Empirical Essays on Regulatory Driven Bail-in Debt Instruments: the case of AT1/CoCo Bonds

Diplôme Thèse Empirical Essays on Regulatory Driven Bail-in Debt Instruments: the case of AT1/CoCo Bonds eng 2025-08-14 2025-08-14 author Kut Can 723346 director Scaillet Olivier 0000-0002-3948-6891 134311 Recherche et enseignement GSEM (RESEM) 134 10.13097/archive-ouverte/unige:187168 urn:nbn:ch:unige-1871685 GSEM 155 <p>This dissertation comprises three empirical essays on the pricing, return dynamics, and risk transmission of Additional Tier 1 (AT1) Contingent Convertible (CoCo) bonds—hybrid capital instruments introduced after the global financial crisis to strengthen bank resilience. The first essay evaluates momentum strategies in the European CoCo market, contrasting conventional momentum with two behavioral variants that refine trend signals to mitigate crash risk. While all deliver meaningful returns, the alternatives exhibit downside resilience. Realistic frictions such as transaction costs and short-selling limits are incorporated, and further analysis employs ARMA–APARCH model and time-series regressions to study return persistence, asymmetries, and the role of issuer fundamentals. The second essay analyzes issuance spreads using a block-structured regression framework, showing contractual features and issuer strength as dominant drivers, with limited macroeconomic influence. The third essay examines secondary market pricing, highlighting fundamentals, fragility, and systemic stress. Together, the essays provide new insights for investors and regulators.</p> AT1 bonds Contingent Convertible (CoCo) bonds Momentum strategies Issuance spreads Secondary market pricing Fixed Income Hybrid Securities Dewey 650 116 Geneva Finance Research Institute S4 false 036c0a23-afbc-4d4c-b3ae-7069593186c9 Thesis Restricted Ph.D_Thesis_Manuscript_(final)_-_Ca.pdf 2055648 application/pdf 0689c7d4504d92e40dd410bf1fbdd7be9d36595972870a17f5ea07bc0885a2d9 5cfda702-b8bd-4ac2-90b0-ea9597d6a61f Imprimatur Public KUT_Can_Imprimatur.pdf 42910 application/pdf 7e5a6a0abb2ed5c4d8c5419136ad745898cab7a4ea59d5499083a0f4014989e9 restrictedAccess Faculté d'économie et de management / Geneva Finance Research Institute

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Empirical Essays on Regulatory Driven Bail-in Debt Instruments: the case of AT1/CoCo Bonds				2025	156	3

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