Negative screening (of "sin" stocks) is the most common strategy used by socially responsible investors. There is no consensus in the literature whether these exclusions result in higher cost of capital (and hence higher expected returns) for targeted firms. The existing literature identifies sin companies using industry classification codes (IC). We propose an alternative measure of firms' exposure to sin activities (sinfulness) based on textual analysis (TA) of their annual reports. Sinfulness captures both cross-sectional and time-series variation in firms' exposure to sin activities. The correlation between the IC and TA sin indicators is only 0.69, with twice as many sin stocks in TA than in IC. TA reveals several important false positive and numerous false negative sin stocks in IC. While the number of publicly listed sin-related stocks has declined by 43% between 1997 and 2021, their total market capitalization has increased almost threefold from about $200bn to $600bn during the same period. A sin-weighted portfolio of sin stocks earns an annualized Fama-French 6-factor alpha of 4%. Overall, our study highlights important shortcomings of using IC to identify sinful firms and resurrects the sin premium, that is, more sinful stocks have higher expected returns.

Negative screening (of "sin" stocks) is the most common strategy used by socially responsible investors. There is no consensus in the literature whether these exclusions result in higher cost of capital (and hence higher expected returns) for targeted firms. The existing literature identifies sin companies using industry classification codes (IC). We propose an alternative measure of firms' exposure to sin activities (sinfulness) based on textual analysis (TA) of their annual reports. Sinfulness captures both cross-sectional and time-series variation in firms' exposure to sin activities. The correlation between the IC and TA sin indicators is only 0.69, with twice as many sin stocks in TA than in IC. TA reveals several important false positive and numerous false negative sin stocks in IC. While the number of publicly listed sin-related stocks has declined by 43% between 1997 and 2021, their total market capitalization has increased almost threefold from about $200bn to $600bn during the same period. A sin-weighted portfolio of sin stocks earns an annualized Fama-French 6-factor alpha of 4%. Overall, our study highlights important shortcomings of using IC to identify sinful firms and resurrects the sin premium, that is, more sinful stocks have higher expected returns.

Negative screening (of "sin" stocks) is the most common strategy used by socially responsible investors. There is no consensus in the literature whether these exclusions result in higher cost of capital (and hence higher expected returns) for targeted firms. The existing literature identifies sin companies using industry classification codes (IC). We propose an alternative measure of firms' exposure to sin activities (sinfulness) based on textual analysis (TA) of their annual reports. Sinfulness captures both cross-sectional and time-series variation in firms' exposure to sin activities. The correlation between the IC and TA sin indicators is only 0.69, with twice as many sin stocks in TA than in IC. TA reveals several important false positive and numerous false negative sin stocks in IC. While the number of publicly listed sin-related stocks has declined by 43% between 1997 and 2021, their total market capitalization has increased almost threefold from about $200bn to $600bn during the same period. A sin-weighted portfolio of sin stocks earns an annualized Fama-French 6-factor alpha of 4%. Overall, our study highlights important shortcomings of using IC to identify sinful firms and resurrects the sin premium, that is, more sinful stocks have higher expected returns.

Negative screening (of "sin" stocks) is the most common strategy used by socially responsible investors. There is no consensus in the literature whether these exclusions result in higher cost of capital (and hence higher expected returns) for targeted firms. The existing literature identifies sin companies using industry classification codes (IC). We propose an alternative measure of firms' exposure to sin activities (sinfulness) based on textual analysis (TA) of their annual reports. Sinfulness captures both cross-sectional and time-series variation in firms' exposure to sin activities. The correlation between the IC and TA sin indicators is only 0.69, with twice as many sin stocks in TA than in IC. TA reveals several important false positive and numerous false negative sin stocks in IC. While the number of publicly listed sin-related stocks has declined by 43% between 1997 and 2021, their total market capitalization has increased almost threefold from about $200bn to $600bn during the same period. A sin-weighted portfolio of sin stocks earns an annualized Fama-French 6-factor alpha of 4%. Overall, our study highlights important shortcomings of using IC to identify sinful firms and resurrects the sin premium, that is, more sinful stocks have higher expected returns.

