This file was created by the TYPO3 extension publications --- Timezone: CEST Creation date: 2026-03-08 Creation time: 04:28:50 --- Number of references 128 We investigate the behavior of stocks after the launch of Netflix’s scandal documentaries on the corresponding firms. We document a significant fall in prices after the release of the documentaries that is not reversed in the weeks following their launch, resulting in an average cumulative abnormal return of −15.34% three months after the event day. We also find a significant increase in stocks’ traded volumes and Google Search Volumes for the corresponding firms after the release of the documentaries. Moreover, we report a significant contemporaneous and lagged relation between stocks’ returns and traded volumes in the event window that is not seen before the release day. Taken together, these results suggest that the fall in stock prices is driven by investor attention. Our findings have significant implications for corporate misconduct and how market participants become informed and consequently price this behavior. article 2026 1 27 1861-8928,0044-2372 10.1007/s11573-025-01255-6 Journal of Business Economics Springer Nature https://epub.uni-regensburg.de/id/eprint/78606 Gregor Dorfleitner Pedro Piccoli Unlike traditional assets, cryptocurrencies lack fundamental information such as dividends, earnings, or cash flows, requiring market participants to rely on alternative sources of information for price discovery and trading decisions. In this study, we analyze the relationship between news sentiment and Bitcoin (BTC) and Ether (ETH) futures returns, as well as net trading positions. We use a dataset of over 9100 BTC and 5400 ETH news articles. The findings reveal that news sentiment is significantly associated with futures price movements and market positioning by professional investors. We extend the traditional dictionary-based approach of Loughran and McDonald (2011) by enabling a more precise identification of crypto-relevant content. Our findings highlight the role of news sentiment as an information channel in cryptocurrency derivatives markets and uncover substantial differences between the BTC and ETH futures markets. article 2026 1 03 1380-6645,1573-7144 Review of Derivatives Research Springer https://epub.uni-regensburg.de/id/eprint/78030 Christian Kreuzer Christian Sparrer Gregor Dorfleitner This paper empirically analyzes the determinants of corporate greenwashing behavior to enhance forecasting and mitigation of greenwashing practices, particularly in the context of stakeholder decision-making. Using company-level characteristics from a sample of STOXX Europe 600 constituents, we show that ESG and environmental (E) scores exhibit a U-shaped relationship with greenwashing, indicating that companies with both low and high (E)SG scores are more likely to engage in greenwashing. Additionally, ESG disclosure score, company size, cash-to-assets, and capital intensity are positively associated with greenwashing behavior. Furthermore, greenwashing behavior is more prevalent in consumer-related industries than in other industries. Building on the identified determinants of greenwashing behavior, we develop machine learning models grounded in economic theory to forecast greenwashing risk. Overall, our analyses demonstrate how current and future greenwashing risks can be effectively assessed. This enables stakeholders such as investors and policymakers to better identify corporate greenwashing behavior and incorporate the associated risks into their decision-making. article 2025 12 04 10.1016/j.jebo.2025.107354 Journal of Economic Behavior & Organization 241 Elsevier 107354 https://epub.uni-regensburg.de/id/eprint/78298 Jens Eckberg Gregor Dorfleitner Manuel C. Kathan Sebastian Utz This study examines stock market reactions in response to 296 greenwashing events involving STOXX Europe 600 companies. The results indicate that companies with the lowest total assets in our sample experience negative cumulative abnormal returns. Financially material cases, which are likely to affect company performance through legal and investor-related consequences, also lead to negative market reactions. Compliance-related allegations trigger the most consistent negative market reactions compared to other types of allegations. We also find evidence of moderating effects, with ESG reputation shaping the extent of market reactions. The findings highlight that market reactions to greenwashing are highly context-dependent, reflecting company size, industry, ESG scores, and the characteristics of the allegation. article 2025 10 31 Finance Research Letters 86 Elsevier 108795 Part F https://epub.uni-regensburg.de/id/eprint/78029 Gregor Dorfleitner Jens Eckberg Sebastian Utz Teresa Brehm Climate change poses new challenges to the social mission and financial viability of microfinance institutions (MFIs). These include the vulnerability of borrowers, increased credit risks and the need to adapt to the changing climate. Using a novel microcredit data set, we first study the prevalence of climatic hazards and vulnerabilities in the portfolios of MFIs across Latin America and the Caribbean as well as sub-Saharan Africa. We find evidence of microborrower vulnerability to climatic hazards and associated heightened credit risk. We then explore ecosystem-based adaptation (EbA) as a potential strategic complement to inclusive finance in aiding adaptation. Our analysis finds widespread autonomous implementation of EbA by agricultural microborrowers. While EbA measures appear to negatively moderate the association between climatic hazards and microborrower vulnerabilities, we do not find them to be directly associated with lower vulnerabilities. Furthermore, lenders do not appear to increase financing of adaptation in portfolios with greater exposure to climatic hazards. The findings suggest a need to enhance the effectiveness of adaptive actions and further potential to expand the financing of EbA by MFIs. article 2025 2 18 1099-0836,0964-4733 10.1002/bse.4178 Business Strategy and the Environment 34 Wiley 4409-4435 https://epub.uni-regensburg.de/id/eprint/75042 Gregor Dorfleitner Davide Forcella Andreas Gerckens This paper shows that ESG scores capture a company’s greenwashing behavior. Greenwashing accusations are most prevalent among large companies with high ESG scores. We empirically employ a novel theoretical model that distinguishes between the communication of a company’s environmental efforts (apparent environmental performance) and its actual environmental impact (real environmental performance). The correlation of the apparent (real) environmental performance with ESG scores is significantly positive (negative). Therefore, ESG scores are unsuitable for measuring real environmental impact. Thus, investors focusing on high ESG-rated companies may unknowingly increase their greenwashing risk exposure, and academics may use misleading information to assess greenwashing risk. article 2025 1 07 1544-6131,1544-6123 10.1016/j.frl.2024.106710 Finance Research Letters 74 Elsevier 106710 https://epub.uni-regensburg.de/id/eprint/74584 Manuel Kathan Sebastian Utz Gregor Dorfleitner Jens Eckberg Lea Chmel Higher education institutions (HEIs) contribute to society and the planet by producing future implementers of sustainability, addressing the climate crisis, and promoting nature-positive actions through research. Despite their positive contributions, given the total number of HEIs globally, and the scale at which they operate, their environmental footprint negatively impacts the environment. The Millennium Development Goals (MDGs) and the Sustainable Development Goals (SDGs) alone were insufficient to integrate sustainability in HEIs without initiatives by universities and non-profits since the 1970s. An analysis of the past and current state of sustainability integration in HEIs reveals a disparity in sustainability reporting and rankings between the Global North and Global South. Furthermore, the number of universities participating in sustainability reporting and rankings is significantly low. Sustainability in HEIs must extend beyond curriculum and research, requiring standardized reporting frameworks, adequate budgets for enforcing sustainability, better impact assessment metrics, and support for the Global South. article 2025 10.1016/j.cesys.2025.100279 Cleaner Environmental Systems Elsevier https://epub.uni-regensburg.de/id/eprint/76637 Samhita Ankareddy Gregor Dorfleitner Lin Zhang Yong Sik Ok article 2025 FondsForumMagazin : Das Fachmagazin für institutionelle Immobilieninvestoren 8-9 7 https://epub.uni-regensburg.de/id/eprint/77240 Gregor Dorfleitner Tobias Just Loss of biodiversity and natural degradation are vital issues that have significant impacts on society and economy. Businesses, investors, and regulators have focused on corporate efforts to support biodiversity and nature-positive activities. This review provides a comprehensive overview of the importance of biodiversity for businesses, its materiality, and the roles of mandatory and nonmandatory regulations in corporate environmental reporting and sustainability disclosure frameworks. It also discusses descriptive information on the evolution of sustainability frameworks by comparing the most prominent sustainability frameworks, with a key focus on the materiality approach and biodiversity-related disclosure recommendations. Furthermore, we provide recommendations for more holistic approaches to improve future sustainability frameworks focusing on the impact of biodiversity. Additionally, we demonstrate the necessity for greater focus on the decision-making paradigm. Further research to measure the impact of biodiversity and innovative trends in sustainability reporting is required to better reflect nature-positive outcomes in corporate sector businesses. article 2024 9 17 10.3390/su16188110 Sustainability 16 MDPI 8110 18 https://epub.uni-regensburg.de/id/eprint/59219 Maheshika Senanayake Iman Harymawan Gregor Dorfleitner Seungsoo Lee Jay Hyuk Rhee Yong Sik Ok Based on an international data set that comprises over 6,100 companies located in 44 countries in the years 2002–2018, this paper analyzes the relation between corporate scandals and board structures besides further firm-related, political, nation-level economic, and cultural variables. We identify board structure variables that are positively associated with a firm’s corporate scandals, namely high CSR efforts and busy board members. There are also variables that are negatively associated with this kind of behavior, namely qualified and skilled boards. No clear evidence can be determined from a board’s gender diversity, independent board members, and board size. article 2024 2366-6153,0341-2687 10.1007/s41471-024-00192-4 Schmalenbach Journal of Business Research 76 Springer 433-461 https://epub.uni-regensburg.de/id/eprint/59218 Gregor Dorfleitner Christian Kreuzer article 2024 2366-6153,0341-2687 Schmalenbach Journal of Business Research 76 Springer 197-244 https://epub.uni-regensburg.de/id/eprint/58124 Gregor Dorfleitner Rongxin Zhang This paper proposes a conceptual framework to determine a greenwashing indicator on firm level, based on five pillars of information that capture the key drivers of greenwashing: soft ESG data, textual self-representation, green marketing expenses, green virtue for the apparent green performance, and hard ESG data as a measure of the real green performance. The proposed framework is built on a literature review of greenwashing typology and drivers and can be applied to a broad set of firms at the same time, while most existing approaches are built on a detailed investigation of individual cases. The greenwashing indicator in our framework is based on the difference between real and apparent green performance. This approach allows the implicit calculation of the real green performance using the concept of a firm misconduct factor that helps to identify the greenwashing indicator without knowledge of the real (and often hard to measure) green performance of a firm. article 2024 1863-6683,1863-6691 10.1007/s11846-023-00718-w Review of Managerial Science 18 SPRINGER HEIDELBERG

