Contributions in Merlin

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Investors and regulators require reliable estimates of physical climate risks for decision-making. While assessing these risks is challenging, several commercial data providers and academics have started to develop firm-level physical risk scores. We compare six physical risk scores. We find a substantial divergence between these scores, also among those based on similar methodologies. We show how this divergence could cause problems when testing whether financial markets are pricing physical risks. Hence, financial markets may not adequately account for the physical risk exposure of corporations using available risk scores. Finally, we identify key sources of uncertainty for further investigation.

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Das Ziel dieser Bachelorarbeit ist, die Signifikanz zwischen der Value-Anomalie und dem heterogenen Verhalten im Capital Asset Pricing Model zu erklären. Es ist jedoch nicht ausge- schlossen, dass die Signifikanz beim Erklärungs- versuch widerlegt wird. Als Datengrundlage dienen zehn nach dem Buch-Marktwert-Verhältnis sortierte Portfolios. Das Vorgehen bei den Berechnungen und Analysen basieren auf dem Paper „Behavioral heterogeneity in the capital asset pricing model with an application to the low-beta anomaly“ von Hens und Naebi (2020). Angewandt werden die Überlegungen jedoch auf die Value-Anomalie. Das Ergebnis der empirische Analyse zeigt, dass die Value-Anomalie auf diesem Weg nicht erklärt werden kann.

This thesis analyzes the effect of macroeconomic factors on the Swiss stock market using a multilinear regression model based on monthly data from March 2003 to December 2018, a period that includes the global financial crisis. Moreover, the time frame is divided into three sub-periods to determine whether the effect of macroeconomic variables depends on the state of the economy. The findings reveal that higher unemployment, a higher EUR-to-CHF exchange rate and higher returns of the DAX 30 Performance Index have a significant and positive effect on returns of the Swiss Market Index. Additionally, both domestic and foreign macroeconomic risk factors play a significant role.

This master’s thesis investigates the impact of the recent entrance into application of the EU Sustainable Financial Disclosure Regulation on fund holdings. Starting from a deep dive into the main features of this historic regulatory milestone, I propose a methodological approach to measure the Regulation’s impact and understand the main challenges surrounding data availability and quality. Due to the novelty of the topic, updated data has not become available yet at the time of writing. As such the paper has the nature of an "as-if" analysis were the signature of the EU Taxonomy Regulation on the 18th of June 2020 is used as the simulated shock event date. Through a regression discontinuity design, I conclude that, within the scope of the simulated analysis, the SFDR had a significant and positive impact on funds’ preference for high ESG score equities. Although companies with higher ESG ratings are generally more likely to be included in funds’ portfolios after the event, there is no clear link between being classified as a more sustainable fund under the Regulation and preferring more sustainable equities compared to less sustainable funds.

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Viele Anleger halten Gold aus Diversifikationsgründen in ihrem Portfolio. In diesem Zusam-menhang soll Gold nicht nur unter normalen Marktbedingungen als Hedge gelten, sondern ge-rade in Krisenzeiten auch Safe-Haven-Eigenschaften haben, um Preiseinbrüche im Portfolio ausgleichen zu können. Verschiedene Studien (Areal, Oliveira, & Sampaio, 2013; Baur und McDermott,2010) zeigen, dass Gold sowohl ein Hedge als auch ein Safe-Haven für US-ameri-kanische und europäische Aktienmärkte ist. Anderseits liefern andere Untersuchungen Belege dafür, dass die Korrelationen zwischen finanziellen Vermögenswerten, in Zeiten von Finanz-krisen tendenziell zunehmen (Campbell, Koedijkund, & Kofman, 2002; Erb, Harvey, & Vis-kanta, 1994; Chesnay & Jondeau, 2001). Aufgrund dieser unstimmigen Ergebnisse wird in die-ser Bachelorarbeit die Hedge-Eigenschaft und insbesondere die Safe-Haven-Eigenschaft von Gold und Goldminenaktien rund um den Zeitraum der Covid-19 Krise untersucht. Dabei wur-den im Multifaktorenmodell die Goldrisikoprämie auf die Faktoren von Fama und French (1993) regressiert. Die Ergebnisse konnten zeigen, dass Gold ein Hedge gegenüber Aktien-märkten war, allerdings kein Safe-Haven während der Covid-19 Periode. Nichtsdestotrotz konnten Gold und Goldminenaktien, Safe-Haven-Eigenschaften gegenüber Large-Cap Aktien und Value Aktien aufweisen.

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.

Objective There is a considerable body of evidence from the last 20 years, indicating the need for the reconceptualization of the highest level of the personality structure that the Big Five/Five‐Factor Model (FFM) was assumed to occupy. The main goal of the presented study was to test the relationships between two models that have been developed in this respect: The Circumplex of Personality Metatraits (CPM), based on the higher‐order factors of the Big Five, and the HEXACO model including a sixth basic personality dimension (Honesty‐Humility). Method The sample consisted of 500 respondents (56.8% females; Mage = 31.9, SDage = 14.0), all of whom completed the CPM, HEXACO, and FFM measures. Results The results corroborated the expectation that the HEXACO model can be coherently located within the CPM model, despite the latter is rooted in the FFM research tradition. However, this substantial integration has been made possible by a relatively slight but crucial modification of the CPM, already suggested by previous research. Conclusion After the modification, which concerned the location of the Neuroticism/Emotional stability trait, the CPM enables a comprehensive integration of major models of personality structure encompassing the Two‐Factor Model, the FFM, and the HEXACO.