Karl Weinmayer

Bank holding companies and in particular its internal capital markets have been widely discussed in recent fnancial literature. Especially, the fnancial crisis brought the question for regulatory intervention in the fnancial markets anew. Empirical evidence suggests that bank holding companies have clear preferences for double leverage, which is not based on an unambiguous and explicit economic foundation. In this article, we analyze the effects of equity, debt and double leverage on the effciency of bank holding companies. We show that BHC effciency is negatively affected by equity fnancing from parent to subsidiaries and this effect is even more pronounced in case of double leveraging. Our findings indicate that further steps from regulators are necessary in order to prevent ineffcient fnancing via double leverage, which may be used to circumvent regulatory capital requirements.

In this paper, we expand the literature on multi-criteria portfolio modeling for
social responsible investments using multi-directional eciency analysis (MEA). We
apply a positive screening according to MEA eciency scores, but also exploit the
information contained in the eciency score directly (eciency-weighting) in order
to compute portfolio weights. The broad empirical analysis is based on public equity
market data of social resonsible investments from the USA going back to 2005. We
nd that portfolios constructed using multi-directional eciency analysis outperform
the mean-variance portfolios. Furthermore we show that the explicit consideration of
a social responsibility variable in the MEA has a positive eect on the nancial and
social performance of all asset allocations strategies. These strategies are also strictly
preferred to a naive portfolio strategy since they oer equal nancial performance,
while surpassing it in terms of social performance. These results clearly show the
benets of MEA portfolio modeling, not only for socially responsible investors, but
also traditional investors.

Advertising efficiency is a key metric in marketing and over the years several
studies reported a significant waste of advertising budget, a finding which calls for
strategies to increase advertising efficiency. While some factors, such as brand ex-
tensions or an optimal marketing mix, have already been identified as relevant de-
terminants of advertising efficiency, changes in consumer psychographics have so far
been neglected. The current study fills this gap by investigating how the emerg-
ing awareness and demand for corporate sustainability serves as a contextual factor
leveraging or hindering advertising efficiency. Furthermore, we investigate how ad-
vertising efficiency changed across various sectors from 2010 to 2019. A two-step
procedure was applied to analyze the secondary data of 1,950 observations from 195
US firms in five sectors over a period of 10 years. The resulting time series of firm-
specic multi-directional efficiency scores confirms that advertising efficiency varies
over time, justifying the relevance of a dynamic perspective for analyzing advertising
efficiency. Furthermore, in support of our main claim, the investigation of the rela-
tionship between advertising efficiency and the environmental, social and governance
performance of firms over time using a time-fixed effects panel regression confirms the
significant impact of corporate sustainability performance on advertising efficiency.
The results not only emphasize the relevance of corporate sustainability performance
in increasing advertising efficiency, but also guide marketers on strategic marketing
decisions related to the allocation of advertising budget.

This study investigates the effect of SRI efficiency-screening intensity on a portfolio’s performance under joint consideration of financial and ESG criteria in the analysis of the firms’ efficiencies derived from multi- directional efficiency analysis for US and European firms. Two efficiency estimation approaches relating to the choice of the set of firms are used and several usual asset allocation strategies are implemented reflecting common SRI fund and ESG index portfolios. The portfolio results indicate a significantly negative screening effect on financial performance for mean-variance strategies for the US and no significant effect for the EU. A significantly positive relationship can be documented between SRI efficiency-screening intensity and financial as well as ESG performance for naive and value-weighted asset allocation strategies. Depending on the level of transaction cost and the chosen efficiency estimation approach, either medium or high screening intensity is preferred. The results suggest that SRI efficiency-screening based on ESG is a viable approach for SRI fund management, but also indicate a potential application for conventional investors as well.

Bitcoin is an unregulated digital currency originally introduced in 2008 without
legal tender status. Based on a decentralized peer-to-peer network to conrm transac-
tions and generate a limited amount of new bitcoins, it functions without the backing
of a central bank or any other monitoring authority. In recent years, Bitcoin has seen
increasing media coverage and trading volume, as well as major capital gains and
losses in a high volatility environment. Interestingly, an analysis of Bitcoin retur ns
shows remarkably low correlations with traditional investment assets such as other
currencies, stocks, bonds or commodities such as gold or oil. In this paper, we shed
light on the impact an investment in Bitcoin can have on an already well-diversied
investment portfolio. Due to the non-normal nature of Bitcoin returns, we do not
propose the classic mean-variance approach, but adopt a Conditional Value-at-Risk
framework, which is better suited to capture the risk involved with a Bitcoin invest-
ment and ensures coherence of the risk measure compared to other alternatives. Our
results indicate that Bitcoin should be included in optimal portfolios. Even though
an investment in Bitcoin increases the CVaR of a portfolio, this additional risk is
overcompensated by high returns leading to better return-risk ratios.

In recent years socially responsible investing has become an increasingly more popular subject with both private and institutional investors. At the same time, a number of scientific papers have been published on socially responsible investments (SRIs), covering a broad range of topics, from what actually defines SRIs to the financial performance of SRI funds in contrast to non-SRI funds. In this paper, we revisit Markowitz’ Portfolio Selection Theory and propose a modification allowing to incorporate not only asset-specific return and risk expectations but also a social responsibility measure into the investment decision making process. Together with a risk-free asset, this results in a three-dimensional capital allocation plane that allows investors to custom-tailor their asset-allocations and incorporate all personal preferences regarding risk, return and social responsibility. We apply the model on a set of over 9000 international stocks and find that investors opting to maximize the social impact of their investments do indeed face a statistically significant decrease in expected returns. However, the social responsibility/risk-optimal portfolio yields a statistically significant higher social responsibility rating than the return/risk-optimal portfolio.

This paper analyses stock market reactions after the occurrence of major negative corporate environmental, social or governance (ESG) events and the possibility of mitigating these effects through the upfront provision of ESG information in firms’ annual reports. For this purpose, we follow a three-step procedure. First, we analyse the major ESG-related events gathered from REPRisk® data via event study analysis. Herein, we cover a window of 2 to 21 days. Second, we collect all annual reports of the firms mentioned in the covered period over the entire time horizon and conduct a textual analysis to examine firms’ disclosure of ESG information. Finally, we draw conclusions from the two approaches and show that firms with more upfront ESG information are better protected against negative market reactions after the occurrence of a negative ESG event. Specifically, we show that for firms with more upfront ESG disclosure, the market reactions are more positive. Our results also confirm that such events leads to an adjustment of the subsequent year’s ESG disclosure in the annual reports.