Contributions published at Finance (Alexander Wagner)

Climate policy events like the election of Donald Trump in November 2016 and the first glob-al climate strike in March 2019 have led to greater attention to climate change mainly through increased media coverage. In this thesis, I study the flow reactions of green ETFs in such times of higher investor attention to climate change. While green ETF net flows were, in gen-eral, higher than non-green flows over the last five years, I found that green ETF flows are not always higher in times of higher attention but rather that the flow reactions are more de-pendent on the nature of the climate policy event.

Die Erhöhung der Risikoaversion liess die Aktienkurse im März stärker fallen, als es die Revision der Gewinnerwartungen allein erklärt hätte.

Die Qualität der Geschäftsberichterstattung von Unternehmen wird jährlich auf den Prüfstand gestellt. Um Investoren einen fairen Einblick ins Unternehmen und seine zukünftigen Pläne zu geben, ist eine hohe Value Reporting Qualität essenziell. Die vorliegende Arbeit befasst sich mit dem Einfluss des Value Reporting auf Aktienrendite und Aktienvolatilität im Zeitraum von 1999 bis 2018. Dabei konnte kein direkter Einfluss der Value Reporting Qualität auf die Aktienrendite festgestellt werden. Jedoch liess sich eine tiefere Aktienvolatilität, vor allem in den jüngsten Jahren, bei Firmen mit einer hohen Value Reporting Qualität im Vergleich zu Firmen mit einer tiefen feststellen.

This paper examines whether the belief in gold as a protection against political uncertainty represents the truth. Furthermore, this paper assesses whether the effectiveness of gold as political haven is affected by the introduction of gold ETFs. The results show that gold works as reliable political haven in most of the analyzed countries while gold ETFs elevate gold’s haven role in a majority of cases. Nevertheless, the identified haven properties of gold qualify most of the time merely as weak, and gold impresses much more in the background of financial market uncertainty than political ambiguity.

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The stock market provides a view of what investors expect for the future. It is precisely in complex situations such as the COVID-19 outbreak that the prescience of the market is particularly valuable, argues Alexander F. Wagner.

In cosa differisce la crisi dei mercati causata dal coronavirus con le crisi recenti del 2008 e del 2011? Due studi particolarmente utili per comprenderlo nell'analisi di Pennisi.

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New research shows that ‘bleak tone changes’ strongly forecast lower future earnings and an increase in uncertainty.

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Das Coronavirus erschüttert alle großen Wirtschaftsnationen gleichzeitig. Der Verfall des Ölpreises kommt hinzu. Baut sich wieder eine globale Finanzkrise auf?

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The negativity of managerial word choice (managerial tone) on conference calls is a telltale indicator of a company’s future. Specifically, increases in negativity, what we term bleak tone changes, strongly predict lower future earnings and greater uncertainty. However, decreases in negativity only weakly predict the opposite. To isolate the explanatory power of managerial tone, we control for negativity changes in the earnings press release and analysts' questions. Analysts and investors under-react when they extract value-relevant information from negativity changes. Consequently, a negativity-based trading strategy generates abnormal returns.

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Through the construction of reliable Corporate Social Responsibility (“CSR”) scores for Environmental Social and Governance (“ESG”) passive Exchange Trade Funds (“ETFs”) as well as for traditional ones, the focus of my analysis is to investigate whether ESG passive ETFs are more sustainable than the traditional ones or not. The results obtained with the CSR scores show that there are no significant differences between ESG ETFs and traditional ones. On the other hand, the outcome using the Fama-French three-factor model indicates essential deviations in the performance of ESG ETFs, either using as a control variable the assets under management (“AuM”) or the years. ESG passive ETFs performed better than traditional ones, although in a rather minimal way. In brief, investing in sustainable assets does not negatively affect the performance as the resulting returns are barely the same (or even marginally better!) as the ones of straightforward traditional investment vehicles. Furthermore, the analysis of Sharpe Ratios confirms these results.

The first Global Climate Strike on March 15, 2019 has represented a historical turn in climate activism. We investigate the cross-section of European stock price reactions to this event. Looking at a large sample of European firms, we find that the unanticipated success of this event caused a substantial stock price reaction on high-carbon intensity companies. These findings are likely driven by an update of investors' beliefs about the level of environmental social norms in the economy and the anticipation of future developments of climate regulation.

We sketch possible linkages between features of the 2008-2009 financial crisis and outcomes of the 2020 COVID-19 pandemic. We start from three features of the financial crisis, i.e. (1) costly bank bailouts, (2) constrained SME credit, and (3) strict bank regulation. We then discuss their intermediate outcomes in terms of: (1) sovereign debt accumulation and possible cuts in public health spending, (2) the slowing of economic growth and labour mobility; and (3) bank zombie lending, to arrive at the COVID-19 pan-demic severity in terms of infection and death rates and the difficulties in designing and implementing economic support policies.