Einfluss der freiwilligen Berichterstattung auf die Kapitalkosten von Pflichtwandelanleihen vor dem Hintergrund unvollkommener Wettbewerbsbedingungen – Empirische Evidenz für AT1-CoCo-Bonds europäischer Banken
Recent theory-based studies leave room for whether voluntary disclosure raises or lowers the cost of Contingent Convertible Bonds (CoCo-Bonds) in markets that are imperfectly competitive. Therefore, in this paper, I examine the link between voluntary disclosure and the cost of AT1-CoCo-Bonds, which are issued by European banks. First, I document a positive impact of voluntary disclosure on the cost of AT1-CoCo-Bonds. An increase of my self-constructed disclosure index by 0.1 would increase the cost of AT1-CoCo-Bonds by 1-2 percent after controlling for usual explanatory variables and time, currency and bank fixed effects. Second, my results indicate that voluntary disclosure has a stronger positive impact on the cost of hybrid capital for AT1-CoCo-Bonds which are associated with higher information asymmetry potential. Third, I show that the positive impact of voluntary disclosure on the cost of hybrid capital is additionally stronger in situations where there is a greater probability of triggering. Overall, my results highlight both the importance of market competition and the relevance of security features that cause higher information asymmetry potential to consider when examining the link between voluntary disclosure and the cost of hybrid capital in imperfect competition settings. Since AT1-CoCo-Bonds in particular and hybrid capital in general have become important sources of external financing for European banks, my findings have crucial implications on management’s decision about disclosure level.
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