Alexandre Garel, Arthur Romec, Zacharias Sautner, Alexander Wagner, Do Investors Care About Biodiversity?, In: Swiss Finance Institute Research Paper, No. 23-10, 2023. (Working Paper)
This paper introduces a new proprietary measure of a firm's negative impact on biodiversity, the corporate biodiversity footprint, and studies whether it is priced in the cross-section of stock returns. Using an international sample of firms, we find no evidence that the biodiversity footprint explains these returns, on average. However, event-study evidence shows that, following the UN Biodiversity Conference (COP15), which raised awareness of biodiversity issues, however, firms with larger corporate biodiversity footprints lost value. This response is consistent with investors revising their valuation of these firms downward upon the prospect that regulations to preserve biodiversity will become more stringent. |
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Marie Briere, Stefano Ramelli, Green Sentiment, Stock Returns, and Corporate Behavior, In: SSRN, No. 3850923, 2023. (Working Paper)
In this paper, we propose a new method to estimate non-fundamental demand shocks for green financial assets based on the arbitrage activity of exchange-traded funds (ETFs). By estimating the monthly abnormal flows into environment-friendly ETFs, we construct a Green Sentiment Index that captures shifts in investors' appetite for environmental responsibility that are not yet priced in the value of the underlying assets. Our measure of green sentiment differs significantly from the news-based climate indexes proposed by the extant literature, and it has additional explanatory power on both stock returns and corporate decisions. Over the period 2010-2020, shifts in green sentiment anticipate a persistent stock-price out-performance of more environmentally responsible firms, (of approximately 53 basis points over six months for a one-standard-deviation higher green sentiment) as well as an increase in their capital investments and cash holdings, particularly for more equity-dependent ones. |
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Emma Nelson, Alexander Wagner, UBS’s emergency rescue of Credit Suisse, In: Monocle, 20 March 2023. (Media Coverage)
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Eflamm Mordrelle, Alexander Wagner, Nachhaltigkeit am Ende? Ukraine-Krieg und schlechte Performance stürzen Investitionen mit ökologischen Ansprüchen in eine Sinnkrise, In: Neue Zürcher Zeitung, 11 March 2023. (Media Coverage)
Der Trend zum nachhaltigen Investieren ist ungebrochen. Doch die Kritik wächst. Die Eindämmung von Greenwashing und die politische Vereinnahmung von ESG drängen in den Vordergrund. |
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Matt Levine, Alexander Wagner, Everything Is Also Bank Fraud, In: Bloomberg Opinion, 23 January 2023. (Media Coverage)
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Berno Büchel, Lydia Mechtenberg, Alexander Wagner, When do proxy advisors improve corporate decisions?, In: Swiss Finance Institute Research Paper, No. 22-47, 2023. (Working Paper)
There is an ongoing debate about how proxy advisory firms affect corporate decisions. A major concern is that shareholders seeking to save costs use a proxyadvisor’s voter ecommendation as substitute for own research, thereby reducing efficiency of shareholder decision-making. We show that the opposite effect - complementarity between a proxyadvisor’s recommendation and shareholders’ research effort - occurs if two conditions are met: (i) the board o fdirectors is sufficiently well informed; and (ii) shareholders can condition their investment in research on the proxyadvisor’s recommendation. Insum, a profit-maximizing proxyadvisor can improve corporate decisionmaking by stimulating shareholders’ research through its own. |
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Alexander Wagner, Christoph Wenk Bernasconi, Say-on-Pay and Shareholder Value: The Tension between Agency and Hold-up, In: Swiss Finance Institute Research Paper, No. 11-12, 2023. (Working Paper)
A set of policy experiments regarding binding say-on-pay votes in Switzerland suggests that shareholders may prefer to have limits set on their own power. The stock price reactions indicate a trade-off: On the one hand, binding votes on executive compensation amounts enhance the alignment of management interests with those of the shareholders, reducing agency costs. On the other hand, when shareholders have the power to (partially) set pay levels retrospectively, it may increase hold-up problems by distorting executives’ incentives to make extra-contractual, firm-specific investments. These findings have implications for the design of policy. |
