My name is Sebastian Rötzer.
I build evidence from data and I am currently working as a researcher and PhD candidate in financial economics at the Department of Finance of the Université de Lausanne and at the Swiss Finance Institute.
In the course of my research, I have acquired expert-level knowledge in the areas of economic modeling, corporate finance, data science, statistical hypothesis testing and applied econometric analysis.
I am expecting to defend my doctoral thesis in June 2022 and I am excited to explore new challenges and opportunities starting from fall 2022.
I cordially invite you to find out more about me and my work by exploring my research and the links below or by getting in touch with me any time to discuss an idea or propose a project.
I look forward to hearing from you!
I am a research professional in financial economics with particular interest in questions of corporate finance and industrial organization and a methodological focus on accurate and robust statistical hypothesis testing.
I have received training at HEC Lausanne, the Swiss Finance Institute, the Study Center Gerzensee and several other institutions and I have myself taught exercise sessions in corporate finance, programming and optimization in business and economics on a Master of Science (MSc) level.
In the course of my education and career I have developed skills in working independently and driven by myself as well as to progress large projects in close cooperation within a team.
In my spare time I enjoy a good trip in the outdoors, a challenging route at the boulder gym or an intricate board game with friends and family.
Do tests of the common ownership hypothesis mean what they say?
[Draft, version April 22, 2022]
I develop a plausible model of institutional common ownership from economic first principles that nests existing literature on corporate governance and control. I show that a common ownership structure forces institutional fund managers to internalize product market externalities into their decision process and thereby reduces both, firm profitability and consumer surplus, compared to a suitably chosen counterfactual. Assuming that my model provides a realistic representation of the true data generating process, I then proceed to evaluate the performance of regression models proposed in three recent top-tier publications on empirical common ownership research. I find that these empirical models unable to identify the true effect of common ownership built into the model for a large range of parametric assumptions. I conclude that this misspecification arises because existing studies are not careful enough in separating the effects of common ownership from other beneficial effects of institutional ownership and because prevalent models are overly simplistic and do not discriminate between different degrees of common ownership and incentives on firm and fund manager levels.
Is higher quality physical capital always more desirable?
[Draft available on request]
with Thomas Dangl and Hamed Ghoddusi
We highlight the impact of capital quality, i.e., the depreciation rate of capital assets, on firms' investment behavior, endogenous output price dynamics, and industry equilibrium outcomes. A continuous-time model of dynamic capacity investment under uncertainty is presented and closed-form solutions for the optimal investment policies as well as the steady-state distribution of endogenous output prices and the dynamics of aggregate capital are derived. The lower-quality (shorter-lived) capital depreciates faster and, thus, requires a higher level of reinvestment. In equilibrium, competitive firms may show a higher willingness to pay for the low-quality capital since depreciation provides an embedded hedge feature for the firm value. In particular, we show that demand elasticity is one of the key determinants of the willingness to pay; ceteris paribus, firms may prefer a high-quality capital in a market with high price elasticity of demand and the low-quality capital in a market with highly inelastic demand. We also show that with incremental investment and marked-to-market capital goods prices, the net present value of new investment opportunities is always equal to zero. We provide empirical evidence to support theoretical predictions of the model.
Work in progress
Are termination fees innocuous?
with Theodosios Dimopoulos
Extant theoretical work argues that termination fees in M&As maintain ex-post allocative efficiency, while empirical work rejects the hypothesis that these fees are put in place to protect sweetheart deals of target management. We construct a structural model of sequential entry in M&As in which first stage bidding is followed by potential bidding competition. The model shows the possibility of allocative inefficiency and excessive preemption resulting from termination fees. Our calibration shows that existing empirical tests fail to detect the efficiency loss due to termination fees despite the fact that i) takeover premiums are increasing in termination fees and ii) the likelihood of rival bidder entry only mildly declines with termination fees.
Do common owners shirk from improving portfolio firms?
Abstract to be announced.