolfgang Bessler - Academia.edu (original) (raw)

Papers by Wolfgang Bessler

Review of Managerial Science

In 2003, the German Stock Exchange instituted the Prime Standard as the highest regulated stock m... more In 2003, the German Stock Exchange instituted the Prime Standard as the highest regulated stock market segment in Germany. We analyze the firms’ delisting decisions from this market segment between 2003 and 2015, with a focus on different delisting reasons and firm characteristics. We identify 518 firms that listed on the Prime Standard at least once during the sample period of which 243 firms left this market segment. Of these firms, 107 down-listed and transferred to lower market segments and 136 firms exited the public equity market for the following reasons: 61 firms merged, 53 were insolvent, and 22 firms went private. Using cross-sectional and firm-fixed effects logit regressions, we provide new evidence for firms’ market segment and delisting decisions. Consistent with a cost–benefit analysis, we observe that inferior growth opportunities, low stock liquidity, smaller firm size, poor operating performance, higher audit fees, and more agency conflicts increase the probability ...

Review of Managerial Science

Analysis of Large and Complex Data

We investigate for mergers and acquisitions in Europe and the USA whether the size of the takeove... more We investigate for mergers and acquisitions in Europe and the USA whether the size of the takeover premium offered by the first bidder prevents a second bidder from making a competing offer. Previous studies find only mixed evidence for the relationship between the size of a takeover premium and the occurrence of a takeover contest. Because the size of the premium varies over time and between merger waves and usually differs between countries and industries, it is essential to use the excess premium instead of the standard premium. We introduce and compare different methods for calculating the excess premium and test for the 1990–2012 period whether or not bidders can prevent a takeover contest when the initial offer includes an excess takeover premium. We calculate the excess premium as the percentage (a) above the pre-offer market value of the target, (b) over the industry mean, or (c) over the country mean. We then analyze whether these different methods provide results more consistent with the expected effect of excess premiums on the occurrence of takeover contests. The results suggest that the method used to calculate the excess premium significantly affects the size of the excess premium in takeover contests. We provide empirical evidence that when using the industry excess premiums, offering an above average premium reduces the probability of a takeover contest, especially in cash deals, whereas the standard method does not correctly discriminate between average and excess premiums. Consequently, only excess premiums are adequate for properly testing the effects of the premium size on the occurrence of takeover contests.

We empirically investigate the impact of fund flows and managerial turnover on the investment per... more We empirically investigate the impact of fund flows and managerial turnover on the investment performance of active equity mutual funds. Fund flows have been suggested by Berk and Green (2004) as mechanism that prevents performance persistence. We propose managerial turnover as an alternative explanation. One the one hand, withdrawing money from loser funds and sacking bad fund managers are measures of external and internal control in delegated money management, respectively. On the other hand, if winner funds receive excessive inflows or their star manager leaves the fund future performance might deteriorate. Using a sample of 3,948 U. S. equity mutual funds from 1992 to 2007 our results confirm this relationship for both control mechanisms for the cross-section and over time. The performance of top funds strongly suffers from excessive inflows and leaving of the skilled fund manager. Loser funds benefit from a replacement of their apparently unskilled manager but cannot gain from ...

We analyze the effects that the introduction of new corporate governance and other regulatory ref... more We analyze the effects that the introduction of new corporate governance and other regulatory reforms in Japan had on the market for corporate control and especially on mergers and acquisitions of public companies. We analyze the wealth effects for bidder and target shareholders and find that the magnitude of announcement abnormal returns converge towards US and European results. We also provide robust empirical evidence of a development towards a more capital market orientated corporate governance structure in Japan with less dependence on bank debt and an increase in foreign equity ownership as well a higher M&A activity. After regulatory reforms in 2004, bidder, target and deal characteristics changed substantially. Further, we analyze the phenomenon of bidder and target sharing the same financial advisor in M&A transactions for the period between 1998 and 2004. This phenomenon is most prominent in Japan. Surprisingly, the overall effects are less negative and not as clear-cut as...