HEIDELBERG

3463-3486 https://epub.uni-regensburg.de/id/eprint/55149 Gregor Dorfleitner Sebastian Utz article 2024 2199-1235,2199-1227 Credit and Capital Markets 57 Duncker & Humblot 185-221 https://epub.uni-regensburg.de/id/eprint/59690 Werner Gleißner Marco Wolfrum Gregor Dorfleitner This article analyzes how the General Data Protection Regulation (GDPR) has affected the privacy practices of FinTech firms. We study the content of 276 privacy statements respectively before and after the GDPR became binding. Using text analysis methods, we find that the readability of the privacy statements has decreased. The texts of privacy statements have become longer and use more standardized language, resulting in worse user comprehension. This calls into question whether the GDPR has achieved its original goal-the protection of natural persons regarding the transparent processing of personal data. We also link the content of the privacy statements to FinTech-specific determinants. Before the GDPR became binding, more external investors and a higher legal capital were related to a higher quantity of data processed and more transparency, but not thereafter. Finally, we document mimicking behavior among FinTech industry peers with regard to the data processed and transparency. article 2023 7 20 1019-6781,1422-8890 10.1007/s12525-023-00622-x Electronic Markets 33 SPRINGER HEIDELBERG

HEIDELBERG

33 https://epub.uni-regensburg.de/id/eprint/53490 Gregor Dorfleitner Lars Hornuf Julia Kreppmeier Tokens, the digital form of assets, are an innovation that has the potential to disrupt how to transfer and own financial instruments. We hand-collected data on 173 real estate tokens in the USA between 2019 and 2021 and trace back 238,433 blockchain transactions. We find that tokens provide broad real estate ownership to many small investors through digital fractional ownership and low entry barriers, while investors do not yet hold well-diversified real estate token portfolios. We analyze the determinants of the success of security token offerings (STOs), secondary market trading, and daily aggregated capital flows. In addition to some property-specific determinants, we find that crypto-market-specific determinants, such as transaction costs and the related sentiment, are relevant both to the STO and capital flows.& COPY; 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY license ( http://creativecommons.org/licenses/by/4.0/ ) article 2023 6 21 0378-4266,1872-6372 10.1016/j.jbankfin.2023.106940 Journal of Banking & Finance 154 ELSEVIER

AMSTERDAM

106940 https://epub.uni-regensburg.de/id/eprint/54393 Julia Kreppmeier Ralf Laschinger Bertram I. Steininger Gregor Dorfleitner Using a global panel dataset of 3,496 green bonds and conducting regressions, we find a positive relationship between greenness ratings from second-party opinions (SPOs) and green bond liquidity. Green bonds from corporate and municipal issuers with a greenness rating show higher liquidity than green bonds without a greenness rating. For financial institutions and other public issuers besides municipalities, we find no effect of greenness ratings on green bond liquidity. article 2023 4 10 1544-6123,1544-6131 10.1016/j.frl.2023.103869 Finance Research Letters 55, Part A ACADEMIC PRESS INC ELSEVIER SCIENCE

SAN DIEGO

103869 https://epub.uni-regensburg.de/id/eprint/54062 Gregor Dorfleitner Jens Eckberg Sebastian Utz book_section 2023 978-1-78990-386-7 10.4337/9781789903874.00022 Handbook of Microfinance, Financial Inclusion and Development Edward Elgar Publishing

Cheltenham

Valentina Hartarska und Robert Cull 248-271 https://epub.uni-regensburg.de/id/eprint/53833 Gregor Dorfleitner Dina Pons Noémie Renier article 2023 1865-5734,2199-1235 10.3790/ccm.56.1.1 Credit and Capital Markets 56 Duncker und Humblot 1-3 1 https://epub.uni-regensburg.de/id/eprint/54332 Gregor Dorfleitner Lars Hornuf The FinTech market in Germany is a dynamic and growing field that is difficult to observe in its entirety. This report provides a hand-collected market overview of the FinTech market in Germany, as well as an application case in terms of volume estimates for the financing and asset management segments through December 2021. The data includes various verified characteristics of 978 unique companies that can be classified under the financial technology sector and operate in Germany. Each observation represents a company with 24 variables, including name, address, legal form, founders with corresponding LinkedIn accounts, registration number or company ID, assignment to FinTech segments and sub-segments, banking cooperation, URL address, local court, former name, operating status. We provide the description of the variables as well as a taxonomy to categorize FinTechs. The dataset contains both established companies and startups and presents valuable information for researchers, practitioners and also regulators. article 2023 1865-5734,2199-1235 10.3790/ccm.56.1.103 Credit and Capital Markets 56 Duncker und Humblot 103-118 1 https://epub.uni-regensburg.de/id/eprint/54330 Gregor Dorfleitner Julia Kreppmeier Ralf Laschinger We examine investor behavior on a leading peer-to-business lending platform and identify an investment mistake that we refer to as default shock bias. First, we find that investors stop investing in new loans and cease diversifying their portfolio after experiencing a loan default. The default shock significantly worsens the risk–return profile of investors’ loan portfolios. The defaults investors experience are often not beyond what would have been expected from the information that was provided by the platform ex ante. Second, investment experience on the platform is related to better investment decisions in general, but it does not reduce the default shock bias. These findings have important implications not only for the behavioral finance literature but also more generally for new forms of Internet-based finance. article 2023 1863-6691,1863-6683 10.1007/s11846-022-00544-6 Review of Managerial Science 17 Springer 1037-1073 https://epub.uni-regensburg.de/id/eprint/52289 Gregor Dorfleitner Lars Hornuf Martina Weber article 2022 9 2331-2947,1526-5943 Journal of Risk Finance 23 Emerald 85-120 1 https://epub.uni-regensburg.de/id/eprint/47920 Gregor Dorfleitner Johannes Grebler article 2022 9 1758-8855,0967-5426 10.1108/JAAR-02-2021-0041 Journal of Applied Accounting Research 23 Emerald 454-479 https://epub.uni-regensburg.de/id/eprint/47918 Gregor Dorfleitner Davide Forcella Quynh-Anh Nguyen Social trading platforms are considered to be amongst the major innovations in online trading. The purpose of this article is to analyze the trading activity of traders on social trading networks by taking a behavioral approach. We investigate the factors that influence the irrational part of trading activity derived from the key characteristics of these platforms, i.e. those dealing with social interaction. Our investigation utilizes an extensive set of trading data from two major platforms in Germany to study the trading behavior. We apply a fixed effects two-stage least squares approach to quantify the relationship between trading ctivity and performance and define overconfidence as the part of trading activity that is irrationally motivated and results in negative returns. Our results provide evidence for the negative relationship between overconfidence and return on social trading platforms. The article finds that the number of followers and some platform-specific features significantly affect the trading behavior of the traders. We contribute to literature by exploring how the novel social interaction characteristics of online trading impact trading activity by giving rise to a new dimension of overconfidence. In addition, we evidence that the different frameworks of the platforms motivate heterogenous behavioral responses by the signalers. Finally, we refine existing studies by applying a distinct methodology for modeling overconfidence. article 2022 9 1526-5943,2331-2947 Journal of Risk Finance 23 Emerald 32-54 1 https://epub.uni-regensburg.de/id/eprint/47919 Gregor Dorfleitner Isabel Scheckenbach This article examines whether mobile money adoption contributes to women’s economic empowerment, and considers the mediating effect of financial management behavior. Cross-sectional data analysis is conducted utilizing a sample of women in seven countries across South Asia and Sub-Saharan Africa. We also investigate whether these effects vary between rural and urban areas. Three measures of mobile money adoption are considered to reflect the process of engaging in mobile money services. We find supportive evidence for the impact of mobile money adoption on women’s economic empowerment and the influencing mechanism of financial management behavior for the whole sample and the rural sub-sample. Moreover, the results are consistent for three alternative measures of mobile money adoption. Our findings suggest that mobile money can be harnessed to promote women’s economic empowerment; however, the impact appears to be greater if women are equipped with proper financial management skills. article 2022 7 08 1863-6691,1863-6683 10.1007/s11846-022-00564-2 Review of Managerial Science 18 Springer 1807-1836 https://epub.uni-regensburg.de/id/eprint/52603 Gregor Dorfleitner Quynh Anh Nguyen We extend risk-value models for valuing streams of risky cash flows by establishing the well-known concept of terminal value in this context. For a constant growth assumption we are able to derive upper and lower bounds for the terminal value in the case of a translation-invariant and in the case of a position-invariant risk measure. For both cases we also obtain an exact formula under a special growth assumption for the future cash flows. Furthermore, we provide results on the applicability of the general findings for the case that the log-return of the risky investment follows a Brownian motion. article 2022 0254-5330,1572-9338 10.1007/s10479-020-03644-2 Annals of operations research 313 Springer

