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Peter N. Posch
Faculty of Business and Economics, TU Dortmund University, Otto-Hahn-Str. 6, 44227 Dortmund, Germany

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Journal article
Published: 31 July 2021 in Sustainability
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We investigate the relationship between environmental, social and governance (ESG) performance and the probability of corporate credit default. By using a sample of 902 publicly-listed firms in the US from 2002 to 2017 and by converting Standard & Poor’s credit ratings into default probabilities from rating transition matrices, we find the probability of corporate credit default to be significantly lower for firms with high ESG performance. Furthermore, by expanding the time window in our regression analysis, we observe that the influence of ESG and its constituents strongly varies over time. We argue that these dynamics may be due to financial and regulatory shocks. In a sector decomposition, we additionally find that the energy sector is most influenced by ESG regarding the probability of corporate credit default. We expect an increasing availability of ESG data in the future to reduce possible survivorship bias and to enhance the comparison between ESG-rated and non-ESG-rated firms.

ACS Style

Aydin Aslan; Lars Poppe; Peter Posch. Are Sustainable Companies More Likely to Default? Evidence from the Dynamics between Credit and ESG Ratings. Sustainability 2021, 13, 8568 .

AMA Style

Aydin Aslan, Lars Poppe, Peter Posch. Are Sustainable Companies More Likely to Default? Evidence from the Dynamics between Credit and ESG Ratings. Sustainability. 2021; 13 (15):8568.

Chicago/Turabian Style

Aydin Aslan; Lars Poppe; Peter Posch. 2021. "Are Sustainable Companies More Likely to Default? Evidence from the Dynamics between Credit and ESG Ratings." Sustainability 13, no. 15: 8568.

Journal article
Published: 25 June 2021 in Sustainability
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We investigate the association between Environmental, Social, and Governance (ESG) ratings and stock performance during the COVID-19 crisis. Although there is mixed evidence in the literature whether ESG is valuable in times of crisis, we find high ESG-rated European firms to be associated with higher abnormal returns and lower stock volatility. After decomposing ESG into its separate components, we find the social score to be the predominant driver of our results. Further, we argue that ESG is value-enhancing in low-trust countries, and in countries with poorer security regulations and where lower disclosure standards prevail.

ACS Style

Nils Engelhardt; Jens Ekkenga; Peter Posch. ESG Ratings and Stock Performance during the COVID-19 Crisis. Sustainability 2021, 13, 7133 .

AMA Style

Nils Engelhardt, Jens Ekkenga, Peter Posch. ESG Ratings and Stock Performance during the COVID-19 Crisis. Sustainability. 2021; 13 (13):7133.

Chicago/Turabian Style

Nils Engelhardt; Jens Ekkenga; Peter Posch. 2021. "ESG Ratings and Stock Performance during the COVID-19 Crisis." Sustainability 13, no. 13: 7133.

Journal article
Published: 09 January 2021 in Journal of Asset Management
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Measuring mutual fund managers’ skills by Microsoft’s TrueSkill algorithm, we find highly skilled managers to behave self-confident resulting in higher risk-taking in the second half of the year compared to less skilled managers. Introducing the TrueSkill algorithm, which is widely used in the e-sports community, to this branch of literature, we can replicate previous findings and theories suggesting overconfidence for mid-years winners.

ACS Style

Alexander Swade; Gerrit Köchling; Peter N. Posch. Managerial behavior in fund tournaments—the impact of TrueSkill. Journal of Asset Management 2021, 22, 62 -75.

AMA Style

Alexander Swade, Gerrit Köchling, Peter N. Posch. Managerial behavior in fund tournaments—the impact of TrueSkill. Journal of Asset Management. 2021; 22 (1):62-75.

Chicago/Turabian Style

Alexander Swade; Gerrit Köchling; Peter N. Posch. 2021. "Managerial behavior in fund tournaments—the impact of TrueSkill." Journal of Asset Management 22, no. 1: 62-75.

Journal article
Published: 19 June 2020 in Sustainability
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We explore if the corona-crash 2020 was driven by news attention or rational expectations about the pandemic’s economic impact. Using a sample of 64 national stock markets covering 94% of the world’s GDP, we find the stock markets’ decline to be mainly associated with higher news attention and less with rational expectation. We estimate the economic cost from the news hype to amount to USD 3.5 trillion for the US and USD 200 billion on average for the rest of the G8 countries.

