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Sebastian Utz
Former Member
Title
Prof. Dr.
Last Name
Utz
First name
Sebastian
11 results
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Item type:Publication, Greenness ratings and green bond liquidityType:journal articleJournal:Finance Research LettersVolume:55Scopus© Citations 18 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The Impact of Corporate Social and Environmental Performance on Credit Rating Prediction: North America versus EuropeType:journal articleJournal:Journal of RiskVolume:22Issue:6Scopus© Citations 21 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Factor exposures and diversification: Are sustainably-screened portfolios any different?We analyze the performance, risk, and diversification characteristics of global screened and best-in-class equity portfolios constructed according to Inrate's sustainability ratings. The financial performance of sustainably high-rated portfolios is similar to the risk-adjusted market performance in terms of abnormal returns of a five-factor market model. In contrast, low-rated portfolios exhibit negative abnormal returns. Firms with high sustainability ratings show lower idiosyncratic risk, and higher exposure towards the high-minus-low and the conservative-minus-aggressive factor.Type:journal articleJournal:Financial Markets and Portfolio ManagementVolume:34Issue:3Scopus© Citations 19 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The Link between Climate Change Risk Perception, Strategy, and Performance: A Risk-Based ApproachWhile many companies engage in both climate mitigation and adaptation strategies, a clear understanding of how risk perceptions shape these strategies and their ultimate effectiveness is lacking. Our research proposes a novel risk-based model of corporate climate change strategy, arguing that companies' perceptions of climate risk determine the type of strategy they pursue, ultimately affecting environmental and financial performance. We theorize three risk-based climate strategies (risk-avoiding, risk-reducing, and risk-transferring) and hypothesize that they mediate the relationship between risk and performance. We use a rich dataset of large panel data and causal mediation analysis to test our hypotheses. We find that more stringent climate strategies mediate the climate change risk-environmental performance relationship more strongly than less stringent strategies. Further, stringent strategies improve short-term financial performance and external carbon exposure evaluations influence long-term financial performance. Our new conceptualization is based on risk and task environment, and integrated with climate mitigation and adaptation.Type:conference paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, UN PRI signatories' ethics: Serious ethical first movers vs. late free riders(2020-05-08); - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Capital-market effects of ESG scores: Evidence from a quasi-natural experiment(2020) - Some of the metrics are blocked by yourconsent settings
Item type:Publication, The pricing of green bonds: external reviews and shades of greenWe investigate the asset pricing implications of the greenness of bonds. To estimate a green-pricing effect, we determine the `green bond premium' as the difference between the yields of matched conventional and green-labeled bonds. On a cross-sectional average, green bonds experience a statistically significant positive premium. This premium increases with external greenness evaluations, i.e., investors accept premiums of up to 5 basis points for bonds with a substantial environmental agenda. This external validation effect, which is strongest for bonds that are rated dark-green, may offset not incurring information costs, as this effect decreases with increasing age of bonds.Type:forthcomingJournal:Review of Managerial Science - Some of the metrics are blocked by yourconsent settings
Item type:Publication, A multi-criteria decision-making approach for assembling optimal powertrain technology portfolios in low GHG emission environmentsEnvironmental regulations force car manufacturers to renew the powertrain technology portfolio offered to the customer to comply with greenhouse gas emission targets. In turn, automotive companies face the task of identifying the “right” powertrain technology portfolio consisting of, e.g., internal combustion engines and electric vehicles, because the selection of a particular powertrain technology portfolio affects different company targets simultaneously. What makes this decision even more challenging is that future market shares of the different technologies are uncertain. Our research presents a new decision-support approach for assembling optimal powertrain technology portfolios while making decision-makers aware of the trade-offs between the achievable profit, the achievable market share, the market share risk, and the greenhouse gas emissions generated by the selected vehicle fleet. The proposed approach combines “a posteriori” decision-making with multi-objective optimization. In an application case, we feed the outlooks of selected market studies into the proposed decision-support system. The result is a visualization and analysis of the current real-world decision-making problem faced by many automotive companies. Our findings indicate that for the proposed greenhouse gas restriction at work in 2030 in the European Union, no optimal powertrain technology portfolio with less than 35% of vehicles equipped with an electric motor exists.Type:forthcomingJournal:Journal of Industrial Ecology - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Short-term stock price reversals after extreme downward price movements(2021); We studied the intraday effects of return overreactions around extreme negative one-minute interval returns of Nasdaq100 constituents based on nanosecond data. An extreme negative one-minute interval return is defined as the lowest return that occurs once in 1,000 one-minute intervals. We document that 31% of such an extreme one-minute interval's return is reversed in the subsequent trading minute. The relative magnitude of the reversal after extreme negative one-minute interval returns is particularly high for the 20% most liquid and the 20% largest firms of our sample.Type:forthcomingJournal:Quarterly Review of Economics and Finance - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Risk Mitigation of Corporate Social Performance in US Class Action LawsuitsWe investigate the relationship between corporate social performance and litigation risk by examining US class action lawsuits. We find that a one standard deviation improvement in environmental, social, and governance (ESG) controversies of an average sample firm reduces litigation risk from 3.1% to 2.4%. Moreover, an average sample firm with low ESG performance exhibits losses twice as high in market value compared to a firm with high ESG performance, i.e., an abnormal loss of US $1.14bn. Implementing our findings with a trading strategy yielded positive monthly alphas, suggesting that investors benefit from lower litigation risk and insurance-like protection.Type:forthcomingJournal:Financial Analysts Journal