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Alexander Wagner, Krisen und nachhaltige Investitionen, In: The Market, p. online, 9 November 2022. (Newspaper Article)
Die Erwartung ist klar: Nachhaltige Investitionen sollten in Krisenzeiten besser abschneiden als der Markt. Doch genau das zeigte sich beim Angriff Russlands auf die Ukraine nicht. Das muss Ansporn sein, mit klareren Faktoren die widerstandsfähigen Unternehmen zu identifizieren. |
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Michal Dzielinski, Florian Eugster, Emma Sjöström, Alexander Wagner, Do Firms Walk the Climate Talk?, In: Swiss Finance Institute Research Paper, No. 22-14, 2022. (Working Paper)
Firms talk more about the climate on earnings conference calls when climate matters are more material for a firm, when there is greater shareholder pressure or when it is better prepared for climate-related disclosure. However, there is also large unexplained variation in climate talk. In a global sample, we find that climate talk is negatively related to the change in CO2 emissions in the years after the call. However, this does not hold in the US, individualistic cultures and cultures characterized by short-term horizons. In those settings, investors also react negatively to climate talk. Overall, these results suggest that firms walk the climate talk on average, but the credibility of such talk varies across firms. |
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Matthias Niklowitz, Alexander Wagner, «Stress test» pour les fonds verts, In: Le Temps, 28 October 2022. (Media Coverage)
Les placements durables ont plutôt bien résisté aux crise spassées.Il en va différemment avec celle liée à l'Ukraine et ses répercussions, qui ont quelque peu relégué la problématique environnementale. |
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Antonio Moreno, Steven Ongena, Alexia Ventula Veghazy, Alexander Wagner, "Long GFC"? The Global Financial Crisis, Health Care, and Covid-19 Deaths, In: Swiss Finance Institute Research Paper, No. 22-44, 2022. (Working Paper)
Do financial crises affect long-term public health? To answer this question, we study the connection between the 2007-2009 Global Financial Crisis (GFC) and the 2020-2022 pandemic. Specifically, we examine the relation between macroeconomic and financial losses derived from the GFC, and the health outcomes associated with the first wave of the pandemic. At the European level, countries more affected by the financial crisis had more deaths relative to coronavirus cases. An analogous relation emerges across Spanish provinces and US states. Part of the transmission from finance to health outcomes appears to have occurred through cross-sectional differences in health care facilities. |
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Matthias Niklowitz, Alexander Wagner, ESG im Stresstest, In: Handelszeitung, 20 October 2022. (Media Coverage)
ESG-Anlagen haben in Krisen gut abgeschnitten. Bei der Ukraine-Krise sieht es anders aus. |
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Klaus Ammann, Alexander Wagner, Nachhaltig investieren: Klimasünder beeinflussen oder abstossen? , In: SRF, 10 October 2022. (Media Coverage)
Kompletter Ausstieg aus klimaschädlichen Anlagen oder die Unternehmen positiv beeinflussen? Die Meinungen sind geteilt. |
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Redaktion, Alexander Wagner, Sustainable Finance vor der Bewährungsprobe in einer sich wandelnden Weltordnung, In: The Onliner, 7 October 2022. (Media Coverage)
Bis vor Kurzem war Sustainable Finance eine umfassende Erfolgsgeschichte. Während die Wirtschaft und die
Finanzmärkte prosperierten und die Unternehmen über reichlich Liquidität verfügten, boomten auch die
nachhaltigen Investitionen. Selbst der brutale, aber im Grossen und Ganzen kurzlebige Schock der Covid-19-
Pandemie konnte diese Entwicklung nicht aufhalten. |
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Fredy Greuter, Alexander Wagner, Ist nachhaltiges Anlegen eine «kaputte Idee»?, In: finews.ch, 7 October 2022. (Media Coverage)
Die Unsummen von Geldern, die in nachhaltige Anlagen gesteckt werden, sind zwar kein unwirksames Placebo. In diesen Krisenmonaten muss diese Anlageform allerdings den ersten echten Härtetest bestehen, wie sich an einer Konferenz in Zürich herausstellte. |