ACS Style

Nils Engelhardt; Miguel Krause; Daniel Neukirchen; Peter Posch. What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation. Sustainability 2020, 12, 5014 .

AMA Style

Nils Engelhardt, Miguel Krause, Daniel Neukirchen, Peter Posch. What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation. Sustainability. 2020; 12 (12):5014.

Chicago/Turabian Style

Nils Engelhardt; Miguel Krause; Daniel Neukirchen; Peter Posch. 2020. "What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation." Sustainability 12, no. 12: 5014.

Short communication
Published: 07 November 2019 in Economics Letters
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We analyze the quality of Bitcoin volatility forecasting of GARCH-type models applying different volatility proxies and loss functions. We construct model confidence sets and find them to be systematically smaller for asymmetric loss functions and a jump robust proxy.

ACS Style

Gerrit Köchling; Philipp Schmidtke; Peter N. Posch. Volatility forecasting accuracy for Bitcoin. Economics Letters 2019, 191, 108836 .

AMA Style

Gerrit Köchling, Philipp Schmidtke, Peter N. Posch. Volatility forecasting accuracy for Bitcoin. Economics Letters. 2019; 191 ():108836.

Chicago/Turabian Style

Gerrit Köchling; Philipp Schmidtke; Peter N. Posch. 2019. "Volatility forecasting accuracy for Bitcoin." Economics Letters 191, no. : 108836.

Journal article
Published: 03 November 2018 in Finance Research Letters
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The introduction of futures on Bitcoin eases the access of institutional investors to the market and offers an efficient way to short the cryptocurrency. We investigate the effect of this event on the market’s price efficiency and find the Bitcoin market to turn efficient. We conduct commonly used tests for market efficiency and check the robustness of our results by investigating Bitcoin Cash, a hard fork of Bitcoin, where we do not find a change in market’s efficiency.

ACS Style

Gerrit Köchling; Janis Müller; Peter N. Posch. Does the introduction of futures improve the efficiency of Bitcoin? Finance Research Letters 2018, 30, 367 -370.

AMA Style

Gerrit Köchling, Janis Müller, Peter N. Posch. Does the introduction of futures improve the efficiency of Bitcoin? Finance Research Letters. 2018; 30 ():367-370.

Chicago/Turabian Style

Gerrit Köchling; Janis Müller; Peter N. Posch. 2018. "Does the introduction of futures improve the efficiency of Bitcoin?" Finance Research Letters 30, no. : 367-370.

Journal article
Published: 26 October 2018 in Sustainability
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This article studies how German firms evaluate a recent national corporate social responsibility (CSR) law based on a European Union directive and the burden they expect regarding their organizational responsibilities due to mandatory sustainability reporting. One hundred and fifty-one firms of different sizes directly or indirectly affected by the law are included in the survey and their responses empirically analyzed using two-tailed t-tests and simple linear regression. Anchoring the discussion in stakeholder theory and the small and medium-sized enterprise (SME) literature while considering large-firm idiosyncrasies, the results show differing effects on SMEs and large firms as well as firms which are directly and indirectly affected. Findings show that firm size only matters for the evaluation of the law by directly affected firms, while size does not matter in the case of indirectly affected firms. Possible moderators of this evaluation are grounded in the resource-based theory and formalization of CSR. This article contributes to the understanding of when firm size matters in the case of mandatory sustainability reporting and underlines the role of organizational resources and capabilities as well as the special position of SMEs.

ACS Style

Alexander Bergmann; Peter Posch. Mandatory Sustainability Reporting in Germany: Does Size Matter? Sustainability 2018, 10, 3904 .

AMA Style

Alexander Bergmann, Peter Posch. Mandatory Sustainability Reporting in Germany: Does Size Matter? Sustainability. 2018; 10 (11):3904.

Chicago/Turabian Style

Alexander Bergmann; Peter Posch. 2018. "Mandatory Sustainability Reporting in Germany: Does Size Matter?" Sustainability 10, no. 11: 3904.

Short communication
Published: 25 October 2018 in Economics Letters
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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.

ACS Style

Gerrit Köchling; Janis Müller; Peter N. Posch. Price delay and market frictions in cryptocurrency markets. Economics Letters 2018, 174, 39 -41.

