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Paderborn University in spring. Show image information

Paderborn University in spring.

Photo: Paderborn University, Kamil Glabica.

Dr. Sascha Tobias Wengerek

Dr. Sascha Tobias Wengerek

Betriebswirtschaftslehre, insb. Finanzierung und Investition

Research Assistant - Research and teaching

+49 5251 60-5559
+49 5251 60-4207
Office hours:

by appointment

Warburger Str. 100
33098 Paderborn
Dr. Sascha Tobias Wengerek
04/2020 - today

Postdoctoral researcher, Paderborn University, Paderborn

03/2014 - 04/2020

Ph.D. studies, Paderborn University, Paderborn

Essays on Empirical Banking and Finance

10/2011 - 09/2013

Working student at the institute of Kredit- und Finanzwirtschaft (ikf), Bochum

10/2011 - 09/2013

Master of Science in Management and Economics, Ruhr University, Bochum

Focus: Banking and Finance

10/2008 - 09/2011

Bachelor of Science in Management and Economics, Ruhr University, Bochum

02/2011 - 04/2011

Internship at IKB Deutsche Industriebank, Düsseldorf

Department for sales and distribution

Open list in Research Information System


Share price reactions to tariff imposition announcements in the Trump era - An event study of the trade conflict

S.T. Wengerek, 2020, pp. 63

Employing a unique sample of 2,849 tariff imposition announcements by and against the United States (U.S.) over the period from 2018 to 2019, this study analyzes the impact of recent tariff announcements on share prices from 859 U.S. companies. We provide evidence for negative (cumulative) average abnormal stock returns due to tariff announcements during a symmetric three-day event window. We suggest that stock market investors expect adverse impacts of tariff impositions, e.g. a decrease in the companies' future cash flows and a threat of retaliation. The negative wealth effects are observed irrespective of whether the Trump administration announces safeguard tariffs to protect domestic firms or a retaliation is declared by foreign countries. Moreover, building several subsamples, we find that the adverse impact is mostly driven by announcements involving China and is associated with a variety of sector, tariff, trade and firm characteristics.

COVID-19 and investor behavior

R. Ortmann, M. Pelster, S.T. Wengerek, Finance Research Letters (2020)



Determinants of CDS trading on major banks

B. Hippert, A. Uhde, S.T. Wengerek, 2019

Employing credit default swap (CDS) data for a sample of 52 major banks across 18 countries from 2008 to 2016, this paper investigates determinants of the outstanding net notional amount of CDS which are written on banks. We extend the current literature dealing with CDS trading by analyzing further CDS trading-specific, fundamental bank-specific as well as macroeconomic and institutional determinants with a focus on bank CDS trading. We find that, next to well-discussed determinants for corporate firms in the literature, especially a bank's tail risk, capital adequacy, loan portfolio and business model affect a bank's outstanding CDS net notional. This finding indicates that investors in the bank CDS market partly have a recourse to a fundamental analysis for their investment decision. Our study fills an important gap since empirical studies have solely focused on sovereign and corporate CDS yet. In addition, the analysis at hand provides important implications for both academics and practitioners since understanding the trading motives of bank CDS investors gives deeper insights into the still opaque CDS market.

Risk allocation through securitization – Evidence from non-performing loans

S.T. Wengerek, B. Hippert, A. Uhde, 2019

Employing a unique and hand-collected sample of 648 true sale loan securitization transactions issued by 57 stock-listed banks across the EU-12 plus Switzerland over the period from 1997 to 2010, this paper empirically analyzes the relationship between true sale loan securitization and the issuing banks' non-performing loan to total assets ratios (NPLRs). We provide evidence for an NPLR-reducing effect during the boom phase of securitizations in Europe suggesting that banks in our sample may (partly) securitize NPLs as the most risky junior tranche and do not (fully) retain NPLs as a reputation and quality signal towards less informed investors in imperfect capital markets. In contrast, we find the reverse effect during the crises period in Europe indicating that issuing banks provided credit enhancement and demonstrated `skin in the game'. Our baseline result remains robust when controlling for endogeneity concerns and a potential persistence in the time series of the NPL data. Moreover, results from a variety of sensitivity analysis reveal that the NPLR-reducing effect is stronger for opaque securitization transactions, for issuing banks exhibiting higher average levels of NPLRs and for banks operating from non-PIIGS countries. In addition, a reduction of NPLRs through securitization is observed for issued collateralized debt obligations, residential mortgage-backed securities, consumer and other unspeci ed loans as well as for non-frequently issuing, systemically less important and worse-rated banks. Our analysis offers essential insights into the loan risk allocation process through securitization and provides important implications for the vital debate on reducing NPL exposures and the process of revitalizing and regulating the European securitization market.

Portfolio Benefits of Adding Corporate Credit Default Swap Indices: Evidence from North America and Europe

B. Hippert, A. Uhde, S.T. Wengerek, Review of Derivatives Research (2019), 22(2), pp. 203-259

Employing main and sector-specific investment-grade CDS indices from the North American and European CDS market and performing mean-variance out-of-sample analyses for conservative and aggressive investors over the period from 2006 to 2014, this paper analyzes portfolio benefits of adding corporate CDS indices to a traditional financial portfolio consisting of stock and sovereign bond indices. As a baseline result, we initially find an increase in portfolio (downside) risk-diversification when adding CDS indices, which is observed irrespective of both CDS markets, investor-types and different sub-periods, including the global financial crisis and European sovereign debt crisis. In addition, the analysis reveals higher portfolio excess returns and performance in CDS index portfolios, however, these effects clearly differ between markets, investor-types and sub-periods. Overall, portfolio benefits of adding CDS indices mainly result from the fact that institutional investors replace sovereign bond indices rather than stock indices by CDS indices due to better risk-return characteristics. Our baseline findings remain robust under a variety of robustness checks. Results from sensitivity analyses provide further important implications for institutional investors with a strategic focus on a long-term conservative portfolio management.

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