In the summer term 2024, we will be offering a master-level seminar with topics from asset pricing and investing. 

Current Research

Green bonds are issued to finance projects that support the environment, in particular by reducing carbon emissions. Issuance of green bonds has grown significantly over the years. But do they really help the environment in the way many investors hope? In a paper to be published in the Journal of Banking and Finance, Mona Elbannan and Gunter Löffler examine this question through an empirical study.  Their findings suggest that green bonds can help companies finance carbon reductions, but that the impact is only evident for companies with financing difficulties. The analysis therefore suggests that investors concerned about the impact of their investments may benefit from screening green bond issuers according to their financial needs.

The last fifteen years have seen a flurry of research papers that suggest models for predicting aggregate stock market returns and that conclude that it is possible to achieve a superior investment performance by trading on these forecasts..  A paper  to be pubished in the Critical Finance Review shows that the benefits of the return forecasts are often smaller or less obvious than suggested.  There are two reasons for this:  Many studies do not compare investment performance to a simple buy-and-hold strategy, even though this strategy usually leads to better results than the benchmark commonly used in the literature. Moreover, most studies do not test whether the investment performance is statistically significantly better than the benchmark.

Over the past 100 years, value stocks have outperformed other stocks.  But over the last decade, they have underperformed. Could this be due to increased investor interest in value investing? A study forthcoming in the Journal of Behavioral Finance shows that such fluctations in interest and value premia are nothing new.  It is therefore not obvious that more investor interest will lead to a disappearance of the value effect.