NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Marcus Opp

Contact and additional information for this authorAll publicationsWorking Papers only

Working Papers

July 2013Replacing Ratings
with Bo Becker: w19257
Since the financial crisis, replacing ratings has been a key item on the regulatory agenda. We examine a unique change in how capital requirements are assigned to insurance holdings of mortgage-backed securities. The change replaced credit ratings with regulator-paid risk assessments by Pimco and BlackRock. We find no evidence for exploitation of the new system for trading purposes by the providers of the credit risk measure. However, replacing ratings has led to significant reductions in aggregate capital requirements: By 2012, equity capital requirements for structured securities were at $3.73bn compared to of $19.36bn if the old system had been maintained. These savings reflect the new measures of risk, and new rules allowing companies to economize on capital charges if assets are held ...
July 2012Cash is King - Revaluation of Targets after Merger Bids
with Ulrike Malmendier, Farzad Saidi: w18211
We provide evidence that a significant fraction of the returns to merger announcements reflects target revaluation rather than the causal effect of the merger. In a sample of unsuccessful merger bids from 1980 to 2008, targets of cash offers are revalued by +15% after deal failure, whereas stock targets revert to their pre-announcement levels. This result holds for the subsample where deal failure is exogenous to the target's stand-alone value. We also show that cash bidders revert to their pre-announcement levels, while stock bidders fall below. The results suggest that cash bids signal target undervaluation and stock bids indicate acquirer overvaluation.

Contact and additional information for this authorAll publicationsWorking Papers only

 
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