Michael Halling

Stockholm School of Economics · Department of Finance

We find that bond issues have substantially increased since the onset of the COVID-19 crisis in calendar week 12 (March 16–20) for bonds rated A or higher, but surprisingly also for bonds rated BBB or lower. In contrast to existing evidence on bond maturities in economic downturns, we document that maturities exceed those of bonds issued before by...

Surprisingly little is known about the business cycle dynamics of leverage. The existing evidence documents that target leverage evolves pro-cyclically either for all firms or financially constrained ones. In contrast, we show that, on average, target leverage ratios evolve counter-cyclically once cyclicality is measured comprehensively, accounting...

We analyze the profitability of government-owned banks' lending to their owners. We find evidence that such related lending is used to transfer bank profits to the governments, but only in localities where the incumbent politicians face significant competition for reelection. In localities where the incumbent party has a high probability of reelect...

We analyze the profitability of government-owned banks’ lending to their owners, using a unique data set of relatively homogeneous government-owned banks; the banks are all owned by similarly structured local governments in a single country. Making use of a natural experiment that altered the regulatory and competitive environment, we find evidence...

In dieser Arbeit zeigen wir auf praxisorientierte Art und Weise wie statistische Methoden zur Modellierung von Unternehmens- bzw. Bankenausfällen verwendet werden können. Während die einfach zu implementierenden Logit-Modelle, die momentan gebräuchlichste Art der statistischen Modelle zur Ausfallsprognose darstellen, bieten die komplexeren, selten...

In competitive markets, similar products should have similar prices. We apply this concept to mutual funds. We examine the residuals from regressions of fees (annual expenses and 12b-1 fees) on important fund characteristics, essentially allowing us to compare the fees of “identical” funds. We present striking new evidence of systematic differences...

This paper analyzes the business cycle dynamics of leverage using a comprehensive, international sample. For the full sample, target leverage ratios increase and speeds of adjustment towards the target decrease during recessions. These effects vary substantially across institutional settings. Firms in common law countries and with relatively high d...

We examine the pricing of both aggregate jump and volatility risk in the cross-section of stock returns by constructing investable option trading strategies that load on one factor but are orthogonal to the other. Both aggregate jump and volatility risk help explain variation in expected returns. Consistent with theory, stocks with high sensitiviti...

We evaluate predictive regressions that explicitly consider the time-variation of coefficients in a comprehensive Bayesian framework. For monthly returns of the S&P 500 index, we demonstrate statistical as well as economic evidence of out-of-sample predictability: relative to an investor using the historic mean, an investor using our methodology co...

The trading of shares of the same firm in multiple markets has become common over the last thirty years, but there is little empirical evidence on the extent to which investors actively exploit multimarket environments. We introduce a volume-based measure of multimarket trading to address this question. Analyzing a large set of cross-listed firms,...

We evaluate predictive regressions that explicitly consider the time-variation of coefficients in a comprehensive Bayesian framework. This allows for fast and consistent adjustment of regression coefficients to changes in the underlying economic relationships. For monthly returns of the S&P 500 index, we demonstrate statistical as well as economic...

We examine the correlation between trading volume shocks in a firm's domestic and cross-listed shares as a novel measure of market integration. If markets were perfectly integrated, discretionary investors would view domestic and cross-listing markets as effectively constituting one large market. Multimarket trading by such investors engaging in ei...

We evaluate predictive regressions that explicitly consider the time-variation of coefficients in a comprehensive Bayesian framework. This allows for fast and consistent adjustment of regression coefficients to changes in the underlying economic relationships. For monthly returns of the S&P 500 index, we demonstrate statistical as well as economic...

We draw on a natural experiment in order to analyze the profitability of banks' lending to their owners, based on a sample of banks owned by Aus-trian municipalities. We find that bank governance matters. Banks with larger supervisory boards tend to profit more (lose less) from lending to the municipalities. In addition, the profitability of such l...

