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Die vorliegende Arbeit hat zwei wesentliche Ziele. Auf der einen Seite soll sie existierende Konzepte zum systematischen Faktorinvestieren erweitern, mögliche Problemstellungen aufdecken und Verbesserungen vorschlagen. Zweitens, untersucht diese Arbeit eine neue Form von FinTech Innovationen:...
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We document the impact of ESG shocks on the stock returns of suppliers and clients of affected firms. The impact is contingent not only on the sign and magnitude of the shock, but also on its interaction with the firm's ESG level. ESG shocks are integrated into prices intra-daily and the...
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We run portfolio sorting exercises based on firm-specific measures of biodiversity loss in US equity markets. Using a dataset from Iceberg DataLab, we come to four conclusions. First, we confirm that the risk premium for biodiversity over the past decade is close to zero. Second, we show that...
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