AMA Style

Gerrit Köchling, Janis Müller, Peter N. Posch. Price delay and market frictions in cryptocurrency markets. Economics Letters. 2018; 174 ():39-41.

Chicago/Turabian Style

Gerrit Köchling; Janis Müller; Peter N. Posch. 2018. "Price delay and market frictions in cryptocurrency markets." Economics Letters 174, no. : 39-41.

Journal article
Published: 29 August 2018 in Finance Research Letters
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In a consumption based asset pricing model one can calculate the volatility of (log-)consumption growth from the expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure ambiguity about consumption volatility. Using a long dataset we show this measure explains up to 69% of post-war variation in the market risk premium.

ACS Style

Janis Müller; Peter N. Posch. Consumption volatility ambiguity and risk premium’s time-variation. Finance Research Letters 2018, 29, 336 -339.

AMA Style

Janis Müller, Peter N. Posch. Consumption volatility ambiguity and risk premium’s time-variation. Finance Research Letters. 2018; 29 ():336-339.

Chicago/Turabian Style

Janis Müller; Peter N. Posch. 2018. "Consumption volatility ambiguity and risk premium’s time-variation." Finance Research Letters 29, no. : 336-339.

Original article
Published: 20 August 2018 in German Economic Review
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This paper extends the literature on predatory short selling and bailouts through a joint analysis of the two. We consider a model with informed short sales, as well as uninformed predatory short sales, which can trigger the inefficient liquidation of a firm. We obtain several novel results: A government commitment to bail out insolvent firms with positive probability can increase welfare because it selectively deters predatory short selling without hampering desirable informed short sales. Contrasting a common view, bailouts can be optimal ex ante but undesirable ex post. Furthermore, bailouts in our model are a better policy tool than short selling restrictions. Welfare gains from the bailout policy are unevenly distributed: shareholders gain while taxpayers lose. Bailout taxes allow ex ante Pareto improvements.

ACS Style

Sebastian Kranz; Gunter Löffler; Peter N. Posch. Predatory Short Sales and Bailouts. German Economic Review 2018, 20, e469 -e491.

AMA Style

Sebastian Kranz, Gunter Löffler, Peter N. Posch. Predatory Short Sales and Bailouts. German Economic Review. 2018; 20 (4):e469-e491.

Chicago/Turabian Style

Sebastian Kranz; Gunter Löffler; Peter N. Posch. 2018. "Predatory Short Sales and Bailouts." German Economic Review 20, no. 4: e469-e491.

Journal article
Published: 01 June 2018 in Finance Research Letters
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ACS Style

Roger J. Bowden; Peter N Posch; Daniel Ullmann. Income distribution in troubled times: Disadvantage and dispersion dynamics in Europe 2005–2013. Finance Research Letters 2018, 25, 36 -40.

AMA Style

Roger J. Bowden, Peter N Posch, Daniel Ullmann. Income distribution in troubled times: Disadvantage and dispersion dynamics in Europe 2005–2013. Finance Research Letters. 2018; 25 ():36-40.

Chicago/Turabian Style

Roger J. Bowden; Peter N Posch; Daniel Ullmann. 2018. "Income distribution in troubled times: Disadvantage and dispersion dynamics in Europe 2005–2013." Finance Research Letters 25, no. : 36-40.

Journal article
Published: 26 April 2018 in Journal of Asset Management
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With new regulations like the credit valuation adjustment, the assessment of wrong-way-risk is of utter importance. We analyse the effect of a counterparty’s credit risk and its influence on other asset classes (equity, currency, commodity and interest rate) in the event of extreme market movements like the counterparty’s default. With an extreme value approach, we model the tail of the joint distribution of different asset returns belonging to the above asset classes and counterparty credit risk indicated by changes in CDS spreads and calculate the effect on the expected shortfall when conditioning on counterparty credit risk. We find the conditional expected shortfall to be 2 to 440% higher than the unconditional expected shortfall depending on the asset class. Our results give insights both for risk management and for setting an initial margin for non-centrally cleared derivatives which becomes mandatory in the European Market Infrastructure Regulation.

ACS Style

Janis Müller; Peter N. Posch. Wrong-way-risk in tails. Journal of Asset Management 2018, 19, 205 -215.

AMA Style

Janis Müller, Peter N. Posch. Wrong-way-risk in tails. Journal of Asset Management. 2018; 19 (4):205-215.

