December - 2018
M T W T F S S
  01 02
03 04 05 06 07 08 09
10 11 12 13 15 16
17 18 19 20 21 22 23
24 25 26 27 28 29 30
31  

Niklas Wagner

is Professor of Finance and Financial Control at the University of Passau, Germany. After receiving his PhD in Finance, he held postdoctoral appointments at the Haas School of Business, U.C. Berkeley, and at Stanford GSB, thereafter finishing his habilitation doctoral degree at TU Munich. Professor Wagner has co-authored various contributions in finance, covering research in the areas of asset management, empirical asset pricing, applied financial econometrics as well as derivatives and risk management. Professor Wagner has co-edited book volumes on derivatives and risk management, currently is an associate editor of Economic Modelling, Emerging Markets Review, Finance Research Letters, the Journal of International Financial Markets, Institutions and Money, and the International Review of Financial Analysis, and is Editor-in-Chief of Studies in Economics and Finance.

http://www.wiwi.uni-passau.de/en/financial-control/team/niklas-wagner/

Back to speakers

Jonathan A. Batten, Harald Kinateder, Niklas Wagner: Beating the Average: Equity Premium Variations, Uncertainty and Liquidity

We study the ability of state-of-the-art liquidity and uncertainty predictors to beat the historical average in forecasting the US equity premium. For this purpose, we apply an out-of-sample predictive regression approach to analyse to statistical accuracy as well as economic gains of equity premium forecasts. Our results underline that during the global financial crisis (GFC) funding liquidity and macroeconomic uncertainty clearly outperform the historical average. In the post-GFC period, all market liquidity predictors show significant predictability. Before the GFC, there is only a mild gain compared to the historical average. Moreover, these predictors also beat forecasts of a classical time series model, except during the GFC.

Jonathan A. Batten, Harald Kinateder, Peter G. Szilagyi and Niklas F. Wagner: Dynamic co-movements among crude oil and commodity markets

This paper extends existing work on modelling oil and stock prices to establishing the relationship between oil and various commodities. Using a two asset portfolio setting (comprising the asset and the asset used for hedging) we show that information from oil-commodity comovements can effectively be used for hedging purposes. These finding are important since during periods of high asset integration, diversification is not possible since all asset prices move together. These results are also relevant for producers of single commodities, those firms that sell specific commodities as well as large agribusiness firms. In addition, the method used provides important insights into the time-varying properties of hedge effectiveness, an accounting standard requirement (e.g. IFRS 9).

Nina Anolick, Jonathan A. Batten, Harald Kinateder, Niklas Wagner: Abnormal share repurchase returns: Does liquidity risk matter?

This paper studies the value creation and liquidity effects of share repurchases in Europe. For this purpose, we analyze a comprehensive data set consisting of 1,247 open market share repurchases of eleven European countries during the period from 2000 until 2017. On average we document a positive value creation effect of about 1 percent. Our results provide strong support for the excess cash flow hypothesis. In regard to a macroeconomic explanation there exists a negative relationship between abnormal returns and the market return Stoxx as sentiment indicator. Moreover, the influence of systematic market liquidity on the valuation effect is shown. Whereas liquidity risk as a covariation of stock return and market illiquidity and commonality in risk positively influences the abnormal return. Thereby the flight to liquidity phenomena is proved. The commonality-in-liquidity effect further seems more appropriate since it captures the impact of liquidity risk on country-level as well as on firm-level. Apart from the impact of firm-specific variables, this paper highlights the role of liquidity risk as important factor in determining chances for increased abnormal returns. In the absence of market liquidity, share repurchase announcements offer the chance for liquidating stocks, whereby the hedging against illiquidity is enabled.

Last modified: 2018.11.30.