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Sitzungsübersicht
Sitzung
BA-FI5: Risk and Risk Pricing
Zeit:
Donnerstag, 19.03.2020:
19:50 - 21:20

Chair der Sitzung: Olaf Korn, Georg-August-Universität Göttingen
Ort: Virtueller Raum 5

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Präsentationen

Doing Safe by Doing Good: Risk and Return of ESG Investing in the U.S. and Europe

Christina E. Bannier1, Yannik Bofinger2, Björn Rock1

1Justus Liebig University Giessen, Chair of Banking & Finance; 2Justus Liebig University Giessen, Research Network Behavioral and Social Finance and Accounting

Diskutant: Andreas Barth (Goethe-Universität Frankfurt)

We examine the pro tability of investing along environmental, social and governance

(ESG) criteria. A four-factor model shows that a long-short portfolio in stocks with the

highest respectively lowest ESG scores yields a signi cantly negative alpha, hinting at

an insurance-like character of corporate social responsibility. Indeed, we demonstrate

that ESG activity reduces rm risk, with a positively moderating role of market volatil-

ity. ESG-inactive rms are nevertheless shown to deliver the highest contemporaneous

return per unit of risk. Corporate social responsibility rather reveals its bene t only

gradually: Value-increasing e ects signi cantly lag ESG scores by several years.



Pricing of counterparty credit risk in OTC derivatives

Florian Balke, Andreas Barth, Arne Reichel, Mark Wahrenburg

Goethe-Universität, Deutschland

Diskutant: Yannik Bofinger (Universität Gießen)

This paper documents how counterparty credit risk is priced in FX OTC derivatives. We employ a novel dataset of bank-specific bid-ask quotes and use the Swiss franc decoupling from the euro on January 15, 2015 as an exogenous event to describe two channels that affect counterparty risk.

First, the exogenous increase in the EURCHF FX spot price volatility following the decoupling event translates in a widening in quoted bid-ask-spreads for CHF currency pairs in the FX swap market. Second, the large price movements in the EURCHF FX spot price following the decoupling announcement remembered markets of a potential jump risk for fixed currencies and thus, spilled-over to the pricing of other currencies with a fixed exchange rate regime.

The second result finding implies that there was a central bank induced risk discount through credible currency pegs.



 
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