The objective of this research is to investigate the impact that fund flows and management turnov... more The objective of this research is to investigate the impact that fund flows and management turnover have on the investment performance of actively managed equity mutual funds over time. Both fund flows and manager turnover have been identified in the literature as relevant factors that can significantly affect performance persistence. We analyze which of these factors has a stronger impact and how they interact. Using a sample of 3,948 U.S. equity mutual funds for the period from 1992 to 2007, our results support the notion that both mechanisms impact performance predictability over both the cross-section and time. The future performance of top past performing funds strongly suffers from both the departure of skilled fund managers and even more from excessive inflows. The future performance of past loser funds benefits from a replacement of their unskilled or unlucky managers but does not benefit from cash outflows to the same degree. Furthermore, we provide empirical evidence that ...

Although most academic studies conclude that mutual funds cannot outperform a passive investment ... more Although most academic studies conclude that mutual funds cannot outperform a passive investment strategy in the long run, there is some recent empirical evidence that a persistent outperformance can be achieved in an out-of-sample framework when using more sophisticated optimization technique. These empirical findings are for equity-bond-commodityportfolios, international equity-bond portfolios and US-industry portfolios. The latter can even be further improved when return predictions are included. Given these empirical findings, we analyze in this study whether an industry-based or a country-based optimization model performs best. We employ a variety of optimizationand weighting-techniques to compare the countryand the sector-based allocation strategies. These include naive ‘equally weighted’ (1/N) portfolio, the two risk-based asset allocation rules ‘risk-parity’ (RP) and minimumvariance (MinVar) as well as three portfolio optimization approaches mean-variance (MV), Bayes-Stein (...

Entrepreneurial high-technology start-up firms usually need equity in order to finance their rese... more Entrepreneurial high-technology start-up firms usually need equity in order to finance their research, product development, and in particular growth opportunities due to new ideas and innovation. In an advanced stage they often require even larger financial resources and may raise equity by going public (IPO) and, if successful, by a seasoned equity offering (SEO) later on. If these are the typical financing stages then it is surprising when firms that just went public start paying dividends or even repurchase shares. For a sample of 245 IPOs in Germany that either issued additional equity or initiated a share repurchase program, we analyze the valuation effects and the factors that explain the magnitude of these returns. For repurchasing firms we find significantly positive announcement returns (9.23%) but no abnormal stock price performance thereafter. For seasoned equity offerings we find a long term negative performance for the year prior to the announcement (-11.55%) which cont...

Since the beginning of this century the German financial system has changed from an extreme unive... more Since the beginning of this century the German financial system has changed from an extreme universal banking system to a more financial market oriented system in various aspects. Most importantly and most visibly, the corporate governance and corporate control structure underwent substantial changes. In fact, hedge funds and other activist investors are increasingly taking advantage of a control vacuum within the ownership structure of many German firms which resulted from the reallocation of corporate control from universal banks to capital markets. In particular, many German banks have sold off their equity stakes in industrial companies and have stopped voting proxies on behalf of their clients. In addition, they reduced their involvement in supervisory boards. One interesting question is whether this capital market orientation led to an increase in shareholder value. Based on a sample of 324 events in Germany between January 2000 and June 2006, we find empirical evidence that t...

In dieser Studie wird die Qualitat der individuellen Gewinnprognosen von Finanzanalysten sowie de... more In dieser Studie wird die Qualitat der individuellen Gewinnprognosen von Finanzanalysten sowie deren Effizienz relativ zu einer naiven Random-Walk-Prognose untersucht. Die Datenbasis fur die Untersuchung umfasst 171.281 Gewinnprognosen fur Unternehmen des deutschen Kapitalmarktes. Die empirischen Ergebnisse fur den Zeitraum von 1995 bis 2004 deuten darauf hin, dass die Analysten nur bedingt bessere Prognosen liefern als eine einfache naive Prognose. Insgesamt sind die Prognosen der Finanzanalysten ungenau und positiv verzerrt und der naiven Prognose lediglich bis zu einem Prognosehorizont von ca. 12 bis 15 Monaten uberlegen. Analysten des deutschen Kapitalmarktes unterliegen einem Uberoptimismus und einer Uberreaktion auf neue Informationen. Allerdings existieren in den empirischen Ergebnissen signifikante Unterschiede zwischen den verschiedenen Prognosehorizonten, den Kalenderjahren, den Fiskaljahren und den Industriesektoren. Zudem beeinflusst eine Veranderung der der Gewinnentwic...

