Presenter: Jorge Hansen, AU

Title: Be on Your Guard: 7DTE Options Markets and Safety Related Small Maturity Phenomena in Bond and Stock Markets

Abstract: To analyze small maturity phenomena related to safety in stock and bond markets, we develop a model to explain observable patterns: a positive correlation between the returns of 7DTE out-of-the-money (OTM) Treasury bond futures calls and S&P 500 stock puts, no correlation between the returns of 7DTE OTM bond puts and stock calls, and a decrease in the VVIX/VIX ratio during times of market stress. The estimated model is based on a theory of bivariate jump distributions for the bond’s upside (downside) and the stock’s downside (upside) and is validated empirically by 7DTE findings that encompass 22 variables.

Presenter: Stefan Hirth, AU

Title: Financial Flexibility and Debt Maturity Concentration

Abstract: We investigate the effect of an exogenous shock to firms’ financial flexibility on debt maturity concentration. We utilize variations in real estate prices, and thus changes of the firm's collateral value, as exogenous shocks to firms’ debt capacity and, thus, to their financial flexibility. Our theoretical model predicts that debt maturity concentration increases in collateral value. This prediction finds robust support in the data, for different measures of the firm's real estate value and debt maturity concentration. We further examine the effect of different debt types and firm characteristics.

Organizers: Stefan Hirth and Anders Merrild Posselt