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Lorenz Honegger, Alexander Wagner, Der Kampf der Notenbanken gegen die Inflation zwingt Anleger und Hauskäufer zum Umdenken: Das sind die grössten Gefahren und Chancen im neuen Zinsumfeld, In: Neue Zürcher Zeitung, 23 September 2022. (Media Coverage)
Weltweit erhöhen die Zentralbanken die Leitzinsen: Die Konsequenzen für Aktionäre, Hypothekarnehmer und Sparer reichen weit. |
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Simon Glossner, Pedro Matos, Stefano Ramelli, Alexander Wagner, Do Institutional Investors Stabilize Equity Markets in Crisis Periods? Evidence from COVID-19, In: Swiss Finance Institute Research Paper, No. 20-56, 2022. (Working Paper)
During the COVID-19 crash, U.S. stocks with higher institutional ownership performed worse. This under-performance is unrelated to revisions in earnings expectations, which suggests a disconnect between stock prices and firm fundamentals. Two mechanisms were at play: Institutions faced a sudden increase in redemptions and simultaneously attempted to de-risk their portfolios. Most types of institutional investors re-balanced portfolios toward financially strong firms, whereas hedge funds sold indiscriminately. Data from a discount brokerage (Robinhood) confirm that retail investors provided liquidity. Overall, the results suggest that when a tail risk realizes, institutional investors amplify price crashes. |
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Artem Dyachenko, Patrick Ley, Marc Oliver Rieger, Alexander Wagner, The Asset Allocation of Defined Benefit Pension Plans: The Role of Sponsor Contributions, Journal of Asset Management, Vol. 23, 2022. (Journal Article)
What percentage of its assets should a defined benefit pension plan invest into stocks as its funding ratio varies? We show that the answer to this question depends on the institutional setting and in particular on the extent to which the sponsoring company contributes to the fund as the funding ratio varies. We consider two settings: in one setting, the sponsoring company contributes to its pension fund only if the funding ratio is below the target level (as is the case, for example, in the US); in the other setting, the sponsoring company always contributes to its pension fund (as is the case, for example, in Switzerland). We show that these two institutional frameworks lead to two different dynamics, conditional distributions of the funding ratios, and relationships between the current funding ratio and investment into stocks. For settings like the US, that relation is non-monotonic while for settings like in Switzerland, it is monotonically decreasing. Previous empirical findings point towards a similar pattern. |
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Christian Walther, Is Employee Stock Ownership Irrelevant for Firm Performance?, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Master's Thesis)
The analysis of over 2000 listed European companies, representing almost all the European market capitalization, over the term of 14 years reveals some of the mechanics linking employee ownership to firm performance. With random effects regressions and propensity score matching the independent effects of employee ownership on firm performance are isolated. Outside of crisis periods, depending on the form of implementation of employee ownership, statistically significant improvements in company performance can be observed. Broad employee ownership tends to be preferable compared to deep ownership, as far as the two can be separated. |
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Flurin Barblan, Corporate Liquidity - the interplay between corporate liquidity, its importance, and the associated risks, University of Zurich, Faculty of Business, Economics and Informatics, 2022. (Bachelor's Thesis)
Corporate Liquidity is regarded as a crucial topic in almost every firm. Unfortunately, there is no clear definition of corporate liquidity, the associated risks, and the importance of liquidity management. In this paper I will collect the varying views on corporate liquidity and show how they resemble or differentiate from each other. Due to the fact that corporate liquidity is a very broad topic, I will focus on three key themes: The definition of corporate liquidity, corporate liquidity risks and the importance of corporate liquidity and therefore of liquidity management. |
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