Wolfgang Drobetz


Curriculum Vitae

Wolfgang Drobetz is Full Professor of Finance at the University of Hamburg. He holds a Ph.D. in Economics from the University of St. Gallen and completed his Habilitation at the University of Basel. Wolfgang taught financial theory at the Bucerius Law School, the WHU Otto Beisheim Graduate School, and the IAE Business School. His research interests include corporate finance, corporate governance, asset management, and ship finance. Wolfgang’s research has been published in leading academic and practitioner journals. He is a member of the editorial board of several academic journals, served as co-president of the European Financial Management Association, and is a director of the Hamburg Financial Research Center (HFRC).

Ausgewählte Publikationen

A bootstrap-based comparison of portfolio insurance strategies

Hubert Dichtl, Wolfgang Drobetz, Martin Wambach
European Journal of Finance | 01/2017
This study presents a systematic comparison of portfolio insurance strategies. We implement a bootstrap-based hypothesis test to assess statistical significance of the differences in a variety of downside-oriented risk and performance measures for pairs of portfolio insurance strategies. Our comparison of different strategies considers the following distinguishing characteristics: static versus dynamic protection; initial wealth versus cumulated wealth protection; model-based versus model-free protection; and strong floor compliance versus probabilistic floor compliance. Our results indicate that the classical portfolio insurance strategies synthetic put and constant proportion portfolio insurance (CPPI) provide superior downside protection compared to a simple stop-loss trading rule and also exhibit a higher risk-adjusted performance in many cases (dependent on the applied performance measure). Analyzing recently developed strategies, neither the TIPP strategy (as an ‘improved’ CPPI strategy) nor the dynamic VaR-strategy provides significant improvements over the more traditional portfolio insurance strategies.

Active factor completion strategies

Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother
Journal of Portfolio Management | 02/2020 | Forthcoming
Embracing the concept of factor investing, we design a flexible framework for building out different factor completion strategies for traditional multi-asset allocations. Our notion of factor completion comprises a maximally diversified reference portfolio anchored in a multi-asset multi-factor risk model that acknowledges market factors such as equity, duration, and commodity, as well as style factors such as carry, value, momentum, and quality. The specific nature of a given factor completion strategy varies with investor preferences and constraints. We tailor a select set of factor completion strategies that include factor-based tail hedging, constrained factor completion, and a fully diversified multi-asset multi-factor proposition. Our framework is able to organically exploit tactical asset allocation signals while not sacrificing the notion of maximum diversification. To illustrate, we additionally embed the common trend style that permeates many asset classes, and we also include the notion of style factor momentum.

An integrated framework of corporate governance and firm valuation

Stefan Beiner, Wolfgang Drobetz, Markus Schmid, Heinz Zimmermann
European Financial Management | 02/2006
Recent empirical research shows evidence of a positive relationship between the quality of firm‐specific corporate governance and firm valuation. Instead of looking at one single corporate governance mechanism in isolation, we construct a broad corporate governance index and apply five additional variables related to ownership structure, board characteristics, and leverage to provide a comprehensive description of firm‐level corporate governance for a representative sample of Swiss firms. To control for potential endogeneity of these six governance mechanisms, we develop a system of simultaneous equations and apply three‐stage least squares (3SLS). Our results support the widespread hypothesis of a positive relationship between corporate governance and firm valuation.

Antitakeover provisions and firm value: New evidence from the M&A market

Wolfgang Drobetz, Paul P. Momtaz
Journal of Corporate Finance | 06/2020
New evidence from acquisition decisions suggests that antitakeover provisions (ATPs) may increase firm value when internal corporate governance is sufficiently strong. We document that, in Germany, firms with stronger ATPs, and particularly supermajority provisions, are better acquirers. Managers of high-ATP firms create value in acquisitions by making governance-improving deals. They are more likely to engage in acquisitions that reduce their own entrenchment level and less likely to invest in declining industries. The empirical evidence is consistent with a short-termist interpretation. Takeover threats can induce myopic investment decisions, which ATPs can mitigate. They lead managers to engage more often in value-creating long-term and innovative investing, and increase a firm's sensitivity to investment opportunities. Our findings contribute to a growing literature challenging conventional wisdom that the agency-increasing effect of ATPs empirically dominates the myopia-eliminating effect, suggesting that a more contextual view of the value implications of ATPs is necessary.

Are stock markets really so inefficient? The case of the “Halloween Indicator”

Hubert Dichtl, Wolfgang Drobetz
Finance Research Letters | 06/2014
The old and simple investment strategy “Sell in May and Go Away” (also referred to as the “Halloween effect”) enjoys an unbroken popularity. Recent studies suggest that the Halloween effect even strengthened rather than weakened since its first publication by Bouman and Jacobsen (2002). We implement regression models as well as Hansen’s (2005) “Superior Predictive Ability” test to analyze whether stock markets are really so inefficient. In line with the predictions of market efficiency, our results reject the hypothesis that a trading strategy based on the Halloween effect significantly outperforms.

Board ancestral diversity and voluntary greenhouse gas emission disclosure

Johannes Barg, Wolfgang Drobetz, Sadok El Ghoul, Omrane Guedhami, Henning Schröder
HFRC Working Paper Series | Version 01/2022
Prior research suggests that the disclosure of greenhouse gas (GHG) emissions—a primary cause of climate change—affects firm valuation. In this paper, we provide new insights into the determinants of the voluntary disclosure of GHG emissions. We show that board ancestral diversity has a positive and statistically significant effect on a firm’s scope and quality of voluntary GHG emission disclosure. This effect is robust to controlling for several other dimensions of board diversity as well as to addressing endogeneity and sample selection. Additional analysis suggests that board ancestral diversity has a higher impact on GHG emission disclosure in firms with low institutional ownership and high corporate complexity. We interpret these findings as consistent with the view that board diversity enhances monitoring and advising.

Can investors benefit from the performance of alternative UCITS?

Michael Busack, Wolfgang Drobetz, Jan Tille
Financial Markets and Portfolio Management | 02/2017
We study the performance persistence of alternative UCITS funds, which are a hybrid between mutual funds and hedge funds. Persistence is gauged by alternative measures of performance and risk. Based on contingency tables, we find that performance persists for up to 2 years following ranking. However, persistence is stronger in the short run, and ranked portfolio tests indicate that investors can benefit from persistence for only up to 1 year. The evidence for persistence in risk is ambiguous. We link fund characteristics to performance persistence and find that offshore hedge fund experience enhances persistence. Our results are robust against survivorship bias and other potential database biases.

Capital allocation and ownership concentration in the shipping industry

Wolfgang Drobetz, Malte Janzen, Ignacio Requejo
Transportation Research Part E: Logistics and Transportation Review | 02/2019
We measure the sensitivity of investment to changes in investment opportunities in the shipping industry, and test whether this relation is moderated by ownership concentration. For a sample of 126 globally listed shipping firms, we find that investment in commercial shipping follows freight rates, a measure of the potential income stream from owning a vessel. Ownership concentration, measured as the ownership stake of the largest shareholder, reinforces the positive effect of freight rates on investment, indicating a higher relative efficiency of capital allocation. The positive impact ownership has on the investment-freight rate sensitivity also translates into higher firm value. An analysis of investor identity shows that our results are driven by the group of firms where the largest owner is a financial investor, who is usually more focused on shareholder value maximization.