Sven Klingler

Journal of Financial Economics 164 Doi: https://doi.org/10.1016/j.jfineco.2024.103989

The transition from London Interbank Offered Rate (LIBOR) to Secured Overnight Financing Rate (SOFR) affects the reference rate of floating-rate debt worth trillions of dollars. We provide the first evidence highlighting a benefit of the benchmark transition for debt markets. Focusing on the market for dollar-denominated floating rate notes (FRNs), we compare the yield spreads of FRNs linked to LIBOR and SOFR, issued by the same entity during the same month. After adjusting for the maturity-matched spreads from derivatives markets, we find significantly lower spreads for SOFR-linked FRNs. We link this SOFR discount to the enhanced price stability of SOFR-linked FRNs.

Journal of Monetary Economics Doi: https://doi.org/10.1016/j.jmoneco.2023.01.002

After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Constructing a new measure of dealers' balance sheet constraints for providing intermediation in U.S. Treasury markets, we trace these diminishing convenience premiums to primary dealers' ability to act as intermediaries. Even after accounting for Treasury supply, levels of interest rates, and other controls, falling excess demand of primary dealers in Treasury auctions, their increased Treasury holdings, and balance sheet constraints post-2015, remain key variables in explaining the diminishing convenience premiums.

Critical Finance Review 11(3-4) p. 505-539 Doi: https://doi.org/10.1561/104.00000119

I show that hedge funds with a high exposure to market-wide funding shocks—measured by changes in Libor-OIS spreads—subsequently underperform funds with a low exposure to market-wide funding shocks by 5.76% annually on a risk-adjusted basis (t = 4.04). To explain this puzzling result, I hypothesize that this type of funding risk exposure is connected to hedge funds’ liabilities with limited upside in normal times and severe downside risk during funding crises. Supporting this hypothesis, the performance difference between low-funding-risk and high-funding-risk funds is largest when funding constraints are most binding and for funds with more fragile liabilities.

Journal of Financial Economics 141(2) p. 783-801 Doi: https://doi.org/10.1016/j.jfineco.2021.04.017

Journal of Financial Intermediation 46(April) Doi: https://doi.org/10.1016/j.jfi.2020.100868

The increased disruption of business models through digital technologies creates opportunities and challenges for retail businesses and their network partners. Digital transformation – the process of digitalization of previously analogue operations,procedures, organizational tasks, and managerial processes in order to drive value for customers, employees and other stakeholders – is the order of the day. With that in mind, this article provides a purposeful overview of research in the field of digital transformation with a focus on retailing and customer- facing functions of digital technologies such as managing customer journeys, assessing the impact of sensory marketing and the use of service robots on the one hand, and their strategic implications for business models such as servitization on the other. This article concludes by highlighting immediate as well as long-term challenges in the field, with a focus on disruptive technologies, innovations and trends that retail marketing-management will likely face in the near future.