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In this article, we investigate the notion of doing well while doing good from the perspective of passive portfolio strategies. We analyze a number of asset allocation strategies based on ESG-weighting and compare their financial and ESG performance for the US and Europe. We find no significant difference in the financial performance but superior ESG performance of ESG-based strategies. It can be concluded that, compared to a naive strategy, socially responsible investors are willing to pay a small premium for the impact of the portfolio via transaction costs when rebalancing the portfolio according to their preferences for social responsibility. In addition, when comparing the ESG-based strategies to a value-weighted strategy, we observe no significant difference in ESG performance but a high degree of significance in the superior financial performance of the ESG-based strategy. We also analyze the strategies with regards to the factor loadings given by the Fama–French five-factor model and a sixth factor denoted GMB (Good minus Bad) and find significant differences across the regions and strategies. Overall, the results show strong support of ESG-based strategies being preferred by socially responsible investors but also suggest that such strategies might be preferred by conventional investors looking for a passively managed alternative compared to a value-weighted index. Furthermore, it seems that such a strategy might be a more adequate benchmark for active SRI funds.
Julian Amon; Margarethe Rammerstorfer; Karl Weinmayer. Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors. Sustainability 2021, 13, 9388 .
AMA StyleJulian Amon, Margarethe Rammerstorfer, Karl Weinmayer. Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors. Sustainability. 2021; 13 (16):9388.
Chicago/Turabian StyleJulian Amon; Margarethe Rammerstorfer; Karl Weinmayer. 2021. "Passive ESG Portfolio Management—The Benchmark Strategy for Socially Responsible Investors." Sustainability 13, no. 16: 9388.
Bank Holding Companies and in particular their internal capital markets have been widely discussed in recent financial literature. The financial crisis especially brought regulatory intervention in financial markets into question. Empirical evidence suggests that bank holding companies have clear preferences for double leverage, which are not based on unambiguous and explicit economic foundations. In this article, we analyze the effects of equity, debt and double leverage on the efficiency of bank holding companies. We show that Bank Holding Company efficiency is negatively affected by equity financing from parents to subsidiaries and this effect is even more pronounced in case of double leveraging. Our findings indicate that further measures from regulators are necessary in order to prevent inefficient financing via double leverage, which may be used to circumvent regulatory capital requirements.
Silvia Bressan; Margarethe Rammerstorfert; Karl Weinmayer. Internal capital markets and bank holding company efficiency. Review of Financial Economics 2020, 39, 163 -177.
AMA StyleSilvia Bressan, Margarethe Rammerstorfert, Karl Weinmayer. Internal capital markets and bank holding company efficiency. Review of Financial Economics. 2020; 39 (2):163-177.
Chicago/Turabian StyleSilvia Bressan; Margarethe Rammerstorfert; Karl Weinmayer. 2020. "Internal capital markets and bank holding company efficiency." Review of Financial Economics 39, no. 2: 163-177.
In this article we shed light on the possibility to outperform the market via a 100% impact portfolio. For this, we have a closer look at the existing funds and indexes and analyze their performance over the last few years. We find no over- or underperformance of SRI portfolios. Nevertheless, evidence argues in favour of rather stable returns when compared to conventional products which may allow downside protection during recessions.
Lukas Immervoll; Margarethe Rammerstorfer. Could a 100% Portfolio Beat the Market? The Fourth Industrial Revolution and Its Impact on Ethics 2018, 65 -96.
AMA StyleLukas Immervoll, Margarethe Rammerstorfer. Could a 100% Portfolio Beat the Market? The Fourth Industrial Revolution and Its Impact on Ethics. 2018; ():65-96.
Chicago/Turabian StyleLukas Immervoll; Margarethe Rammerstorfer. 2018. "Could a 100% Portfolio Beat the Market?" The Fourth Industrial Revolution and Its Impact on Ethics , no. : 65-96.
This paper sheds light on the differences and similarities in natural gas trading at the National Balancing Point in the UK and the Henry Hub located in the US. For this, we analyze traders’ expectations and implement a mechanical forecasting model that allows traders to predict future spot prices. Based on this, we compute the deviations between expected and realized spot prices and analyze possible reasons and dependencies with other market variables. Overall, the mechanical predictor performs well, but a small forecast error remains which can not be characterized by the explanatory variables included.
Thomas Kremser; Margarethe Rammerstorfer. Predictive Performance and Bias: Evidence from Natural Gas Markets. Journal of Management and Sustainability 2017, 7, 1 .
AMA StyleThomas Kremser, Margarethe Rammerstorfer. Predictive Performance and Bias: Evidence from Natural Gas Markets. Journal of Management and Sustainability. 2017; 7 (2):1.
Chicago/Turabian StyleThomas Kremser; Margarethe Rammerstorfer. 2017. "Predictive Performance and Bias: Evidence from Natural Gas Markets." Journal of Management and Sustainability 7, no. 2: 1.
Dénes Kucsera; Margarethe Rammerstorfer. Regulation and grid expansion investment with increased penetration of renewable generation. Resource and Energy Economics 2014, 37, 184 -200.
AMA StyleDénes Kucsera, Margarethe Rammerstorfer. Regulation and grid expansion investment with increased penetration of renewable generation. Resource and Energy Economics. 2014; 37 ():184-200.
Chicago/Turabian StyleDénes Kucsera; Margarethe Rammerstorfer. 2014. "Regulation and grid expansion investment with increased penetration of renewable generation." Resource and Energy Economics 37, no. : 184-200.
