Research Work

Working paper: 

• Hackenberg, K., Klaus, V., Klingler, S. and T. Sondershaus (2024): Taking advantage of media attention to climate change: CLOs‘ trading of brown loans 

Abstract: Collateralized Loan Obligations (CLOs) are the main investors in leveraged loans, and we show in this paper that they take advantage of heightened media attention to climate change. Utilizing transaction data on leveraged loans, we find loans of firms in carbon-intensive industries trade at a discount when media attention to climate change is elevated. CLOs take advantage of these price discounts by tilting their portfolios toward carbon-intensive industries. This portfolio tilting is still present for CLO managers who signed the principles of responsible investing (PRI) and thereby committed to considering environmental factors in their investments. Hence, CLOs are one investor class purchasing from institutional investors who divest from brown industries. [SSRN]

presented at FERN Seminar KIT (2023), Research Seminar Obergurgl (2023), NBR Spring Institute Norway (2023)*, ZEW Mannheim (2023)*, WiMFEH DIW Berlin (2023), EEA Barcelona (2023), ECB (2023)*, Young Scholars Nordic Finance Workshop (2023)*, AFA poster San Antonio, TX (2024), Goethe University/SAFE (2024)*

*presented by co-author

Current work in progress: 

• Hillert, A., Klaus, V. and J. Thimme: Text-based Macro Data

• Klaus, V. and J. Thimme: Understanding Asset Pricing Factors