Tatjana Xenia Puhan

Practicioner Fellow

Curriculum Vitae

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Ausgewählte Publikationen

Cyclicality of growth opportunities and the value of cash holdings

Meike Ahrends, Wolfgang Drobetz, Tatjana Xenia Puhan
Journal of Financial Stability | 08/2018
We show that business cycle dynamics and, in particular, the cyclicality of a firm’s growth opportunities, determine the value of corporate cash holdings. An additional dollar of cash is more valuable for firms with less procyclical expansion opportunities. This valuation effect is strongest for low leverage and high R&D firms, but is independent of their financial status. Corporate cash holdings provide the flexibility to invest for firms that have expansion opportunities during crisis times with business cycle downturns and supply-side financial constraints. Cash holdings in firms with less procyclical growth opportunities are associated with higher investment and better operating performance.

Predicting corporate bond illiquidity via machine learning

Axel Cabrol, Wolfgang Drobetz, Tizian Otto, Tatjana Xenia Puhan
Financial Analysts Journal | 05/2024 | Forthcoming
This paper tests the predictive performance of machine learning methods in estimating the illiquidity of U.S. corporate bonds. Machine learning techniques outperform the historical illiquidity-based approach, the most commonly applied benchmark in practice, from both a statistical and an economic perspective. Tree-based models and neural networks outperform linear regressions, which incorporate the same set of covariates. Gradient boosted regression trees perform particularly well. Historical illiquidity is the most important single predictor variable, but several fundametal and return- as well as risk-based covariates also possess predictive power. Capturing interactions and nonlinear effects among these predictors further enhances predictive performance.