With the liberalization of energy markets integrated energy companies have separated into entities that specialize in production and/or transmission of energy. Transmission of energy requires balancing the grid to guarantee system security, which is performed by the (independent) system operator (SO). When the SO faces stochastic demand, grid balancing has sizeable consequences on current and future profits, and hence, on firm value and firm risk. We explore these value and risk consequences with and without an investment option to expand transmission capacity. We show that firm value consists of the value of the transmission capacity in place plus the value of a short put and a short call option that are the result of the SO's balancing actions. Firm risk without investment option is non-linear and determined by the short option positions. It is decreasing with increasing energy demand. The existence of an option to expand transmission capacity increases firm value and firm risk.
Engelbert J. Dockner; Dénes Kucsera; Margarethe Rammerstorfer. Investment, firm value, and risk for a system operator balancing energy grids. Energy Economics 2013, 37, 182 -192.
AMA StyleEngelbert J. Dockner, Dénes Kucsera, Margarethe Rammerstorfer. Investment, firm value, and risk for a system operator balancing energy grids. Energy Economics. 2013; 37 ():182-192.
Chicago/Turabian StyleEngelbert J. Dockner; Dénes Kucsera; Margarethe Rammerstorfer. 2013. "Investment, firm value, and risk for a system operator balancing energy grids." Energy Economics 37, no. : 182-192.
Markus Hochradl; Margarethe Rammerstorfer. The convenience yield implied in European natural gas hub trading. Journal of Futures Markets 2011, 32, 459 -479.
AMA StyleMarkus Hochradl, Margarethe Rammerstorfer. The convenience yield implied in European natural gas hub trading. Journal of Futures Markets. 2011; 32 (5):459-479.
Chicago/Turabian StyleMarkus Hochradl; Margarethe Rammerstorfer. 2011. "The convenience yield implied in European natural gas hub trading." Journal of Futures Markets 32, no. 5: 459-479.
In 2004, European competition law had been considerable changed by the introduction of the new Council Regulation No. 1/2003. One of the major renewals was the replacement of the centralized notification system for inter-company cooperations in favor of a so-called legal exemption system. We analyze the implications of this reform and its arising uncertainty on the agreements firms implement, especially on innovative agreements like vertical R&D agreements. By means of a decision theoretic approach, we show that the law’s intention to reduce the incentive to establish illegal cartels will be reached but innovating cooperations might be prevented. To avoid this unintended side effect, fines but not the monitoring activities should be increased.
Christian Growitsch; Nicole Nulsch; Margarethe Rammerstorfer. Preventing innovative cooperations: the legal exemptions unintended side effect. European Journal of Law and Economics 2010, 33, 1 -22.
AMA StyleChristian Growitsch, Nicole Nulsch, Margarethe Rammerstorfer. Preventing innovative cooperations: the legal exemptions unintended side effect. European Journal of Law and Economics. 2010; 33 (1):1-22.
Chicago/Turabian StyleChristian Growitsch; Nicole Nulsch; Margarethe Rammerstorfer. 2010. "Preventing innovative cooperations: the legal exemptions unintended side effect." European Journal of Law and Economics 33, no. 1: 1-22.
This paper presents the first comparative analysis of the relationship between natural gas storage utilization and price patterns at three major European trading points. Using two indirect tests developed by Fama and French, 1987 and Fama and French, 1988 that are applied in other commodity markets, we impose the no arbitrage condition to model the efficiency of the natural gas market. The results reveal that while operators of European storage facilities realize seasonal arbitrage profits, substantial arbitrage potentials remain. We suggest that the indirect approach is well suited to provide market insights for periods with limited data. We find that overall market performance differs substantially from the competitive benchmark of the theory of storage.
Marcus Stronzik; Margarethe Rammerstorfer; Anne Neumann. Does the European natural gas market pass the competitive benchmark of the theory of storage? Indirect tests for three major trading points. Energy Policy 2009, 37, 5432 -5439.
AMA StyleMarcus Stronzik, Margarethe Rammerstorfer, Anne Neumann. Does the European natural gas market pass the competitive benchmark of the theory of storage? Indirect tests for three major trading points. Energy Policy. 2009; 37 (12):5432-5439.
Chicago/Turabian StyleMarcus Stronzik; Margarethe Rammerstorfer; Anne Neumann. 2009. "Does the European natural gas market pass the competitive benchmark of the theory of storage? Indirect tests for three major trading points." Energy Policy 37, no. 12: 5432-5439.
In this article we measure the effects of events on risk and return and analyze the persistence of the influencing variables on German energy companies. Therefore, we refer to event-study methods by means of the Capital Asset Pricing Model, GARCH-Modeling and Kalman filters. We find that the discussed events do not affect all companies in an equal manner. Moreover, we show that the impact on risk and returns is not persistent and does not lead to an increase in the overall systematic risk for the considered utility operators in Germany.
Marek Kobialka; Margarethe Rammerstorfer. Regulatory Risk and Market Reactions — Empirical Evidence from Germany. Zeitschrift für Energiewirtschaft 2009, 33, 221 -227.
AMA StyleMarek Kobialka, Margarethe Rammerstorfer. Regulatory Risk and Market Reactions — Empirical Evidence from Germany. Zeitschrift für Energiewirtschaft. 2009; 33 (3):221-227.
Chicago/Turabian StyleMarek Kobialka; Margarethe Rammerstorfer. 2009. "Regulatory Risk and Market Reactions — Empirical Evidence from Germany." Zeitschrift für Energiewirtschaft 33, no. 3: 221-227.