Klima-Szenarioanalysen zur Abschätzung der Risiken im Kreditgeschäft der Banken werden immer populärer. Damit verbunden ergibt sich die Frage, welche Möglichkeiten und Grenzen mit solchen Szenarioanalysen einhergehen und wofür sie daher eingesetzt werden können und sollten. Aufsichtlich...

This paper evaluates fund managers’ trading skills using a novel dataset of daily mutual fund transactions. We document strong evidence of short term trading performance for both buys and sells lasting up to one month. By establishing a link between a fund’s trades, holdings, and reported...

Recent equilibrium models predict a negative expected return premium in green stocks due toa non-financial utility for green investors, the so-called Equity Greenium, and in consequencea separation of the capital market. We derive a modified pricing relationship for equity futuresas a first...

After analyzing portfolio differences between separate account‐mutual fund twins, we find that dissimilar “fraternal twins” show significantly lower joint performance than “identical twins.” This finding is consistent with fraternal twins competing for the limited attention of a...

The impact of sustainable investment funds can in principle be achieved via three impact channels, which can be systematized in an impact framework. While the impact channels have already been described quite well in theoretical terms, relatively few empirical studies have been conducted to...

After analyzing portfolio differences between separate account-mutual fund twins, we find that dissimilar “fraternal twins” show significantly lower joint performance than “identical twins.” This finding is consistent with fraternal twins competing for the limited attention of a manager...