DORDRECHT

877-897 https://epub.uni-regensburg.de/id/eprint/43131 Gregor Dorfleitner article 2022 1879-1751,0167-2681 Journal of Economic Behavior and Organization 202 Elsevier 762-784 https://epub.uni-regensburg.de/id/eprint/52805 Gregor Dorfleitner Christian Kreuzer Christian Sparrer In this article, we study the risk taking behavior under convex incentives in an innovative online trading setting. In particular, we empirically analyze how an infinite investment horizon and valuable outside options affect risk taking behavior. We find that traders choose the absolute and relative risk of the trading strategy depending on the proximity to the high-water mark (HWM), which represents a series of remuneration options on the assets under management. As a consequence, we observe more risk mitigating behavior the closer the HWM comes. Next, we show that the traders behave strategically and make their risk decisions based on their overall portfolio payoff. Finally, we find that social status indicators such as rankings and communication abilities significantly affect the risk taking behavior. (c) 2021 Board of Trustees of the University of Illinois. Published by Elsevier Inc. All rights reserved. article 2021 9 23 1062-9769,1878-4259 10.1016/j.qref.2021.09.003 Quarterly Review of Economics and Finance 82 Elsevier

NEW YORK

239-259 https://epub.uni-regensburg.de/id/eprint/49321 Isabel Scheckenbach Maximilian Wimmer Gregor Dorfleitner We 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. article 2021 4 01 1863-6683,1863-6691 10.1007/s11846-021-00458-9 Review of Managerial Science 16 SPRINGER HEIDELBERG

HEIDELBERG

797-834 https://epub.uni-regensburg.de/id/eprint/45472 Gregor Dorfleitner Sebastian Utz Rongxin Zhang article 2021 1879-0690,1364-0321 Renewable and Sustainable Energy Reviews 149 Elsevier 111378 https://epub.uni-regensburg.de/id/eprint/46028 Gregor Dorfleitner Franziska Muck Isabel Scheckenbach article 2021 1573-0697,0167-4544 Journal of Business Ethics 170 Springer 375-400 https://epub.uni-regensburg.de/id/eprint/40751 Gregor Dorfleitner Eva-Maria Oswald Rongxin Zhang Based on a dataset of over 400 fund compositions in the years 2003-2018 this paper analyzes the persistence of controversies scores and environmental, social, governance (ESG) scores in socially responsible US mutual funds. As measurements for corporate social irresponsibility as well as corporate social responsibility activities, it is shown that US mutual funds exhibit controversies and ESG persistence in the short and longer-term. When examining the relationship between controversies and ESG scores in comparison with management fees, it becomes apparent that higher-paid managers achieve better results regarding controversies scoring but worse results regarding ESG scoring, compared to lower-paid managers. article 2021 1544-6123,1544-6131 10.1016/j.frl.2021.101990 Finance Research Letters 43 ACADEMIC PRESS INC ELSEVIER SCIENCE

SAN DIEGO

101990 https://epub.uni-regensburg.de/id/eprint/45031 Gregor Dorfleitner Christian Kreuzer Ralf Laschinger article 2021 1573-0913,0921-898X Small Business Economics 56 Springer 1485-1505 https://epub.uni-regensburg.de/id/eprint/40678 Lutz G. Arnold Benedikt Booker Gregor Dorfleitner Michaela Röhe We provide evidence of the exogenous impact of environmental and social performance components on credit ratings in North America, Europe, and Asia. In particular, the product innovation dimension is clearly identified as being the dominating driver of credit ratings within the environmental performance in every subsample region. In the social performance dimension, the extent of diversity is a main driver for firms in North America and Europe, but due to cultural reasons, not in Asia. Our results show that the risk mitigation view holds for all significant corporate social or environmental performance variables, but the magnitude of impact differs regionally. article 2020 12 23 2198-2627,2198-3402 10.1007/s40685-020-00127-9 Business Research 13 Springer 1343-1415 3 https://epub.uni-regensburg.de/id/eprint/46347 Gregor Dorfleitner Johannes Grebler article 2020 2199-4455,0018-974X ifo Schnelldienst 73 ifo Institut 33-40 8 https://epub.uni-regensburg.de/id/eprint/43629 Gregor Dorfleitner Lars Hornuf Lena Wannenmacher Based on an extensive international dataset containing Thomson Reuters environmental, social and corporate governance (ESG) rating, as well as Thomson Reuters newest controversies and combined score of an average of 2500 companies in the years 2002–2018, this article contributes to the existing discourse of the relationship between corporate social performance and corporate financial performance (CFP) by examining the Fama and French (J Financ Econ 116(1):1–22, 2015) five-factor risk-adjusted performance of positive screened best and worst portfolios, based on a 10% cutoff, respectively, for equally, value- and rank-weighted strategies in the European, US and global market. Furthermore, the controversies score allows us to examine the mid-to-long-term effects of scandals on the CFP without having to rely on the event study methodology. Even though a value-weighted strategy does not show any significant abnormal returns, we examined a significant outperformance for equally weighted worst ESG portfolios and best controversies strategies. These results strongly indicate that this is, on the one hand, driven by low-rated smaller companies (“small sinners”) and clean-coated firms with regard to controversies (“silent saints”) on the other hand. The findings hold for several robustness checks such as adjusting the cutoff rates or splitting the dataset across time. article 2020 1470-8272,1479-179X 10.1057/s41260-020-00178-x Journal of Asset Management 21 Springer 393-412 https://epub.uni-regensburg.de/id/eprint/43486 Gregor Dorfleitner Christian Kreuzer Christian Sparrer article 2020 2199-1235,2199-1227 10.3790/ccm.53.4.427 Credit and Capital Markets 53 Duncker & Humblot 427-460 4 https://epub.uni-regensburg.de/id/eprint/43669 Gregor Dorfleitner Davide Forcella Quynh-Anh Nguyen We quantify the extent to which the quality of credit rating predictions improves by integrating measures of corporate social performance (CSP) in an established credit risk model. Our analysis provides comprehensive evidence of the comparative informational advantage of considering CSP in predicting credit ratings of North American and European firms. In the North American sample, both environmental and social performance have an explanatory impact. The out-of-sample prediction quality improves by more than 0.8%. By contrast, only social performance increases the explanatory power in the European sample; environmental performance does not. Overall, we show that CSP is a relevant variable for predicting credit ratings. In general, our findings support the risk mitigation view of CSP, indicating that firms with high CSP are less risky and thus have better credit ratings. However, the quality of the relationship depends on the socioeconomic and cultural environment as well, as can be seen from the differing results in North America and Europe. article 2020 1465-1211,1755-2842 10.21314/JOR.2020.437 Journal of Risk 22 INCISIVE MEDIA

