Angel Tengulov
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Tengulov
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Angel
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+41 71 224 7411

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Market Efficiency and Limits to Arbitrage: Evidence from the Volkswagen Short Squeeze

2021-05-20 , Allen, Franklin , Haas, Marlene , Nowak, Eric , Tengulov, Angel

On October 26, 2008, Porsche announced a largely unexpected domination plan for Volkswagen. The resulting short squeeze in Volkswagen’s stock briefly made it the most valuable listed company in the world. We argue that this was a manipulation designed to save Porsche from insolvency and the German laws against this kind of abuse were not effectively enforced. Using hand-collected data we provide the first rigorous academic study of the Porsche-VW squeeze and show that it significantly impeded market efficiency. Preventing manipulation is important because without efficient securities markets, the EU’s major project of the Capital Markets Union cannot be successful.

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Creditor Control Rights and the Pricing of Private Loans

, Arnold, Marc , Kollmann, Nicola , Tengulov, Angel

This paper investigates the influence of creditor control rights on the pricing of corporate loans. We construct a novel dataset, which combines hand-collected covenant violations data with individual borrower, creditor, and loan contract information. Our data allows us to distinguish between creditors that receive direct control rights after a covenant violation and creditors that do not receive control rights after a violation. By comparing the loan terms of these two creditor types, we can isolate the impact of creditor control rights on loan pricing from the impact of other factors related to a covenant violation. We find that creditors exploit control rights to overprice new loans, and that this rent extraction is a key determinant of the loan premium puzzle.

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Publication

Creditor Control Rights and the Pricing of Private Loans

2023 , Marc Arnold , Nicola Kollmann , Angel Tengulov

This paper investigates the influence of creditor control rights on the pricing of corporate loans. We construct a novel dataset, which combines hand-collected covenant violations data with individual borrower, creditor, and loan contract information.

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Publication

Creditor Control Rights and the Pricing of Private Loans

, Arnold, Marc , Kollmann, Nicola , Tengulov, Angel

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Creditor Control Rights and the Pricing of Private Loans

2022-01-07 , Arnold, Marc , Kollmann, Nicola , Tengulov, Angel

This paper investigates the influence of creditor control rights on the pricing and design of corporate loans. We construct a novel dataset, which combines individual borrower, lender, and loan characteristics with covenant violation data. The dataset contains observations, in which borrowers are in violation only with some of their multiple creditors. This data structure allows us to address the endogeneity concerns of the standard quasi-regression discontinuity design that uses covenant violations to identify shifts in creditor control rights. We find that creditors exploit their control rights to overprice new loans and tighten the loan conditions.

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Do Loans Carry a Control Spread? Evidence from the Allocation of Control Rights Across Creditors

2023-10-13 , Marc Arnold , Nicola Kollmann , Angel Tengulov

This study investigates the influence of creditor control rights on the pricing of corporate loans. Using a novel hand-collected dataset, we differentiate between individual creditors who receive and do not receive control rights after a covenant violation. This differentiation allows us to isolate the influence of shifts in control rights on loan pricing from that of other factors related to covenant violations. We find that creditors exploit control rights to overprice new loans and that this pricing friction in the loan market is of first-order importance in explaining the variation in loan prices and the loan premium puzzle.

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