We analyze the location of stock trading for firms with a US cross-listing. The fraction of trading that occurs in the United States tends to be larger for companies from countries that are geographically close to the United States and feature low financial development and poor insider trading protection. For companies based in developed countries,...

While a host of economic variables have been identified in the literature with the ap-parent in-sample ability to predict the equity premium, Goyal and Welch (2007) find that these variables fail to deliver consistent out-of-sample forecast gains relative to the histori-cal average. Imposing theoretically motivated restrictions on individual predic...

It is widely accepted that the inspection of software artifacts can find defects early in the development process and gather information on the quality of the evolving product. However, the inspection process is resource-intensive and involves tedious tasks, such as searching, sorting, and checking. Tool support for inspections can help acceleratin...

Most papers in equity return prediction rely on the assumption that coefficients in linear predictive models are constant over time. We question and relax this assumption and find strong empirical support for the validity of models allowing for time varying regression coefficients. Analyzing model uncertainty, we document that uncertainty about the...

In this paper we develop a novel bank failure prediction approach that uses the output of a multiperiod logit model to assess banks' risk situations and then estimates a survival time model for the subset of at-risk ("ill") banks. Our empirical analysis reveals that this two-step approach significantly outperforms benchmark logit models with respec...

Solving realistic dynamic asset allocation problems remains a challenge. While considerable progress with respect to theoretical insights has been made in the past years using dynamic programming, this technique is hardly applicable to deal with industry problems involving numerous sources of uncertainty and path-dependent variables. An alternative...

The performance and growth of the Austrian economy largely depend on small and medium-sized enterprises (SMEs). Despite their diminutive size, SMEs offer attractive investment opportunities that are, however, financed primarily by debt for a variety of reasons. The financing concept presented in this study adopts an innovative approach to provide a...

Abstract On-site inspections are usually very costly, take a considerable amount of time and cannot be performed with high frequency. Therefore, regulators use off-site analysis tools to monitor banks regularly and to make their decision to perform an on-site examination. Current practice in industry and academia is to use

We investigate the joint dynamics of returns and trading volume of 556 foreign stocks cross-listed on U.S. markets. Heterogeneous-agent trading models rationalize how trading volume reflects the quality of traders information signals and how it helps to disentangle whether returns are associated with portfolio-rebalancing trades or information-moti...

We explore two main questions. First, can two markets for a company’s shares coexist and, if so, what determines the distribution of trading volume across them? For firms cross-listed in the U.S. we find that in most cases U.S. trading is a significant fraction of total volume, and tends to be larger for companies based in countries that are geogra...

Collaboration is essential in many mission-critical activities. Consequently, numerous methods and tools are available supporting collaborative processes such as strategic planning, risk management, requirements definition, and so on. These methods typically emphasize the collaborative, value-creating activities, but there is often less emphasis on...

Collaboration is essential in many mission-critical activities. Consequently, numerous methods and tools are available supporting collaborative processes such as strategic planning, risk management, requirements definition, and so on. These methods typically emphasize the collaborative, value-creating activities, but there is often less emphasis on...

Current state-of-the-practice and state-of-the-art in software engineering (SE) typically focuses on cost issues and technical considerations for decision-making as costs are generally easier to measure than benefits. Value-based SE emphasizes the concept of 'value' in SE. However, so far the concept of value in SE is not well analyzed in its vario...

Inspection is an important approach to reduce defects in software engineering artifacts. Reading techniques such as usage-based reading (UBR) can focus inspector attention on specific types of defects (missing and wrong information) and specific defect severity classes (critical, important and not important defects). For empirical investigation the...

Software inspection is an effective way to assess product quality and to reduce the number of defects. In a software inspection, the inspection meeting is a key activity to agree on collated defects, to eliminate false positives, and to disseminate knowledge among the team members. However, inspection meetings often require high effort and may lose...

Stakeholder goals identified during requirements elicitation are usually informal and incomplete statements about a system considered for development. There are numerous approaches for capturing such informal models. For example, we have found the EasyWinWin requirements negotiation method to be an efficient way for attaining consensus among the su...