LONDON

1-33 6 https://epub.uni-regensburg.de/id/eprint/41644 Gregor Dorfleitner Johannes Grebler Sebastian Utz article 2020 1573-7144,1380-6645 Review of Derivatives Research 23 Springer 85-119 https://epub.uni-regensburg.de/id/eprint/40097 Gregor Dorfleitner Johannes Gerer This book examines the FinTech revolution from a data privacy perspective. It analyzes key players on the FinTech market and the developments in various market segments. Particular attention is paid to an empirical analysis of the privacy statements of 505 German FinTech firms and how they were adapted after the General Data Protection Regulation (GDPR) entered into effect in May 2018. The analysis also includes 38 expert interviews with relevant stakeholders from supervisory and regulatory authorities, the financial and FinTech industry, leading consulting firms and consumer protection agencies. By adopting this approach, the book identifies key regulatory needs, offers a valuable asset for practitioners and academics alike, and shares intriguing insights for lawyers, economists and everyone interested in FinTech and data privacy. book 2019 978-3-030-31335-7 (e-book), 978-3-030-31334-0 10.1007/978-3-030-31335-7 Springer

Cham (Switzerland)

https://epub.uni-regensburg.de/id/eprint/40756 Gregor Dorfleitner Lars Hornuf book 2019 978-3-658-26500-7 (e-book), 978-3-658-26499-4 10.1007/978-3-658-26500-7 Springer Gabler

Wiesbaden

https://epub.uni-regensburg.de/id/eprint/40755 Gregor Dorfleitner Lars Hornuf book_section 2019 978-3-030-22510-0 10.1007/978-3-030-22510-0_9 The Rise of Green Finance in Europe: Opportunities and Challenges for Issuers, Investors and Marketplaces Palgrave Macmillan

Cham (Schweiz)

Marco Migliorelli und Philippe Dessertine 207-237 https://epub.uni-regensburg.de/id/eprint/41088 Gregor Dorfleitner Diana Braun book_section 2019 978-3406713668 FinTech-Handbuch: Digitalisierung, Recht, Finanzen C.H.Beck

München

Florian Möslein und Sebastian Omlor 21-38 https://epub.uni-regensburg.de/id/eprint/38331 Gregor Dorfleitner Lars Hornuf Matthias Schmitt Martina Weber This study empirically investigates the factors driving the provision of mobile financial services (MFS) by microfinance institutions (MFIs). Using a worldwide data set on 999 MFIs and employing a probit regression, we find a positive relationship between the financial expenses of an institution and MFS adoption. Our results also show that the share of deposits is positively related to the probability of offering MFS. Moreover, larger institutions and MFIs of the bank type are more likely to adopt mobile technology in providing financial services. Furthermore, the depth of outreach is weakly positively related to the provision of MFS, suggesting that the social mission of MFIs is not impaired by the provision of MFS. article 2019 1544-6123,1544-6131 10.1016/j.frl.2018.12.002 Finance Research Letters 31 ACADEMIC PRESS INC ELSEVIER SCIENCE

SAN DIEGO

357-362 https://epub.uni-regensburg.de/id/eprint/38108 Gregor Dorfleitner Quynh-Anh Nguyen Michaela Röhe We investigate the financial performance of the most valuable brands as provided by the publicly available Interbrand list on an annual basis. By applying standard multi-factor performance evaluation models, and the new five-factor model of Fama and French (2015), we observe that the most valuable brands outperform the market during the overall period from 2000 to June 2018 as well as during different market conditions. However, the extent of the outperformance is much larger during bear than during normal periods, suggesting that the most valuable brands tend to perform better during weak financial market periods. Moreover, we find that the outperformance is driven by only a few industries, e.g., business services, technology and retail. Analyzing the financial performance of the most valuable brands provided by Forbes and BrandZ reveals similar results to those of Interbrand. article 2019 Heliyon 5 Elsevier e01433 4 https://epub.uni-regensburg.de/id/eprint/39791 Gregor Dorfleitner Felix Rößle Kathrin Lesser monograph 2018 https://epub.uni-regensburg.de/id/eprint/38330 Gregor Dorfleitner Lars Hornuf article 2018 1470-8272,1479-179X 10.1057/s41260-018-0093-8 Journal of Asset Management 19 Palgrave 472-494 https://epub.uni-regensburg.de/id/eprint/37773 Gregor Dorfleitner Carina Lung article 2018 Electronic Markets 28 Taylor & Francis 523-540 https://epub.uni-regensburg.de/id/eprint/37133 Gregor Dorfleitner Lars Hornuf Martina Weber monograph 2018 https://epub.uni-regensburg.de/id/eprint/37203 Gregor Dorfleitner Lars Hornuf article 2018 1573-7144,1380-6645 Review of Derivatives Research 21 Springer 175-199 https://epub.uni-regensburg.de/id/eprint/35818 Johannes Gerer Gregor Dorfleitner This paper presents new evidence on the implications of corporate social responsibility (CSR) on stock returns. By implementing a long-term focus as well as using subdivided measures for CSR, we cater to the intangible nature and the heterogeneity of CSR activities. We use a novel classification of these activities into nine areas, each belonging to one of the standard environment, social, and governance (ESG) dimensions. Using cross-sectional return regressions and buy-and-hold abnormal returns, we find that firms with strong CSR significantly outperform firms with weak CSR in the mid and long run in certain areas. Firm returns increase up to 3.8% with respect to a one-standard-deviation increase of the CSR rating. In a two-stage least squares (2SLS) approach we verify that the main economic channel for the appreciation of strong CSR stocks is unexpected additional cash flows. The results are relevant for assessing the efficiency of CSR, and have broader implications for asset managers who can expect abnormal returns by investing in firms that exhibit a high CSR in the respective scores and holding the stocks for a longer period. article 2018 2043-0809,2043-0795 Journal of Sustainable Finance and Investment 8 Taylor & Francis 132-157 https://epub.uni-regensburg.de/id/eprint/36310 Gregor Dorfleitner Sebastian Utz Maximilian Wimmer article 2018 1618-7601,1618-7598 European Journal of Health Economics 19 Springer Verlag 585-594 4 https://epub.uni-regensburg.de/id/eprint/35689 Gregor Dorfleitner Felix Rößle We analyze the returns of traders, i.e. signal providers, on social trading platforms and of investors following these traders by utilizing differently sophisticated investment strategies. It becomes evident that simply investing in those traders with the highest accumulated returns leads to high losses, while taking the Sharpe ratio into account improves the achieved returns. Positive returns, however, are only possible for sophisticated strategies that consider information on the risk of the signal providers' portfolios. Moreover, no strategy reveals a positive abnormal return after transaction costs in the sense of a Carhart four-factor model. Further, we analyze predictors of the weekly returns of the signal providers in a panel set-up. We find that highly active trading behavior is negatively related with the returns, while there is no wisdom-of-the-crowd effect, in the sense of a positive relationship of the number of followers or invested capital with the returns. article 2018 Quarterly Review of Economics and Finance 70 Elsevier 160-171 https://epub.uni-regensburg.de/id/eprint/37172 Gregor Dorfleitner Lukas Fischer Carina Lung Philipp Willmertinger Nico Stang Natalie Dietrich article 2018 1755-2842 (online),1465-1211 (print) Journal of Risk 20 Incisive Media 1-27 3 https://epub.uni-regensburg.de/id/eprint/35032 Gregor Dorfleitner Werner Gleißner article 2017 2 17 1062-9769 (online),1062-9769 (print) Quarterly Review of Economics and Finance 63 Elsevier 89-100 https://epub.uni-regensburg.de/id/eprint/33289 Gregor Dorfleitner Susann Just-Marx Christopher Priberny article 2017 Journal of Asset Management 18 Palgrave Macmillan 81-98 2 https://epub.uni-regensburg.de/id/eprint/34041 Gregor Dorfleitner Mai Nguyen book 2017 978-3-319-54665-0 (Print), 978-3-319-54666-7 (Online) 10.1007/978-3-319-54666-7 Springer

