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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.
This chapter explores the question whether Bitcoin as an unregulated cryptocurrency can have a positive effect on already well-diversified investment portfolios. Bitcoin was originally introduced in 2008 in a paper titled “Bitcoin: A Peer-to-Peer Electronic Cash System”. Since then, Bitcoin has seen increasing trading volumes (as well as major capital gains and losses) in a high-volatility environment while also experiencing growing attention by regulators, academics, the media and the general public. At the same time, more and more online and offline businesses worldwide started to adopt Bitcoin as an alternative means of payment, even though Bitcoin does not have legal tender status. Today, Bitcoin is still the most popular unregulated cryptocurrency. Bitcoin’s share of the total market capitalization of all cryptocurrencies currently amounts to just under 45% according to Coinmarketcap (2018), and Bitcoin is also the top-searched cryptocurrency of the top five cryptocurrencies in terms of market capitalization (Google Trends 2018). This is largely due to the fact that Bitcoin was the first cryptocurrency based on a decentralized peer-to-peer network (to confirm transactions and generate a limited amount of new Bitcoins in doing so) and functioning without the backing of a central bank or any other monitoring authority. For the general public and most media outlets, Bitcoin is still seen as the leading cryptocurrency.
Karl Weinmayer; Stephan Gasser; Alexander Eisl. Bitcoin and Investment Portfolios. Business Transformation through Blockchain 2018, 171 -195.
AMA StyleKarl Weinmayer, Stephan Gasser, Alexander Eisl. Bitcoin and Investment Portfolios. Business Transformation through Blockchain. 2018; ():171-195.
Chicago/Turabian StyleKarl Weinmayer; Stephan Gasser; Alexander Eisl. 2018. "Bitcoin and Investment Portfolios." Business Transformation through Blockchain , no. : 171-195.
In recent years socially responsible investing has become an increasingly more\ud popular subject with both private and institutional investors. At the same time, a\ud number of scientific papers have been published on socially responsible investments\ud (SRIs), covering a broad range of topics, from what actually defines SRIs to the\ud financial performance of SRI funds in contrast to non-SRI funds. In this paper, we\ud revisit Markowitz' Portfolio Selection Theory and propose a modification allowing\ud to incorporate not only asset-specific return and risk but also a social responsibility\ud measure into the investment decision making process. Together with a risk-free asset,\ud this results in a three-dimensional capital allocation plane that allows investors to\ud custom-tailor their asset allocations and incorporate all personal preferences regarding\ud return, risk and social responsibility. We apply the model to a set of over 6,231\ud international stocks and find that investors opting to maximize the social impact\ud of their investments do indeed face a statistically significant decrease in expected\ud returns. However, the social responsibility/risk-optimal portfolio yields a statistically\ud significant higher social responsibility rating than the return/risk-optimal portfolio. (authors' abstract
Stephan M. Gasser; Margarethe Rammerstorfer; Karl Weinmayer. Markowitz revisited: Social portfolio engineering. European Journal of Operational Research 2017, 258, 1181 -1190.
AMA StyleStephan M. Gasser, Margarethe Rammerstorfer, Karl Weinmayer. Markowitz revisited: Social portfolio engineering. European Journal of Operational Research. 2017; 258 (3):1181-1190.
Chicago/Turabian StyleStephan M. Gasser; Margarethe Rammerstorfer; Karl Weinmayer. 2017. "Markowitz revisited: Social portfolio engineering." European Journal of Operational Research 258, no. 3: 1181-1190.
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.
Stephan Gasser; Margarethe Rammerstorfer; Karl Weinmayer. Markowitz Revisited Social Portfolio Engineering. SSRN Electronic Journal 2016, 1 .
AMA StyleStephan Gasser, Margarethe Rammerstorfer, Karl Weinmayer. Markowitz Revisited Social Portfolio Engineering. SSRN Electronic Journal. 2016; ():1.
Chicago/Turabian StyleStephan Gasser; Margarethe Rammerstorfer; Karl Weinmayer. 2016. "Markowitz Revisited Social Portfolio Engineering." SSRN Electronic Journal , no. : 1.
In this paper, we expand the literature on multi-criteria portfolio modeling using data envelopment analysis (DEA). We do not solely use DEA as a positive screening mechanism, but also exploit the information contained in DEA efficiency scores directly in order to build public equity investment portfolios. With the main focus of our paper on multi-criteria portfolio modeling for investors interested in socially responsible investments (SRIs), we conduct a broad empirical analysis of this approach with market data from the USA, Europe, Asia and Oceania going back to 2005. Evaluating the out-of-sample performance of our models and challenging the predominant view of the literature on DEA stock selection, we find that also less efficient firms have a positive impact on portfolio performance but that the approach is not suited when considering non-financial criteria. In addition, we show that it is indeed beneficial to directly apply DEA efficiency scores to portfolio modeling. All results indicate that these portfolios are compliant both with respect to financial and non-financial criteria.
Karl Weinmayer; Stephan M. Gasser; Margarethe Rammerstorfer. DEA Portfolio Modeling - The Case of Socially Responsible Investing. SSRN Electronic Journal 2016, 1 .
AMA StyleKarl Weinmayer, Stephan M. Gasser, Margarethe Rammerstorfer. DEA Portfolio Modeling - The Case of Socially Responsible Investing. SSRN Electronic Journal. 2016; ():1.
Chicago/Turabian StyleKarl Weinmayer; Stephan M. Gasser; Margarethe Rammerstorfer. 2016. "DEA Portfolio Modeling - The Case of Socially Responsible Investing." SSRN Electronic Journal , no. : 1.