Contributions published at Finance (Alexander Wagner)

U.S. and European companies vulnerable to the clean energy transition have seen their stock prices go very different ways since Russia invaded Ukraine.

A growing body of research shows that people tend to act more antisocially in groups than alone. However, little is known about why having “partners in crime” has such an effect. We run an experiment using sender–receiver games in which we elicit subjects’ normative and empirical beliefs to shed light on potential driving factors of this phenomenon. We find that the involvement of an additional sender makes the antisocial actions of senders more normatively acceptable to all parties, including receivers. By contrast, empirical beliefs are unaffected by the additional sender, suggesting that antisocial behavior increases in groups because antisocial actions become more acceptable and not because acceptable behavior is expected less often. We identify a necessary condition for this effect: the additional sender has to actively participate in the decision-making.

The effect of firms’ financial characteristics and macroeconomic conditions were examined. Furthermore, the influence of dynamic variables on classification performance was investigated. Data on firms from eight different European countries were collected and analyzed. Six different statistical models were employed and optimally tuned, and they revealed that prediction performance is significantly increased if macroeconomic conditions are included. The dynamic component was shown to enhance model prediction for most classification methods. Classification models were compared with each other, and significant differences in classification power were observed. Overall, the results imply a significant improvement if macroeconomic conditions and dynamic variables are included.

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With the seemingly increasing importance of net-zero pledges, this thesis aims to add to the existing literature by showing the effects of net-zero corporate climate strategies on company value. Based on existing literature, an increase in company value following a net-zero announcement due to lower costs, higher revenue, and lower climate risk is expected. The conducted analysis shows no significant results indicating a positive effect of net-zero announcements. In a second step, this thesis looks at the influence of governmental climate strategies on this effect of net-zero announcements on stock returns. Governments can influence people’s beliefs regarding climate change risk, and they also directly influence climate risk through climate regulations. The two presidencies of Trump and Biden are well suited for an investigation of different governmental climate strategies, as Trump’s election in 2016 drastically downshifted expectations about U.S. policy towards climate mitigation, and Biden’s election in 2020 had the opposite effect, drastically shifting them upward. In line with existing literature, a higher positive effect of the net-zero announcement on company value is expected under the presidency of Biden compared to Trump’s. No significant results are found when looking at the two presidencies. A possible reason for the insignificant results could be that investors do not consider net-zero announcements to be relevant or reliable.

This thesis aims to answer to which extent the short- and long-term value creation of cross-border M&A depends on the national governance standards of the countries involved. By conducting event studies and cross-sectional analyses, the independence of the short-term value creation from governance standards is observed. However, pre-announcement results suggest smaller target run-ups when both the acquirer and target primarily operate in countries with strong institutions and less political risk in the target country. The acquirer’s three-year performance is positively correlated with institutions and negatively correlated with the level of personal freedom in the target country.

Managers use item 7 (MD&A) of 10-Q and K filings to express their diagnosis of future plans, which can't be described in the form of numerical data. This paper examines the tone of sentiment of this qualitative data section of financial statements, by conducting a textual analysis. The tone of sentiment is used as an indicator for the predictive power of the S&P 500 financial statements on CAPM adjusted excess stock returns. SEC's EDGAR moved obligatory financial disclosures from the physical to the digital era, making such information available for everybody. This thesis finds that measuring tone could predict returns.

This thesis examines the impact of the COVID-19 pandemic on the compensation of executives in the United States in 2020. The statistical analysis provides evidence that the payperformance ratio between company performance and executive remuneration is negatively impacted. It also proves that managers are not solely paid for performance but also for luck. Moreover, the study suggests that the month in which the fiscal year ends relative to the beginning of the pandemic only has a minor impact on the compensation change.

Is the geopolitical crisis due to the Russian invasion of Ukraine likely to accelerate or retard the transition to a low-carbon economy? This column argues that stock prices reactions offer a preview of the future economic impact of the Russia-Ukraine war. These reactions suggest that the speed of transition to a low-carbon economy appears to be diverging between the US and Europe. These results obtain while controlling for ESG measures, inflation exposure, and international exposure of firms.

This bachelor’s thesis examines board structures of U.S. companies which recently went public via SPACs. Through hand-collected data gathered from schedule 14a filings, I find that first, SPAC company directors have accumulated less tenure than their IPO company equivalents. Second, SPAC companies have fewer female directors serving on their boards, and third, fewer SPAC company directors fulfil an additional outside executive role. I also find that in other metrics, including director age, independence, and company share ownership, as well as additional directorships, and CEO-chairman duality, SPAC company boards appear similar to IPO company boards.