Cham (Switzerland)

https://epub.uni-regensburg.de/id/eprint/35692 Gregor Dorfleitner Lars Hornuf Matthias Schmitt Martina Weber In recent years, online invoice trading has gained importance in providing SMEs with short-term financing. In this paper, we present first empirical evidence concerning the question whether the risk of payment difficulties is appropriately reflected in the pricing variables. To this end, we investigate predictors of default of online invoice trading platforms. We analyze both the probability of default and the loss rate and find that the interest rate, the duration and the percentage funded have good predictive power. Furthermore, we show that the pricing mechanism (auction vs. fixed prices) helps to explain defaults on online invoice trading platforms. (C) 2017 Elsevier B.V. All rights reserved. article 2017 0165-1765,1873-7374 10.1016/j.econlet.2017.09.020 Economics Letters 161 ELSEVIER SCIENCE SA

LAUSANNE

56-61 https://epub.uni-regensburg.de/id/eprint/36206 Gregor Dorfleitner Jacqueline Rad Martina Weber The attraction of funding is a major challenge for microfinance institutions (MFIs), especially for those organizations that are not permitted to collect deposits. In this study, we analyze the access of MFIs to debt capital from microfinance investment vehicles (MIVs). Using a data set on over 5000 MIV transactions, we examine the link between an MFI’s access to MIV funding and its maturity and performance. We identify a positive relation between debt capital from MIVs and the maturity of MFIs. Furthermore, MFIs with a solid financial performance in terms of portfolio quality exhibit better access. Our findings also suggest that MFIs maintaining their social mission experience easier access to funding from MIVs. article 2017 1062-9769 (online),1062-9769 (print) 10.1016/j.qref.2016.06.005 Quarterly Review of Economics and Finance 65 Elsevier 1-15 https://epub.uni-regensburg.de/id/eprint/33947 Gregor Dorfleitner Michaela Röhe Noémie Renier We empirically study social failures of microfinance institutions (MFIs). Besides various measures for the financial performance and outreach, we consider the relationship between several institutional variables and social failure. Regarding the relationship with the financial performance, we identify MFIs with good portfolio quality as being less prone to social failure. Also, MFIs with better measures for the quality of outreach appear to be less likely to fail socially. Finally, MFIs with a higher fraction of donations and regulated institutions exhibit a lower probability of social failure, while fast growing MFIs appear to show a positive correlation. (C) 2017 Elsevier Inc. All rights reserved. article 2017 1544-6123,1544-6131 10.1016/j.frl.2016.12.027 Finance Research Letters 22 ACADEMIC PRESS INC ELSEVIER SCIENCE

SAN DIEGO

81-89 https://epub.uni-regensburg.de/id/eprint/39312 Gregor Dorfleitner Christopher Priberny Michaela Röhe article 2017 Corporate Finance 8 Handelsblatt Fachmedien 358-363 11-12 https://epub.uni-regensburg.de/id/eprint/37201 Gregor Dorfleitner Jacqueline Rad We examine the influence of soft factors on the probability of successful funding and on the default probability in peer-to-peer lending for two leading European platforms. Soft factors such as orthography, the share of non-mandatory information items provided and the mentioning of certain social keywords are derived from the loan applications. We find that soft factors do have a significant influence on the funding probability on the less restrictive of both platforms, which even accepts applications without credit scores. This platform shows a better risk-return profile. Moreover, soft factors do not clearly determine the default probability peer-to-peer lending. article 2016 3 01 Journal of Banking and Finance 64 Elsevier 169-187 https://epub.uni-regensburg.de/id/eprint/32875 Gregor Dorfleitner Christopher Priberny Stephanie Schuster Johannes Stoiber Martina Weber Ivan de Castro Julia Kammler article 2016 1793-6322 (online),0219-0249 (print) International Journal of Theoretical & Applied Finance 19 World Scientific Publishing 1650037/1-1650037/17 6 https://epub.uni-regensburg.de/id/eprint/33790 Johannes Gerer Gregor Dorfleitner monograph 2016

Berlin

https://epub.uni-regensburg.de/id/eprint/34887 Gregor Dorfleitner Lars Hornuf Matthias Schmitt Martina Weber article 2016 1058-3300 (online),1058-3300 (print) Review of Financial Economics 30 Elsevier 45-59 https://epub.uni-regensburg.de/id/eprint/33823 Gregor Dorfleitner Eva-Maria Oswald In this study, conducted on behalf of the Federal Ministry of Finance, we provide the first comprehensive analysis of the German FinTech industry. We quantify the market volume of the industry between 2007 and 2015. On the basis of this data, we also predict the future development of eight segments of the FinTech market, offering detailed forecasts for the years 2020, 2025, and 2035. Moreover, we provide a comprehensive overview of current trends and the drivers of growth that have affected the FinTech industry in the past, as well as the factors that could spur and hinder growth within it in the future. monograph 2016

Regensburg

https://epub.uni-regensburg.de/id/eprint/34998 Gregor Dorfleitner Lars Hornuf Matthias Schmitt Martina Weber article 2016 2043-0809 (Online),2043-0795 (Print) Journal of Sustainable Finance and Investment 6 Taylor & Francis 1-14 https://epub.uni-regensburg.de/id/eprint/32874 Gregor Dorfleitner Gerhard Halbritter Mai Nguyen article 2016 1866-8658 (online),2198-3402 (print) Business Research (BuR) 9 Springer 1-25 https://epub.uni-regensburg.de/id/eprint/33220 Gregor Dorfleitner Mai Nguyen article 2015 10.1057/jam.2015.31 Journal of Asset Management 16 Palgrave Macmillan 450-466 https://epub.uni-regensburg.de/id/eprint/32419 Gregor Dorfleitner Gerhard Halbritter Mai Nguyen article 2015 Review of Financial Economics 26 Elsevier 25-35 https://epub.uni-regensburg.de/id/eprint/31526 Gerhard Halbritter Gregor Dorfleitner Crowdinvesting, also das Finden von vielen Eigenkapital-orientierten Kapitalgebern über eine Internet-basierte Plattform, ist eine relativ neue Möglichkeit für kleine Unternehmen, an Kapi-tal zu gelangen. Dieser Beitrag untersucht auf Basis erster Daten für den deutschen Markt die Konditionen, zu denen solche Finanzierungen für Unternehmen abgewickelt werden, und dis-kutiert die Eignung von Crowdinvesting zur Finanzierung von kleinen und mittleren Unter-nehmen. Es stellt sich heraus, dass derzeit nur sehr kleine Unternehmen per Crowdinvesting Kapital einsammeln, wobei die durchschnittliche Fundingsumme bei knapp 143.000 Euro und die durchschnittliche Anzahl an Investoren bei 238 liegt. article 2014 10 01 Die Betriebswirtschaft (DBW) 74 Schäffer-Poeschel 283-303 5 https://epub.uni-regensburg.de/id/eprint/30104 Gregor Dorfleitner Jonas Kapitz Maximilian Wimmer We empirically study the determinants of failures of microfinance institutions based on the CAMELS rating components and microfinance-specific measures by applying probit regression techniques. Our findings confirm the capital adequacy (C), the asset quality (A), the management capability (M), the earnings (E), and the sensitivity to market risk (S) as explaining factors of failures of microfinance institutions. Regarding microfinance-specific effects, there is a positive influence of the percentage of female borrowers on the likelihood of failure. Moreover, we find evidence that regulation, the presence of donations, and the rapid growth of an MFI affect the probability of failure. article 2014 8 21 Social Science Research Network : SSRN https://epub.uni-regensburg.de/id/eprint/28742 Gregor Dorfleitner Michaela Leidl Christopher Priberny article 2014 6 Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung 66 Handelsblatt 351-382 https://epub.uni-regensburg.de/id/eprint/29272 Gregor Dorfleitner Hilger Jahnes article 2014 10.1142/S0219024914500393 International Journal of Theoretical & Applied Finance 17 World Scientific Publishing

