Publikationen

Unsere Forschungergebnisse unterstützen die gesellschaftliche Debatte rund um aktuelle finanzökonomische Fragestellungen. Durch die Veröffentlichung der Arbeiten in internationalen Fachzeitschriften und unserer Working Paper Series sollen diese für einen möglichst breiten Adressatenkreis zugänglich werden.

HFRC Working Paper Series

Unsere Arbeitspapiere fassen die neuesten Ergebnisse aus der Forschungsarbeit des Instituts zusammen. Die Papiere stellen Diskussionsbeiträge dar und sollen zur kritischen Kommentierung der Ergebnisse anregen.

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ESG Investing

Institutional investors and corporate environmental costs: The roles of investment horizon and investor origin

Wolfgang Drobetz, Sadok El Ghoul, Zhengwei Fu, Omrane Guedhami
European Financial Management | 06/2023 | Forthcoming
Using a large international dataset that quantifies corporate environmental costs, we analyze the influence of institutional investor ownership, particularly investment horizon and investor origin, on the monetized environmental impact generated by their investee firms. Institutional investor ownership is negatively related to corporate environmental costs. This effect is driven by long-term foreign institutional investors, especially investors from advanced economies. Foreign institutional investors transfer higher norms and standards from their home countries to their investee firms abroad. Corporate environmental costs are negatively correlated with firm valuation and positively correlated with the firm’s cost of equity. To the extent that corporate environmental costs are not already reflected in conventional ESG ratings, our results shed new light on the role of institutional investors in shaping corporate environmental impact.

Testing rebalancing strategies for stock-bond portfolios across different asset allocations

Hubert Dichtl, Wolfgang Drobetz, Martin Wambach
Applied Economics | 09/2015
We compare the risk-adjusted performance of stock–bond portfolios between rebalancing and buy-and-hold across different asset allocations by reporting statistical significance levels. Our investigation is based on a 30-year dataset and incorporates the financial markets of the United States, the United Kingdom and Germany. To draw useful recommendations to investment management, we implement a history-based simulation approach which enables us to mimic realistic market conditions. Even if the portfolio weight of stocks is very low, our empirical results show that a frequent rebalancing significantly enhances risk-adjusted portfolio performance for all analysed countries and all risk-adjusted performance measures.