A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from Thomson Reuters Datastream and Thomson Reuters Worldscope can be used to construct high-quality systematic risk factors. We provide common risk factors for 23 countries across the globe.
This paper empirically analyzes the effect of the inclusion of German corporations in the Dow Jones STOXX Sustainability Index (DJSI STOXX) and the Dow Jones Sustainability World Index (DJSI World) on stock performance. In order to receive robust estimation results, we apply an event study approach that is based on both a modern asset pricing model, namely the three-factor model according to Fama and French (1993), and additionally on a GARCH model. Our empirical analysis implies that stock markets may penalize the inclusion of a firm in sustainability stock indexes. This result is mainly driven by the negative effect of the inclusion in the DJSI World. While we do not find significant average cumulative abnormal returns for the inclusion in the DJSI STOXX, the inclusion in the DJSI World leads to strong negative impacts. This suggests that the inclusion in a more visible sustainability stock index has larger negative impacts.
This paper analyzes small sample properties of several versions of z-tests in multinomial probit
models under simulated maximum likelihood estimation. OurMonte Carlo experiments show
that z-tests on utility function coefficients provide more robust results than z-tests on variance
covariance parameters. As expected, both the number of observations and the number of random
draws in the incorporatedGeweke-Hajivassiliou-Keane (GHK) simulator have on average
a positive impact on the conformities between the shares of type I errors and the nominal significance
levels. Furthermore, an increase of the number of observations leads to an expected
decrease of the shares of type II errors, whereas the number of random draws in the GHK
simulator surprisingly has no significant effect in this respect. One main result of our study
is that the use of the robust version of the simulated z-test statistics is not systematically
more favorable than the use of other versions. However, the application of the z-test statistics
that exclusively include the Hessian matrix of the simulated loglikelihood function to estimate
the information matrix often leads to substantial computational problems.
The proportion of sustainable property in the total building stock remains small. One reason is that the financial added value resulting from sustainability is not sufficiently taken into account in property valuation due to the tendency of valuations to lag behind market trends. This article presents the development of a new approach that attempts to provide the quantitative information necessary to integrate those aspects of sustainability relating to value into valuations and thereby contribute to reducing the valuation lag. The CCRS Economic Sustainability Indicator ESI measures the risk of property to lose and the opportunity to gain value due to future developments like climate change or rising energy prices. Five groups of value-related sustainability features were identified: flexibility and polyvalence, energy and water dependency, accessibility and mobility, security, health and comfort. By minimizing the risk of loss in value through future developments, those sustainability features contribute to the property value. Their effects on property value were quantified by risk modelling. As an indicator for future-oriented property risk, ESI is integrated in the discount rate of Discounted Cash Flow (DCF ) valuations. The approach has been tested for plausibility and practicability on more than 200 properties.
Beyond national peculiarities, corporate governance practice is mainly centered on the protection of investors’ rights. However, this view neglects the fundamental changes of the operating conditions of business due to globalization and the weakening of regulatory frameworks. Weak or absent enforcement of contracts, increasingly unfettered negative externalities of corporate action, and involvement of private actors in the provision of public goods change the role of business in a fundamental way, rendering it a political actor in part. Resulting in the extension of corporate power these developments challenge the very assumptions of dominant corporate governance theory. Recurring misuse of this power poses a threat to organizational legitimacy as well as to the legitimacy of the system of market economy. Drawing on suggestions to restore organizational legitimacy by means of discursive processes, I argue that corporate governance needs to become open to such processes to contribute to the safeguarding of organizational legitimacy and therewith the legitimacy of the system of market economy in a globalized world. Based on these considerations, basic requirements as well as limits for an according modification of current corporate governance practice will be introduced.
Present-day discussions of corporate Governance is mainly centered on finance-related issues and the relation of shareholders and management. However, this view neglects the fundamental changes of the operating conditions of business due to globalization and the weakening of regulatory frameworks, not only changing the role of business, rendering it a political actor in part. Futhermore, the very assumptions of dominant corporate governance theory are challenged. These developments can be regarded as a potential threat for organizational legitimacy. Whereas in the traditional view, corporate governance safeguarded organizational legitimacy of the economic system as a whole, this congruence is not given in the situation of weak or even absent legal and regulatory frameworks. Drawing on suggestions to restore organizational legitimacy of the economic system as a whole, this congruence is not given in the situation of weak or even absent legal and regulatory frameworks. Drawing on suggestions to restore organizational legitimacy by means of discursive processes, I argue that corporate governance needs to become open to such processes to safeguard organizational legitimacy and therewith the legitimacy of the economic system in a globalized world. Based on these considerations, I will introduce basic requirements as well as limits for an according modification of current corporate governance practice.
Beyond national peculiarities, corporate governance practice is mainly centered on the protection of investors’ rights. However, this view neglects the fundamental changes of the operating conditions of business due to globalization and the weakening of regulatory frameworks. Weak or absent enforcement of contracts, increasingly unfettered negative externalities of corporate action, and involvement of private actors in the provision of public goods change the role of business in a fundamental way, rendering it a political actor in part. Resulting in the extension of corporate power these developments challenge the very assumptions of dominant corporate governance theory. Recurring misuse of this power poses a threat to organizational legitimacy as well as to the legitimacy of the capitalist system of market economy. Drawing on suggestions to restore organizational legitimacy by means of discursive processes, we argue that corporate governance needs to become open to such processes to contribute to the safeguarding of organizational legitimacy and therewith the legitimacy of the system of market economy in a globalized world. Based on these considerations, basic requirements as well as limits for an according modification of current corporate governance practice will be introduced.
In this paper I argue that the assessment and management of corporate sustainability potentially runs the risk of severe biases due to the application of inadequate criteria. Firstly, present praxis as well as theory of corporate sustainability assessment tend to not distinguish between structural and performance related features relevant for corporate sustainability. Secondly, the nature of corporate sustain-ability as the result of a constructive process of complexity reduction performed by social systems, which is highly context-specific, selective, and ambiguous, is ignored. Considering these two features as well as their interactions is described as one step towards rendering theorizing about and management of corporate sustainability able to adequately take into account the immense increase of complexity the adherence to the goal of corporate sustainability represents.