Regensburg

1450039/1-1450039/29 6 https://epub.uni-regensburg.de/id/eprint/24934 Gregor Dorfleitner Tamara Pfister The central aim of this paper is to analyze the main motives of investors in allocating their money socially responsibly. The study is based on primary data collected in a survey using an online questionnaire. We apply tests for continuous and categorical data and (ordered) logit models. In a multivariate analysis that investigates determinants of socially responsible investing, we find little influence of the demographic factors gender and investment volume and none of educational level. Furthermore, we show that the regions investors allocate their money to are significant as well as the preference towards the order of return, risk and liquidity. Moreover, there seems to be a gap between supply and demand of socially responsible investments. Additionally, there are indications that a very important inducement for socially responsible investing is the expectation of high financial performance. This study broadens the scope of the literature by providing novel empirical evidence for the German-speaking market. article 2014 Qualitative Research in Financial Markets 6 118-156 2 https://epub.uni-regensburg.de/id/eprint/25957 Gregor Dorfleitner Sebastian Utz article 2014 1 1863-6683 (Print),1863-6691 (Online) Review of Managerial Science 8 Springer 89-119 1 https://epub.uni-regensburg.de/id/eprint/26573 Gregor Dorfleitner Hilger Jahnes High microcredit interest rates cause fierce debates among practitioners, scholars and even the general public. To objectify these discussions this article investigates determinants of microcredit interest rates by using a worldwide data set of 712 microfinance institutions. We examine how cost factors, gender, regulation, lending methodology, and organizational type affect microcredit interest rates. Controlling for other microfinance- and country-specific factors, we identify the operating expenses as the main factor influencing microcredit interest rates. Furthermore, our findings show that microfinance institutions tend to subsidize interest rates charged with income from investments not related to their lending activities. article 2013 10 01 10.1080/09603107.2013.839860 Applied Financial Economics 23 Taylor & Francis 1579-1597 20 https://epub.uni-regensburg.de/id/eprint/28460 Gregor Dorfleitner Michaela Leidl Christopher Priberny Jacob von Mosch We develop a quantitative model for structured microfinance instruments, which are regarded as an important means for refinancing microfinance institutions. The quantitative credit risk model presented takes into account the peculiarities of microfinance institutions and can be used for pricing purposes and analyzing the risk inherence in different tranches of a structured microfinance investment vehicle. Additionally, we introduce an innovative pricing methodology that abstains from using the martingale probability measure. This approach is more appropriate for illiquid securitized debt of microfinance institutions. In a realistic application we check the robustness and demonstrate the advantages of the model presented. article 2013 2 28 10.1016/j.qref.2012.10.005 Quarterly Review of Economics and Finance 53 Elsevier 12-22 1 https://epub.uni-regensburg.de/id/eprint/13157 Gregor Dorfleitner Christopher Priberny We study the perception of risks in the funding of microfinance institutions. A survey addressed to microfinance institutions and their funding organizations reveals that several risk types, among them foreign exchange (FX) risk, are not considered to be as important as reported in the relevant literature. We obtain further insights into the FX risk management of microfinance actors and reveal that many FX risk mitigation strategies and hedging tools are rarely used in practice. article 2013 2 27 1925-4725,1925-4733 10.5539/jms.v3n2p68 Journal of Management and Sustainability 3 Canadian Center of Science and Education 68-78 2 https://epub.uni-regensburg.de/id/eprint/19650 Christopher Priberny Gregor Dorfleitner article 2013 1 Journal of Fixed Income 22 Institutional Investors 64-78 3 https://epub.uni-regensburg.de/id/eprint/26570 Gregor Dorfleitner Tamara Pfister article 2013 1 1863-6683,1863-6691 Review of Managerial Science 7 Springer 85-98 1 https://epub.uni-regensburg.de/id/eprint/22878 Günter Bamberg Gregor Dorfleitner article 2013 Journal of Small Business and Entrepreneurship 26 Tylor and Francis 169-181 2 https://epub.uni-regensburg.de/id/eprint/27206 Nadine Assunta Amon Gregor Dorfleitner The aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into safety first models for portfolio choice. We provide a foundation of the notion of sustainability in portfolio theory and establish a general model for generalized safety first portfolio management with probabilistic constraints and three specializations of it. Moreover, we prove theorems about conditions for unique optimal solutions and for the constraints of one model being more restrictive than those of another. In an empirical part, we calculate the costs of investing according to our approach in terms of less financial return. article 2012 8 10.1016/j.ejor.2012.02.034 European Journal of Operational Research 221 Elsevier 155-164 https://epub.uni-regensburg.de/id/eprint/19960 Gregor Dorfleitner Sebastian Utz article 2012 6 28 Journal of Fixed Income 22 Inst. Investor 7-24 1 https://epub.uni-regensburg.de/id/eprint/23815 Gregor Dorfleitner Matthias Fischer Marco Geidosch article 2012 Journal of Banking and Finance 36 Elsevier 2455-2472 https://epub.uni-regensburg.de/id/eprint/24267 Julia Belousova Gregor Dorfleitner This paper investigates the diversification contribution of several commodities to a portfolio of traditional assets from the perspective of a euro investor. The approach applied in our analysis has high informational content as it differentiates between the sources of the diversification benefits in a statistically significant way. The results indicate that the diversification contribution varies greatly amongst the different commodities. Industrial metals, agriculturals and livestock contribute to the reduction of risk, while energy and precious metals contribute to both the reduction of the level of risk and to the improvement of return. The differentiation between bull and bear markets reveals that investors can enhance the portfolio performance by changing exposure into individual commodities. Investors can benefit from the diversification gains through financial instruments as the diversification gains hold both in the sample of physical commodity and commodity futures. Overall, the results confirm that commodities are valuable investments from the perspective of diversification. (C) 2012 Elsevier B.V. All rights reserved. article 2012 10.1016/j.jbankfin.2012.05.003 Journal of Banking & Finance 36 ELSEVIER SCIENCE BV

AMSTERDAM

2455-2472 9 https://epub.uni-regensburg.de/id/eprint/63426 Julia Belousova Gregor Dorfleitner The aim of this paper is to expand the methodological spectrum of socially responsible investing by introducing stochastic sustainability returns into safety first models for portfolio choice. We provide a foundation of the notion of sustainability in portfolio theory and establish a general model for generalized safety first portfolio management with probabilistic constraints and three specifications of it. Moreover, we prove theorems about conditions for unique optimal solutions and for the constraints of one model being more restrictive than those of another. In an empirical part, we calculate the costs of investing according to our approach in terms of less financial return. (C) 2012 Elsevier B.V. All rights reserved. article 2012 0377-2217,1872-6860 10.1016/j.ejor.2012.02.034 European Journal of Operational Research 221 ELSEVIER SCIENCE BV

AMSTERDAM

155-164 1 https://epub.uni-regensburg.de/id/eprint/63456 Gregor Dorfleitner Sebastian Utz We complement the Markowitz portfolio theory by adding a social dimension. Every asset is assigned a social return, which is generally modeled as stochastic. We focus on the theoretical foundation and practical implications of portfolio choice with social returns. We apply the theoretical model to two different microfinance investments. First, we consider an investor who is risk-neutral in the social dimension and faces a small number of assets: an equity index, a bond index and a microfinance investment fund (MFIF). Second, we address the question of how MFIFs should allocate funds to microfinance institutions. article 2012 1470-8272,1479-179X Journal of Asset Management 13 Palgrave Macmillan 384-400 6 https://epub.uni-regensburg.de/id/eprint/25893 Gregor Dorfleitner Michaela Leidl Johannes Reeder article 2011 11 Blick in die Wissenschaft 24 Universitätsverlag Regensburg 41-46 https://epub.uni-regensburg.de/id/eprint/22590 Gregor Dorfleitner Michaela Leidl This paper considers the financial optimization problem of a firm with several sub-businesses striving for its optimal RORAC. An insightful example shows that the implementation of classical gradient capital allocation can be suboptimal if division managers are allowed to venture into all business whose marginal RORAC exceeds the firm's RORAC. The marginal RORAC requirements are refined by adding a risk correction term that takes into account the interdependencies of the risks of different lines of business. It is shown that under certain stationarity conditions this approach can guarantee that the optimal RORAC will eventually be achieved. (C) 2011 Elsevier B.V. All rights reserved. article 2011 8 30 10.1016/j.jbankfin.2011.04.001 Journal of Banking & Finance 35 ELSEVIER SCIENCE BV