Chicago/Turabian Style

Janis Müller; Peter N. Posch. 2018. "Wrong-way-risk in tails." Journal of Asset Management 19, no. 4: 205-215.

Article
Published: 11 January 2018 in Empirical Economics
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Model-free tests for constant parameters often fail to detect structural changes in high dimensions. In practice, this corresponds to a portfolio with many assets and a reasonable long time series. We reduce the dimensionality of the problem by looking at a compressed panel of time series obtained by cluster analysis and the principal components of the data. With this procedure, we can extend tests for constant correlation matrix from a sub-portfolio to whole indices, which we exemplify using a major stock index.

ACS Style

Peter N. Posch; Daniel Ullmann; Dominik Wied. Detecting structural changes in large portfolios. Empirical Economics 2018, 56, 1341 -1357.

AMA Style

Peter N. Posch, Daniel Ullmann, Dominik Wied. Detecting structural changes in large portfolios. Empirical Economics. 2018; 56 (4):1341-1357.

Chicago/Turabian Style

Peter N. Posch; Daniel Ullmann; Dominik Wied. 2018. "Detecting structural changes in large portfolios." Empirical Economics 56, no. 4: 1341-1357.

Journal article
Published: 01 April 2017 in Journal of Banking Regulation
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ACS Style

Joachim Erhardt; Johannes Lübbers; Peter N Posch; Johannes Lübbers Joachim Erhardt. Bail-in and asset encumbrance - Implications for banks’ asset liability management. Journal of Banking Regulation 2017, 18, 149 -162.

AMA Style

Joachim Erhardt, Johannes Lübbers, Peter N Posch, Johannes Lübbers Joachim Erhardt. Bail-in and asset encumbrance - Implications for banks’ asset liability management. Journal of Banking Regulation. 2017; 18 (2):149-162.

Chicago/Turabian Style

Joachim Erhardt; Johannes Lübbers; Peter N Posch; Johannes Lübbers Joachim Erhardt. 2017. "Bail-in and asset encumbrance - Implications for banks’ asset liability management." Journal of Banking Regulation 18, no. 2: 149-162.

Journal article
Published: 28 October 2016 in Journal of Commodity Markets
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Using a generalized dynamic factor model, we identify a latent common factor in a broad sample of thirty-one commodity futures’ returns between 1996 and 2015. An investigation of sub-periods reveals an increasing correlation between the common factor and changes in gold and oil prices during the financial crisis. We also consider whether the common factors of commodity subsectors give an advantage to the pricing of commodity futures’ returns. In the cross-section of individual futures’ returns we suggest that two- or three-factor models that include energy's or agriculture's common factors can explain commodity returns. Thus, our results indicate an increasing homogeneity of the commodity markets in recent years.

ACS Style

Johannes Lübbers; Peter N. Posch. Commodities' common factor: An empirical assessment of the markets' drivers. Journal of Commodity Markets 2016, 4, 28 -40.

AMA Style

Johannes Lübbers, Peter N. Posch. Commodities' common factor: An empirical assessment of the markets' drivers. Journal of Commodity Markets. 2016; 4 (1):28-40.

Chicago/Turabian Style

Johannes Lübbers; Peter N. Posch. 2016. "Commodities' common factor: An empirical assessment of the markets' drivers." Journal of Commodity Markets 4, no. 1: 28-40.

Journal article
Published: 01 May 2016 in Journal of International Financial Markets, Institutions and Money
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We study the effect of the first introduction of central clearing to the credit default swap market using a data set of intraday quotes sent directly by the major dealers to the market. We find the event to eliminate counterparty risk and improve price information. Furthermore, we find riskier dealers to increase their trading activity. In fact, after the elimination of their counterparty risk premium they increase the number of competitive quotes both on the bid and ask sides but more pronounced on the ask side.

ACS Style

Sergio Mayordomo; Peter N. Posch. Does central clearing benefit risky dealers? Journal of International Financial Markets, Institutions and Money 2016, 42, 91 -100.

AMA Style

Sergio Mayordomo, Peter N. Posch. Does central clearing benefit risky dealers? Journal of International Financial Markets, Institutions and Money. 2016; 42 ():91-100.

Chicago/Turabian Style

Sergio Mayordomo; Peter N. Posch. 2016. "Does central clearing benefit risky dealers?" Journal of International Financial Markets, Institutions and Money 42, no. : 91-100.

