Frankfurt School of Finance & Management

About: Frankfurt School of Finance & Management is a education organization based out in Frankfurt am Main, Germany. It is known for research contribution in the topics: Market liquidity & Portfolio. The organization has 283 authors who have published 1382 publications receiving 23293 citations.

The Importance of Climate Risks for Institutional Investors

Abstract: According to our survey about climate risk perceptions, institutional investors believe climate risks have financial implications for their portfolio firms and that these risks, particularly regulatory risks, already have begun to materialize. Many of the investors, especially the long-term, larger, and ESG-oriented ones, consider risk management and engagement, rather than divestment, to be the better approach for addressing climate risks. Although surveyed investors believe that some equity valuations do not fully reflect climate risks, their perceived overvaluations are not large.

The Price of Correlation Risk: Evidence from Equity Options

Abstract: We study whether exposure to market-wide correlation shocks affects expected option returns, using data on S&P100 index options, options on all components, and stock returns. We present evidence of priced correlation risk based on prices of index and individual variance risk. A trading strategy exploiting priced correlation risk generates a high alpha and is attractive for CRRA investors without frictions. Correlation risk exposure explains the cross-section of index and individual option returns well. The correlation risk premium cannot be exploited with realistic trading frictions, providing a limits to arbitrage interpretation of our ýndings of a high price of correlation risk.

Green Innovation, Managerial Concern and Firm Performance: An Empirical Study

Abstract: Extant literature, while often suggesting a positive link between green innovation and firm performance, is inconclusive. Moreover, the possibly moderating role of management has not been sufficiently considered. Using a unique dataset sampling 188 manufacturing firms in China, we examine how managerial concern (for green issues) moderates the relationship between green innovation and firm performance. We find that green process innovation and green product innovation both significantly (positively) predict firm performance, when not considering managerial concern for the environment. Once managerial concern is included, we observe that it compounds the positive effect of green process innovation on firm performance – but not product innovation, which no longer explains significant unique variance in firm performance. The findings hold various implications for future research and business policy. Copyright © 2017 John Wiley & Sons, Ltd and ERP Environment

Can Internet Search Queries Help to Predict Stock Market Volatility

Abstract: This paper studies the dynamics of stock market volatility and retail investor attention measured by internet search queries. We nd a strong co-movement of stock market indices’ realized volatility and the search queries for their names. Furthermore, Granger causality is bi-directional: high searches follow high volatility, and high volatility follows high searches. Using the latter feedback eect to predict

Determinants of Control System Design in Divisionalized Firms

Abstract: We investigate two determinants of two choices in the control system of divisionalized firms, namely decentralization and use of performance measures. The two determinants are those identified in the literature as important to control system design: (1) information asymmetries between corporate and divisional managers and (2) division interdependencies. We treat decentralization and performance measurement choices as endogenous variables and examine the inter-relation among these choices using a simultaneous equation model. Using data from 78 divisions our results indicate that decentralization is positively related to the level of information asymmetries and negatively to intra-firm interdependencies, while the use of performance measures is affected by the level of interdependencies among divisions within the firm, but not by information asymmetries. We find some evidence that decentralization choice and use of performance measures are complementary.