AMSTERDAM

3001-3009 11 https://epub.uni-regensburg.de/id/eprint/11261 Arne Buch Gregor Dorfleitner Maximilian Wimmer article 2011 Quantitative Finance 11 Taylor & Francis 1729-1743 12 https://epub.uni-regensburg.de/id/eprint/13465 Gregor Dorfleitner Paul Schneider Tanja Veza The paper introduces a Black-Cox-type structural model for credit default swaps (CDS). The existing literature on structural CDS pricing is extended by allowing a general functional form for the default barrier specified without reference to asset volatilities, dividend yields or interest rates. We develop a fast and robust algorithm to compute survival probabilities numerically. An empirical application suggests that the market-implied barrier is stable over time, with a possibly hump-shaped term structure. The implied barrier can be used for computing survival probabilities consistent with objective expectations of asset evolution, for pricing under counterparty risk, and for determining optimal corporate bond covenants. article 2011 1469-7688,1469-7688 10.1080/14697688.2010.481633 Quantitative Finance 11 ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

ABINGDON

1729-1743 12 https://epub.uni-regensburg.de/id/eprint/65439 Gregor Dorfleitner Paul Schneider Tanja Veza book_section 2011 978-3-540-92224-7; ISBN-10: 3540922245 Mobilising Capital for Emerging Markets: What Can Structured Finance Contribute? Springer

Berlin

und 137-154 https://epub.uni-regensburg.de/id/eprint/14786 Gregor Dorfleitner Michaela Leidl Christopher Priberny This paper analyzes observed prices of US temperature futures at the Chicago Mercantile Exchange (CME). Results show that an index modeling approach without detrending captures the prices exceptionally well. Moreover, weather forecasts significantly influence prices up to 11 days ahead. It is shown that valuations of temperature futures relying on a model without detrending yield biased valuations by over-pricing winter contracts and underpricing summer contracts. Several trading strategies are devised to exploit the mispricing observed at the CME and to demonstrate that speculating on temperature futures can not only generate high overall returns, but also perform well on a risk-adjusted basis. (C) 2009 Elsevier B.V. All rights reserved. article 2010 6 01 0378-4266,1872-6372 10.1016/j.jbankfin.2009.12.004 Journal of Banking & Finance 34 ELSEVIER SCIENCE BV

AMSTERDAM

1360-1370 6 https://epub.uni-regensburg.de/id/eprint/9816 Gregor Dorfleitner Maximilian Wimmer article 2010 1 Die Betriebswirtschaft (DBW) 70 Schäffer-Poeschel 5-23 https://epub.uni-regensburg.de/id/eprint/9482 Gregor Dorfleitner Franziska Ilmberger Carmen Meyer-Scharenberg article 2009 2 10 Global Finance Journal 19 Elsevier 268-285 https://epub.uni-regensburg.de/id/eprint/5770 Gregor Dorfleitner Christian Klein book_section 2009 Monetary Growth: Trends, Impacts and Policies Nova Science Publishers

New York

William N. Squires und Charles P. Burdock 151-159 https://epub.uni-regensburg.de/id/eprint/16813 Gregor Dorfleitner Christian Klein Dennis Kundisch book 2008 9 978-3-639-06852-8 VDM Verlag

Saarbrücken

https://epub.uni-regensburg.de/id/eprint/5765 Michaela Leidl Gregor Dorfleitner article 2008 Insurance: Mathematics & economics 42 North Holland Publ. Co. 235-242 1 https://epub.uni-regensburg.de/id/eprint/3801 Gregor Dorfleitner Arne Buch article 2008 Quantitative Finance 8 Inst. of Physics Publ. 119-133 2 https://epub.uni-regensburg.de/id/eprint/3802 Gregor Dorfleitner Paul Schneider Kurt Hawlitschek Arne Buch This article analyses the initial public offering (IPO) underpricing issue of 237 new A-shares from 2002 to 2004, shortly before the IPO suspension in the Chinese domestic market. The data set comes out with an initial return mean of 88.67%, an average market-adjusted initial return of 89.61% and an average market-adjusted log-return of 59.18%, which are significantly lower than the results of former empirical studies. This downward trend of IPO returns reinforces the explanation that a transition economy reduces its cheap state assets sell-off in line with the maturing of its capital market. Based on the results of correlation and regression analysis, we ascertain that the IPO underpricing is overwhelmingly caused by the excess demand and the generally positive sentiment in China's secondary/after-IPO market for new shares, resulting in high trading turnover on the first listing day. This is strengthened by the finding that more initial returns could be generated on the SHSE than on the SZSE, as a result of strong public interest in blue chip IPOs on the SHSE. article 2008 1 10.1080/09603100601007172 Applied financial economics 18 Routledge 9-22 1 https://epub.uni-regensburg.de/id/eprint/3803 Haini Deng Gregor Dorfleitner article 2007 Zeitschrift für Betriebswirtschaft 77 Gabler/GWV-Fachverlag 141-170 2 https://epub.uni-regensburg.de/id/eprint/3804 Arne Buch Gregor Dorfleitner article 2007 Review of managerial science 1 Springer 47-63 1 https://epub.uni-regensburg.de/id/eprint/3808 Michael Krapp Gregor Dorfleitner book_section 2006 978-3-540-27691-3; 3-540-27691-2 Kapitalmarkt, Unternehmensfinanzierung und rationale Entscheidungen: Festschrift für Jochen Wilhelm Springer

Berlin

Wolfgang Kürsten und Bernhard Nietert 4-14 https://epub.uni-regensburg.de/id/eprint/4079 Gregor Dorfleitner Günter Bamberg Michael Krapp article 2006 Zeitschrift für Betriebswirtschaft 76 Gabler/GWV-Fachverlag 287-307 3 https://epub.uni-regensburg.de/id/eprint/3805 Gregor Dorfleitner Günter Bamberg Michael Krapp This paper investigates empirically smoothing-out ratios and average holding periods of different Eurex futures such as the Euro-Bund, the DAX, the DJ Euro STOXX 50 future and others from 1999 to 2002. A methodology that only needs daily volume and open interest data is presented (including an innovative open interest correction algorithm). It can be shown that average holding periods decrease over time in most of the examined futures. Other interesting results are the June contract phenomenon in the DAX future and a 09/11 effect in several Eurex futures. article 2004 11 10.1080/0960310042000280456 Applied financial economics 14 Routledge 1269-1279 17 https://epub.uni-regensburg.de/id/eprint/3809 Gregor Dorfleitner article 2004 10 Wirtschaftswissenschaftliches Studium: WiSt 33 Vahlen 582-589 10 https://epub.uni-regensburg.de/id/eprint/3810 Christian Klein Gregor Dorfleitner Die Aufteilung des Risikokapitals einer Versicherungsunternehmung auf kleinere Einheiten (Segmente, Geschäftsbereiche, Abteilungen etc.) ist sowohl für eine risikoadjustierte Performance-Messung als auch für strategische Entscheidungen über die Expansion bzw. Reduktion von Segmenten von großer Bedeutung. Verwendet man eine plausible Marginalbetrachtung und legt man die Semivarianz als Risikomaß zu Grunde, erfolgt die verursachungsgerechte Allokation gemäß dem Co-Semivarianz-Prinzip. Dieses Resultat wird hergeleitet und anhand von Beispielen illustriert. book_section 2004 3-540-22063-1; 978-3-540-22063-3; 978-3-540-26943-4 10.1007/3-540-26943-6_19 Versicherungen im Umbruch: Werte schaffen, Risiken managen, Kunden gewinnen Springer