In this study we investigate the patenting behavior and long-run performance of German firms that... more In this study we investigate the patenting behavior and long-run performance of German firms that went public (IPOs) on the “Neuer Markt” during the period from 1997 to 2002. The main objective of the empirical analysis is to examine whether IPOs with patents outperformed those firms with no patented technology. The technology is measured by both the patent stock and patent indicators. The impact of patents on performance is analyzed with buy-and-hold-abnormal returns (BHAR), the three-factor Fama-French asset pricing model as well as cross-sectional-regressions. In the regression analysis we include specific patent variables such as the number of International Patent Classifications (IPC), family size, the number of backwardand forward citations, and the frequency of cited articles. The empirical evidence suggests that innovation as measured by patents and patent indicators has a positive impact on the long-run performance and success of initial public offerings. Thus, innovation, ...

Journal of Asset Management

Given the tremendous growth of factor allocation strategies in active and passive fund management... more Given the tremendous growth of factor allocation strategies in active and passive fund management, we investigate whether factor or sector asset allocation strategies provide investors with a superior performance. Our focus is on comparing factor versus sector allocations as some recent empirical evidence indicates the dominance of sector over country portfolios. We analyze the performance and performance differences of sector and factor portfolios for various weighting and portfolio optimization approaches, including “equal-weighting” (1/N), “risk parity,” minimum-variance, mean-variance, Bayes–Stein and Black–Litterman. We employ a sample-based approach in which the sample moments are the input parameters for the allocation model. For the period from May 2007 to November 2020, our results clearly reveal that, over longer investment horizons, factor portfolios provide relative superior performances. For shorter periods, however, we observe time-varying and alternating performance d...

SSRN Electronic Journal

Most empirical studies suggest that mutual funds do not persistently outperform an appropriate be... more Most empirical studies suggest that mutual funds do not persistently outperform an appropriate benchmark in the long run. We analyze this lack of persistence in terms of two equilibrating mechanisms: fund flows and manager changes. Using data on actively managed U.S. equity mutual funds, we find that if neither mechanism is operating, winner funds (top-decile ranked in previous year) continue to significantly outperform loser funds (bottom-decile ranked in previous year) by 4.08 percentage points per annum. However, the difference between previous winner and loser funds declines to zero within one year if the two mechanisms are acting together. Thus, mutual fund out- and underperformance is unlikely to persist in well-functioning markets.

Handbook of Research on IPOs, 2013

The Central European Review of Economics and Management

Aim: We analyze stock market reactions to merger and acquisition announcements for firms in Europ... more Aim: We analyze stock market reactions to merger and acquisition announcements for firms in Europe and contribute to the literature by providing empirical evidence how the decisions with respect to alternative financing sources (equity or debt) and the methods of payment (cash or stock) affect the magnitude of the valuation effects. Research design: An event study methodology is applied to 717 M&A transactions. We analyze the size of the cumulative abnormal returns using the financing sources and payment methods and other variables as the relevant determinants. Findings: The cumulative abnormal results suggest that target shareholders and bidder shareholders in private deals benefit from mergers and acquisitions. The effect found is centered around the announcement date, making our findings consistent with market efficiency. Debt financed deals outperform equity financed deals and cash paid M&A outperform stock paid M&As, due to information asymmetry, signaling and agency effect...

Review of Managerial Science

Analysis of Large and Complex Data

Journal of Asset Management

SSRN Electronic Journal

Handbook of Research on IPOs, 2013

The Central European Review of Economics and Management