The inspection of software products can help to find defects early in the development process and to gather valuable information on product quality. An inspection is rather resource intensive and involves several tedious tasks like navigating, sorting, or checking. Tool support is thus hoped to increase effectiveness and efficiency. However, little...

Decision-making is a complex and important task in software engineering. The current state-of-the-practice is rather non-systematic as it typically relies upon personal judgment and experience without using explicit models. Empirical studies can help but they are costly to conduct and, to some extent, context dependent. Typically it is not efficien...

Inspection is an effective but also expensive quality assurance activity to find defects early during software development. The defect detection process, team size, and staff hours invested can have a considerable impact on the defect detection effectiveness and cost-benefit of an inspection. In this paper, we use empirical data and a probabilistic...

Many software projects fail because early life-cycle defects such as ill-defined requirements are not identified and removed. Therefore, quality assurance (QA) techniques for defect detection and prevention play an important role. The effectiveness and efficiency of QA approaches has been empirically evaluated. In this paper we discuss QA technique...

Defect content estimation approaches, based on data from inspection, estimate the total number of defects in a document to evaluate the quality of the product and the development process. Objective estimation approaches require a high-quality measurement process, potentially suffer from overfitting, and may underestimate the number of defects for i...

Software inspection requires customization to each development context and guidelines for planning for optimal results. In this work we present a role-oriented knowledge management framework for key decisions in software inspection planning and focus on how to use available knowledge from literature, which may vary considerably in different context...

The question of whether inspection meetings justify their cost has been discussed in several studies. However, it is still open as to how modern defect detection techniques and team size influence meeting performance, particularly with respect to different classes of defect severity. The influence of software inspection process parameters (defect d...

Decision-making is a complex and important task in software engineering. The current state-of-the-practice is rather non-systematic as it typically relies upon personal experience without using explicit models. Empirical studies can help but are to some extent context dependent and costly to conduct. Typically it is not efficient or even possible t...

A modern software development process framework, such as the unified process, is able to overcome problems of past frameworks, e.g., structural mismatches (notation, method used) between the products in different process steps. Moreover, it promotes an industry standard, which yields instantly tangible benefits from better communication in developm...

We report on a controlled experiment with over 170 student subjects to investigate the influence of inspection process, i.e., the defect detection technique applied, and inspector capability factors on the effectiveness and efficiency of inspections on individual and team level. The inspector capability factors include measures on the inspector's e...

Inspection is an important approach to reduce defects in software engineering artifacts. However, research and practice show that the performance of manual inspections fluctuates considerably. Based on experiences we gained in large-scale controlled inspection experiments we propose a concept for improved inspection management relying on (a) the tr...

The inspection of early life-cycle artifacts such as requirement documents promises great benefits. However, research demonstrates that the inspection process is complex and expensive and that tool support would be highly desirable. Existing inspection tools focus largely on the inspection of source code. We have therefore devised groupware support...

Software inspection is a quality assurance method to detect defects early during the software development process. For inspection planning there are defect detection techniques, so-called reading techniques, which let the inspection planner focus the effectiveness of individual inspectors on specific sets of defects. For realistic planning it is im...

After a software inspection the project manager has to decide whether a product has sufficient quality to pass on to the next software development stage or whether a second inspection cycle, a reinspection, is likely to sufficiently improve its quality. The reinspection decision of recent research focused on the estimation of product quality after...

In the early stages of software development, inspection of software documents is the most effective quality assurance measure to detect defects and provides timely feedback on quality to developers and managers. The paper reports on a controlled experiment that investigates the effect of defect detection techniques on software product and inspectio...

The goal of software inspection is to identify defects and to measure the product and inspection process quality. Software development products that are suspected to contain a substantial number of defects after inspection may be subject to a second inspection cycle (re-inspection). So far, very few empirical results can be found on re-inspections....