Research

Working Papers

with V. Beyer
This research investigates the influence of methodological choices in portfolio sorts on the size of the carbon premium. By analyzing more than 100,000 methodological paths, we find that variations in the construction of brown-minus-green portfolios create substantial non-standard errors. From 2009 to 2022, the mean carbon premium is-0.16% per month, with a non-standard error of 0.26%. Additionally, there is significant time-series variation in non-standard errors, which correlates with climate media attention. Controlling for unexpected changes in climate concerns substantially reduces methodology-induced uncertainty and helps explain the absence of a consistently positive carbon premium.

with V. Beyer and C. Klein
This study identifies environmental tastes in the US stock market and analyses implications for investors and companies. Environmental tastes are present in industries with high toxic emissions and lead to the shunning of high-polluting firms. A high-minus-low portfolio based on emission quartiles yields an average annual return of 5.75%, which remains significant after controlling for common risk factors. Thus, investors with low environmental tastes, such as hedge funds, have benefited from the environmental tastes of other investors over the past three decades. Implied cost of capital analyses, however, suggest a negligible effect on firms’ capital budgeting. Our findings emphasize the need for more granular investigations on the existence and effects of environmental tastes in capital markets.

in: Journal of Economic Behavior & Organization, 217, 2024, pp 664-678 (with J. Dobrick, A. Höck, S. Utz and M. Wagner)

in: Journal of Asset Management, 24(7), 2023, pp 572-580 (with M. Dumrose, A. Höck and C. Klein)

Under Pressure? The Link Between Mandatory Climate Reporting and Firms’ Carbon Performance
in: Organization & Environment, 36(1), 2023, pp. 126-149. (with C. Klein, T. Pioch and S. Schiemann)
Spillover Effects of Tax Avoidance on Peers' Firm Value
in: The Accounting Review, 96(4), 2021, pp. 51–79. (with I. Hardeck, K. Inger, P. Wittenstein and B. Zwergel)
Active First Movers vs. Late Free-Riders? An Empirical Analysis of UN PRI Signatories’ Commitment
in: Journal of Business Ethics, 182, 2023, pp. 747–781. (with S. Schaltegger, S. Utz, S. Zeile and B. Zwergel)
New evidence on the impact of the English national soccer team on the FTSE 100
in: Finance Research Letters, 28, 2019, pp. 61-67. (with S. Heiden, C. Klein and B. Zwergel)
Sustainable and Conventional Mutual Funds: Do they Really Differ?
in: Corporate Finance, 2017, with C. Klein, B. Zwergel

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