Abstract
This paper investigates how bankruptcy announcements in the German solar industry affect the stock market returns of announcing firms and their competitors. We show that German solar firms experience negative capital market reactions to their own bankruptcy announcements and to the announcements of their competitors. Cross-sectional analysis reveals that these negative information externalities are magnified by higher leverage. Further analysis also indicates that these negative information externalities are valuable predictors in short-term default probability models.
Zusammenfassung
Dieser Forschungsbeitrag untersucht die Auswirkungen von Insolvenzerklärungen in der deutschen Solarindustrie auf die Aktienkurse der ankündigenden Unternehmen und die Aktienkurse von deren Mitbewerbern. Die Ergebnisse zeigen einen negativen Einfluss auf das ankündigende Unternehmen sowie deren Mitbewerber. Eine Querschnittsanalyse führt zu dem Ergebnis, dass die Effekte auf die Mitbewerber stärker ausfallen, wenn deren Verschuldungsgrad höher ist. Zudem erweisen sich die am Ankündigungstag gemessenen abnormalen Renditen der Mitbewerber als gute Indikatoren für zukünftige Insolvenzerklärungen.
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Notes
Gesetz für den Vorrang Erneuerbarer Energien (ErneuerbareEnergien-Gesetz – EEG) sowie zur Änderung des Energiewirtschaftsgesetzes und des Mineralölsteuergesetzes from 23 March 2000 (BGBl. I, 305).
Datasource: Bundesministerium für Wirtschaft und Energie (Federal Ministry for Economic Affairs and Energy 2014).
Gesetz zur Neuregelung des Rechts im Bereich der Erneuerbaren Energien from 21 July 2004 (BGBl. I, 1918).
Gesetz zur Neuregelung des Rechts der Erneuerbaren Energien im Strombereich und zur Änderung damit zusammenhängender Vorschriften from 25 October 2008 (BGBl. I, 2074).
E. g., Erneuerbare-Energien-Gesetz from 25 October 2008 (BGBl. I, 2074), lastly amended by Article 1 of Erstes Gesetzes zur Änderung des Erneuerbare Energien-Gesetzes from 11 August 2010 (BGBl. I, 1170).
According to rough estimates from Bloomberg analysts, production costs for solar panels have decreased from around 5 US-dollar per Watt in 2000 to around 0.50 US-dollar per Watt in 2014 (Bloomberg 2014).
Using SIC codes has proven inconvenient since there is no unique code for solar firms and a pre-analysis has shown that, despite most solar firms as defined by our criteria being classified under 3,674, “Semiconductors and Related Devices”, many others are spread across several SIC codes such as 4,991 “Cogeneration Services & Small Power Producers” and 8,711 “Engineering Services”.
The daily movements of prices, i. e., returns, in this study are quantified by their relative change to the price at the end of the previous day while assuming reinvestment of any cash distributions to shareholders. All returns in this study are defined as continuously compounded returns calculated as differences between the natural logarithms of daily closing prices.
We merge our database of bankruptcy announcements with accounting data from Compustat based on event dates and dates of fiscal year end. In particular, we merge event dates with the next lower available fiscal year end of sample firms. If this accounting data is older than 735 days, we reset it to “missing” and exclude this observation from the analysis.
(Jorion and Zhang 2010: 696), for instance, report adjusted R‑squareds between 2.46 % and 6.17 % in a cross-sectional analysis with similar explanatory variables. In Jorion and Zhang (2009: 2072–2074) the adjusted R‑squareds range between 2.64 % and 25.84 %.
The unconditional ratio of probability of defaut to probability of non-default is 0.1613/(1-0.1613) ≈ 0.1923. A decrease in this ratio by exp(−0.04) minus 1, which is −0.0392 leads to 0.1923 − 0.0392 ≈ 0.1531. These implies that the new probability of default equals 0.1531/(1 + 0.1531) ≈ 0.1328.
Available at https://www.capitaliq.com/home/what-we-offer/how-you-can-get-it/data-feeds/wrds.aspx (accessed 22 November 2014).
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Kaspereit, T., Lopatta, K. The Solar Shakeout – Capital Market Reactions to Bankruptcy Announcements in the German Solar Industry. Z Energiewirtsch 40, 139–158 (2016). https://doi.org/10.1007/s12398-016-0178-3
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DOI: https://doi.org/10.1007/s12398-016-0178-3
Keywords
- Bankruptcy Announcements
- Spillover Effects
- Negative Information Externalities
- Competition Effects
- Event Study
- Photovoltaic Industry
Schlüsselwörter
- Insolvenzerklärungen
- Spillover-Effekte
- Negative Informationseffekte
- Wettbewerbseffekte
- Ereignisstudie
- Solarbranche