Motivated by the mixed evidence on the performance of (downside) volatility-managed equity factor portfolios in the U.S., I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in a set of 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability and momentum portfolios and that the performance can be enhanced by applying downside volatility instead of total volatility (variance) as a scaling factor. Nevertheless, a marginal trader would find it difficult to profit from these strategies as only the managed market and momentum strategies are partially robust to my transaction cost estimations. Collectively, my results suggest that the persistence of abnormal returns of (downside) volatility-managed equity factors can largely be explained by the associated transaction costs.

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Motivated by the mixed evidence on the performance of (downside) volatility-managed equity factor portfolios in the U.S., I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in a set of 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability and momentum portfolios and that the performance can be enhanced by applying downside volatility instead of total volatility (variance) as a scaling factor. Nevertheless, a marginal trader would find it difficult to profit from these strategies as only the managed market and momentum strategies are partially robust to my transaction cost estimations. Collectively, my results suggest that the persistence of abnormal returns of (downside) volatility-managed equity factors can largely be explained by the associated transaction costs.

In this podcast, Gerald Blumberg, Christoph Weber and Aiko Schinke-Nendza discuss challenges and existing contributions to an improved sustainable electricity market design. Decarbonization and distributed energy resources are discussed as key drivers and the challenges for coordination in these times of digitization are highlighted. Specifically, a novel two-layer market design is proposed which contributes to solving some of the identified challenges.

In this podcast, Gerald Blumberg, Christoph Weber and Aiko Schinke-Nendza discuss challenges and existing contributions to an improved sustainable electricity market design. Decarbonization and distributed energy resources are discussed as key drivers and the challenges for coordination in these times of digitization are highlighted. Specifically, a novel two-layer market design is proposed which contributes to solving some of the identified challenges.

https://symposia.gerad.ca/iaee2019/en/schedule/view_document/6818

Program and abstract could be found here

Abrufbar unter: http://tu-dresden.de/die_tu_dresden/fakultaeten/fakultaet_wirtschaftswissenschaften/bwl/ee2/lehrstuhlseiten/ordner_enerday/ordner_pacp/ordner_fpap/presentations%202015/bucksteeg.pdf

Abrufbar unter: http://eeg.tuwien.ac.at/eeg.tuwien.ac.at_pages/events/iewt/iewt2015/uploads/presentation/Pr_249_Bucksteeg_Michael.pdf

Available at: www.usaee.org/usaee2014/submissions/Presentations/140617_Bucksteeg_IAEE_NY.pdf

Abrufbar unter: http://portal.tugraz.at/portal/page/portal/Files/i4340/eninnov2014/files/pr/PR_Bucksteeg.pdf

The growing share of electricity generated from intermittent renewable energy sources as well as increasing market-based cross-border flows and related physical flows are leading to rising uncertainties in transmission network operation. This paper presents the current and possible future operational challenges from TSOs’ experiences, and provides a comprehensive overview of expected features that a toolbox
should contain for the stable operation of the transmission network. In addition, it outlines the research vision of the UMBRELLA project, namely better use of renewable energy forecasts, optimization of transmission system operation, and risk-based security assessment, as the possible solution to tackle the aforementioned challenges. In the end, a brief introduction to the UMBRELLA project has been incorporated.

A global GHG certificate trading system (or alternatively a Pigou tax) is recognized as the first best instrument for combating Global Warming in textbook economics. Currently such a system is yet not in place and is at best expected for 2020. For various reasons however some countries (notably the EU) are willing to adopt a frontrunner approach. Yet it is questionable whether going for a pure certificate trading system is the best choice under such circumstances. As an alternative, specific support schemes for carbon free technologies like renewables may be envisaged, e. g. feed-in tariffs or renewable quotas ( labeled renewable performance standards in the U.S.). Two potential advantages of such support schemes for renewables shall be investigated in this paper: On the one hand the possibility to use price discrimination between producers to cut down producer rents and on the other hand the possibility to apply price discrimination on the customer side. The latter is typically done for the financing of the support scheme - avoiding carbon leakage by crowding out of energy intensive industry. These potential advantages have to be weighted against the distorting effects of renewable support on carbon prices.