Donald Trump's 2016 election and his nomination of climate skeptic Scott Pruitt to head the Environmental Protection Agency drastically downshifted expectations on U.S. policy toward climate change. Joseph Biden's 2020 election shifted them dramatically upward. We study firms' stock-price movements in reaction to these changes. As expected, the 2016 election boosted carbon-intensive firms. Surprisingly, firms with climate-responsible strategies also gained, especially those firms held by long-run investors. Such investors appear to have bet on a "boomerang" in climate policy. Harbingers of a boomerang appeared during Trump's term. The 2020 election marked its arrival.

This thesis aims to find empirical evidence for a pollution premium in European equity markets. To do so, different methods are applied, including a portfolio study, a Fama-MacBeth factor regression, and an event study. These methods do not confirm the existence of a pollution premium. Green stocks outperformed brown ones significantly in the portfolio study. The factor regression and the event study fail to provide evidence of a pollution premium. The author suspects that the results differ from expectations due to an ongoing change in investors’ preferences that prevents the market from settling in an equilibrium.

Say-on-pay is introduced to align the interest of shareholders and executives. In this paper, we find approval rates on compensation proposals are positively associated with firm value creation, denoted by the growth rate of return on assets (RoA), earnings before interest and tax (EBIT) and share price. We further find the detailed results with discontinuous voting outcomes of 662 S&P 500 and Russell 3000 companies from 2011 to 2020. The results suggest the influence of approval rates group 1 is generally negative, and that of approval rates group 2 and 3 are positive. No long-term effects are found.

This thesis explores the impact of Mergers and Acquisitions (M&A) on firms' Environmental, Social, Governance (ESG) scores. It is analyzed whether acquiring targets with better ESG performance can help firms to increase their own ESG performance, and how target and acquirer shareholder structures inuence M&A decisions. For the study, two different ESG scores are used for European and US M&A's between 2006 and 2020. The results show an increase of the acquirers' ESG performance after acquiring targets with higher ESG performance. Furthermore, partial evidence of an amoral drift leading to the choice of dirty rather than clean investments, is provided.

This thesis examines the relationship between firms’ disclosure quality and information asymmetry following the exogenous shock COVID-19 by estimating a multiple OLS regression analysis. I found evidence that firms with better past disclosure fundamentally faced lower information asymmetry, indicating that disaggregated annual reports bear value well after their release. During times of increased uncertainty, however, this effect is limited, which can be observed by a convergence of the importance of high- and low-quality past disclosures during March 2020. This suggests that in the information aggregations process of investors, past annual reports lose value and get substituted by post-event information.

In this thesis, the effects of sectors and firm characteristics on the changes of the SPI’s betas resulting from the COVID-19 breakout are investigated. Considering the different sectors, the financial and the consumer cyclicals sectors’ betas increased in Q1 2020, with the latter experiencing long-term positive effects and industrial sector exhibiting negative long-term effects. Of the firm characteristics, market capital and international exposure had negative effects, and price-to-book, profitability, and firm age had positive effects on the betas’ changes, with profitability even exhibiting long-term effects. Overall, the results underline the importance of considering changing betas during times of crisis.

This study examines the link between corporate social responsibility and financial performance by using Korean firm inclusions and exclusions from the Dow Jones Sustainability Indices as proxies for good and poor corporate social responsibility. The main results show that investors value sustainability as evidenced by positive and significant cumulative average abnormal returns for additions to the DJSI World and DJSI Asia Pacific. Conversely, investors react negatively to firm exclusions from the DJSIWorld and DJSI Korea, although results remain mostly unsignificant. In the long run, ROA is used as a proxy for firms’ operating performance. Firms added to the DJSI World are associated with better operating performance in the two years following the addition compared to other years, while firms deleted from the DJSI World exhibit lower operating performance in the two years following the deletion.

The first Global Climate Strike on March 15, 2019, represented a historical turning point in climate activism. We investigate the cross-section of stock price reactions to this event for a large sample of European firms. The strike's unanticipated success caused a decrease in the stock prices of carbon-intensive firms. The effect appears to be driven by the increased public attention to climate activism. Furthermore, after the first Global Climate Strike financial analysts downgraded their longer-term earnings forecasts on carbon-intensive firms.