Berlin

Klaus Spremann und Günter Bamberg 399-415 https://epub.uni-regensburg.de/id/eprint/4080 Gregor Dorfleitner Günter Bamberg Holger Glaab Risikobehaftete Zahlungsströme sind nicht nur durch die (Marginal-)Verteilungen der Perioden-Cash-flows, sondern auch durch intertemporale Abhängigkeiten gekennzeichnet. Für einige individualistische Bewertungsansätze sowie für viele „Praktikerregeln” sind letztere irrelevant. Für andere Bewertungsmethoden wie z. B. das in der Risikoanalyse benutzte Sicherheitsäquivalent des stochastischen Kapitalwerts, sind intertemporale Abhängigkeiten dagegen von Bedeutung. In der Arbeit wird u. a. geklärt, wann der Kapitalwert als Argument einer Einperioden-Nutzenfunktion verwendet werden darf. Ferner werden als marktorientierte Bewertungsverfahren die exakte Duplizierung, die relaxierte Duplizierung und CAPM-basierte Ansätze in verschiedenen Varianten diskutiert. Intertemporale Abhängigkeiten sind hierbei zumeist irrelevant. article 2004 0340-5370,0006-002x Betriebswirtschaftliche Forschung und Praxis 56 Verl. Neue Wirtschaftsbriefe 101-118 2 https://epub.uni-regensburg.de/id/eprint/3811 Michael Krapp Gregor Dorfleitner Günter Bamberg Returns can be defined as log returns or as simple returns. Whereas on a numerical level the difference between these two terms is small as long as the return values are close to zero, there can be non-negligible differences if we look at expected values and (co)variances in a stochastic context. This paper examines the consequences of mixing up the two return terms when variances and convariances are considered. Three applications show that these consequences can be severe in the sense of suboptimal portfolio selection or invalid betas. The paper argues that more awareness of the suited return term is necessary. article 2003 2 International Journal of Theoretical & Applied Finance 6 World Scientific 73-86 1 https://epub.uni-regensburg.de/id/eprint/3812 Gregor Dorfleitner book_section 2003 3-211-40756-1 Planning based on decision theory 472 Springer

Wien

Giacomo Della Riccia Didier Dubois Rudolf Kruse und Hans-J. Lenz 155-163 https://epub.uni-regensburg.de/id/eprint/4081 Gregor Dorfleitner Günter Bamberg book_section 2003 3-7910-2083-8 Finanzwirtschaft, Kapitalmarkt und Banken: Festschrift für Manfred Steiner zum 60. Geburtstag Schäffer-Poeschel

Stuttgart

Andreas Rathgeber Hermann-Josef Tebroke und Martin Wallmeier 241-254 https://epub.uni-regensburg.de/id/eprint/4082 Gregor Dorfleitner Günter Bamberg article 2002 12 1555-4961,1555-497X 10.1007/s11408-002-0405-2 Financial Markets and Portfolio Management 16 Springer 497-521 4 https://epub.uni-regensburg.de/id/eprint/4067 Gregor Dorfleitner Christian Klein article 2002 8 Zeitschrift für Betriebswirtschaft 72 Gabler/GWV-Fachverlag 865-873 8 https://epub.uni-regensburg.de/id/eprint/3806 Günter Bamberg Gregor Dorfleitner article 2002 Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung 54 Verl.-Gruppe Handelsblatt 460-477 https://epub.uni-regensburg.de/id/eprint/4066 Klaus Röder Gregor Dorfleitner article 2002 0023-4591,1865-5734 10.3790/ccm.35.2.216 Kredit und Kapital 35 Duncker & Humblot 216-241 2 https://epub.uni-regensburg.de/id/eprint/59683 Gregor Dorfleitner article 2002 3-7754-0187-3 German financial markets and institutions: selected studies Schmalenbach business review: Special Issue 1 Verl.-Gruppe Handelsblatt

Düsseldorf

und 191-203 https://epub.uni-regensburg.de/id/eprint/4065 Gregor Dorfleitner Günter Bamberg Describes a stochastic model developed to explain how the early unwinding propensity of market participants in the financial futures markets can lead to a strong concentration of the trading volume on the nearby contract. Closing behavior of the market participants captured in three distribution functions. article 2000 Journal of Economics and Finance 24 Springer 246-259 3 https://epub.uni-regensburg.de/id/eprint/4071 Gregor Dorfleitner Günter Bamberg Um einen Aktienindex exakt nachzubilden, muß man die Gewichtungsfaktoren des Indexes mit dem gewünschten Index-Vielfachen multiplizieren und erhält so die Anzahlen der jeweils zu haltenden Aktien. Rundet man diese Anzahlen auf herkömmliche Art, so weicht man vom gewünschten Nachbildungsergebnis häufig weiter als nötig ab. In dieser Arbeit wird ein leicht zu implementierender Algorithmus vorgestellt, der dieses Problem auf Basis einer Multiplikator-Rundungsmethode löst. Als konkretes Anwendungsbeispiel wird gezeigt, wie man dieses Verfahren beim Nachbilden des Deutschen Aktien-Indexes (DAX) anwenden kann. Dabei finden auch im Xetra-Handel übliche Stückzahlrestriktionen Berücksichtigung. Der Algorithmus reduziert den Nachbildungsfehler und damit auch den daraus resultierenden Tracking-Error auf einen Bruchteil des Wertes, den man bei herkömmlicher Rundung erhält. article 1999 10 0171-6468,1436-6304 10.1007/s002910050100 OR Spectrum 21 Springer 493-502 4 https://epub.uni-regensburg.de/id/eprint/4073 Gregor Dorfleitner Die meisten Index-Futures-Positionen werden nicht bis Ablauf gehalten, sondern vorzeitig glattgestellt, etwa mittels eines Limitauftrags. Diese Vorgehensweise wird in der vorliegenden Arbeit auf ihre Vorteilhaftigkeit hin untersucht. Dabei wird der Verlauf des Futures-Kurses als geometrische Brownsche Bewegung mit Drift modelliert, wodurch interessierende Größen wie die Erfolgswahrscheinlichkeit oder der Erwartungswert der Limit-Strategie durch Rückgriff auf Erkenntnisse aus der Theorie stochastischer Prozesse berechenbar werden. Da bei schlichter Erwartungswert- bzw. Nutzenerwartungswertmaximierung der Limitauftrag nur in Spezialfällen als günstig gelten kann, wird die Erwartungswertmaximierung auch unter einer Value-at-Risk-Restriktion durchgeführt. Dabei ergeben sich interessante Hinweise zur Gestaltung des Limitauftrages. Eine Übertragung der Resultate auf andere Assets, deren kumulierte Rendite durch eine geometrische Brownsche Bewegung approximiert werden kann, ist generell möglich. article 1999 2 0171-6468,1436-6304 10.1007/s002910050088 OR Spectrum 21 Springer 239-257 1-2 https://epub.uni-regensburg.de/id/eprint/4072 Gregor Dorfleitner Günter Bamberg book_section 1999 3-540-65855-6 Classification in the information age: proceedings of the 22nd Annual GfKl Conference, Dresden, March 4 - 6, 1998 Springer

Berlin

Wolfgang Gaul und Hermann Locarek-Junge 100-114 https://epub.uni-regensburg.de/id/eprint/4083 Gregor Dorfleitner Günter Bamberg Rainer Lasch article 1999 0932-5026,1613-9798 Statistical Papers (formerly: Statistische Hefte) 40 Springer 143-157 https://epub.uni-regensburg.de/id/eprint/4074 Gregor Dorfleitner Thomas Klein book 1999 3-89012-669-3 97 Eul

Lohmar

https://epub.uni-regensburg.de/id/eprint/3800 Gregor Dorfleitner article 1998 0932-5026,1613-9798 Statistical Papers (formerly: Statistische Hefte) 39 Springer 313-319 https://epub.uni-regensburg.de/id/eprint/4075 Gregor Dorfleitner article 1998 Zeitschrift für Betriebswirtschaft Erg.heft Gabler/GWV-Fachverlag 55-74 2 https://epub.uni-regensburg.de/id/eprint/3807 Günter Bamberg Gregor Dorfleitner article 1998 0023-4591,1865-5734 10.3790/ccm.31.4.592 Kredit und Kapital 31 Duncker & Humblot 592-612 4 https://epub.uni-regensburg.de/id/eprint/59685 Gregor Dorfleitner Klaus Röder book_section 1998 3-7908-1116-5 Econometrics in theory and practice: Festschrift for Hans Schneeweiß Physica-Verlag

Heidelberg

Robert Galata und Helmut Küchenhoff 175-187 https://epub.uni-regensburg.de/id/eprint/8467 Klaus Röder Günter Bamberg Gregor Dorfleitner article 1997 UniPress Pressestelle der Universität Augsburg 32-35 1 https://epub.uni-regensburg.de/id/eprint/4076 Gregor Dorfleitner Magdalena Miskolczi article 1996 The mathematical intelligencer 18 Springer 48-51 https://epub.uni-regensburg.de/id/eprint/4078 Gregor Dorfleitner Thomas Klein