Preprint
Published: 01 January 2015 in SSRN Electronic Journal
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ACS Style

Sergio Mayordomo; Peter N. Posch. Does Central Clearing Benefit Risky Dealers? SSRN Electronic Journal 2015, 1 .

AMA Style

Sergio Mayordomo, Peter N. Posch. Does Central Clearing Benefit Risky Dealers? SSRN Electronic Journal. 2015; ():1.

Chicago/Turabian Style

Sergio Mayordomo; Peter N. Posch. 2015. "Does Central Clearing Benefit Risky Dealers?" SSRN Electronic Journal , no. : 1.

Preprint
Published: 01 January 2015 in SSRN Electronic Journal
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This paper extends the literature on predatory short selling and bailouts through a joint analysis of the two. We consider a model with informed short sales and

ACS Style

Sebastian Kranz; Gunter Llffler; Peter N. Posch. Predatory Short Sales and Bailouts. SSRN Electronic Journal 2015, 1 .

AMA Style

Sebastian Kranz, Gunter Llffler, Peter N. Posch. Predatory Short Sales and Bailouts. SSRN Electronic Journal. 2015; ():1.

Chicago/Turabian Style

Sebastian Kranz; Gunter Llffler; Peter N. Posch. 2015. "Predatory Short Sales and Bailouts." SSRN Electronic Journal , no. : 1.

Original articles
Published: 22 September 2014 in Applied Economics Letters
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Most industrial nations are reliant on a secure supply of raw materials but typically do not possess access to primary resources; a situation widely accepted by their respective governments which have instigated a variety of programs to secure availability. In this article, we explore the effect of financing conditions on the availability of base metals. Using fixed effects regression on international trade and banking data we find a consistent negative relationship between the financing costs and imports of base metals after allowing for prices and country risk. These results indicate that resource availability with respect to base metals is increased with a reduction in financing costs to market participants. The amount differs across the base metals where copper sees the highest reduction of 3.3 tons for an increase of short-term financing costs by one basis point. Furthermore, the effect differs across countries with the European Union’s states being highly dependent of imports in these materials. We interpret this at a firm level by considering the funding requirement during the import process and the relative sensitivity of market participants to financing costs.

ACS Style

Peter N. Posch; Joachim Erhardt; Tarek Hard. The impact of commodity finance on resource availability. Applied Economics Letters 2014, 22, 525 -528.

AMA Style

Peter N. Posch, Joachim Erhardt, Tarek Hard. The impact of commodity finance on resource availability. Applied Economics Letters. 2014; 22 (7):525-528.

Chicago/Turabian Style

Peter N. Posch; Joachim Erhardt; Tarek Hard. 2014. "The impact of commodity finance on resource availability." Applied Economics Letters 22, no. 7: 525-528.

Journal article
Published: 29 July 2014 in Qualitative Research in Financial Markets
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Purpose – The purpose of this paper is to introduce a methodology to evaluate sovereign risk. Hereby, a value-based approach using different market measures is introduced. Design/methodology/approach – This study’s approach aims to provide a value-based assessment of sovereign risk, combining market measures from government bond, credit derivatives and other markets as well as economic indicators. Findings – The study finds that the assessment of sovereign risk is only possible when using information from different markets and adjusting according to the information included in these measures. Combining both market-based and economic information leads to a value-based evaluation of sovereign risk. Practical implications – The practical implications are given for any institution with sovereign risk on their asset side. In fact, part of this research was done for the German Actuarial Foundation which uses the recommendations of this paper for the insurance industry. Originality/value – The study’s approach is novel because it is the first to include several market-based and economic measures of a sovereign and combines it into a value-based assessment.

ACS Style

Eva-Maria Kalteier; Stephan Molt; Tristan Nguyen; Peter N Posch. Value-based assessment of sovereign risk. Qualitative Research in Financial Markets 2014, 6, 157 -172.

AMA Style

Eva-Maria Kalteier, Stephan Molt, Tristan Nguyen, Peter N Posch. Value-based assessment of sovereign risk. Qualitative Research in Financial Markets. 2014; 6 (2):157-172.

Chicago/Turabian Style

Eva-Maria Kalteier; Stephan Molt; Tristan Nguyen; Peter N Posch. 2014. "Value-based assessment of sovereign risk." Qualitative Research in Financial Markets 6, no. 2: 157-172.