Juliane Proelss

Concordia University Montreal · Department of Finance

Much of the media focus surrounding Bitcoin (BTC) has been on the ‘E’ (environmental) element of the ESG investing approach. Given the amount of electricity consumed by BTC mining, and the resulting large carbon emissions, BTC has faced substantial criticism of its overly negative environmental impact, which is critically reviewed in this article....

This paper analyzes the funding advantage of green bonds and the determinants of what is referred to as the “greenium” (the “green” premium). To this end, we first separate the greenium from a simultaneously prevailing liquidity premium in empirical yield spreads. For green German government bonds, we determine a greenium of 68.0 to 81.2 basis poin...

This paper is the first comprehensive empirical study on the economics of health crowdfunding (HCF) campaigns. We develop a new theoretical framework that focuses on the channels Donor-Patient-Psychology and Donor-Donor-Psychology to examine campaign funding speed. Our data highlight that, on average, campaign funding goals are achieved more rapidl...

We compare the suitability of short-memory models (ARMA), long-memory models (ARFIMA), and a GARCH model to describe the volatility of rare earth elements (REEs). We find strong support for the existence of long-memory effects. A simple long-memory ARFIMA(0,d,0) baseline model shows generally superior accuracy both in- and out-of-sample, and is rob...

In this paper, we show that momentum patterns in equity returns can arise even in a parsimonious model with rational investors having symmetric information. The special feature of our model is that investors obtain a signal before observing the true asset payoff. A more favorable signal, however, impacts both the standard deviation of the return an...

Research summary This study analyzes whether and how the disruption of top management turnovers can affect not only turnover firms but also their intra‐industry rivals. It thus adds to the literature on both leader life cycles and competitive dynamics. Using a U.S. sample of 857 CEO turnovers, we find a period of relative stagnation for announcing...

We examine the effects of a specific Chinese governmental policy change, and assess how it has impacted firm innovation. To address potential endogeneity concerns, we use the policy change as a quasi-natural experiment, and explain the exogenously caused variations. We also use a “difference-in-differences” approach to compare innovative activities...

In this paper, we show that momentum patterns in equity returns can arise even in a parsimonious model with rational investors having symmetric information. The special feature of our model is that investors obtain a signal before observing the true asset payoff. A more favorable signal, however, impacts both the standard deviation of the return an...

This paper is the first comprehensive empirical study on the economics of health crowdfunding (HCF) campaigns. We examine donor characteristics, in particular whether they make purely altruistic contributions, or whether they follow certain preference patterns. Our data highlights that, on average, campaign funding goals are achieved more rapidly i...

Rare earth elements (REEs) have gained increasing attention recently for several key reasons: 1) they are vital to many strategic industries, 2) they are relatively scarce, 3) they frequently exhibit high price fluctuations, 4) China holds a quasi-monopoly on their mining, and 5) China's REE policy, which was overly restrictive and led to a formal...

This paper presents a first empirical examination of all available German mini-bond offerings between 2010 and 2015. We compare the default probability according to a mini-bond’s initial rating with that implied by credit risk models, and show that rating agencies can create rating inflation by issuing overly favorable ratings. This creates a favor...

For a long time, China was viewed as the world’s “workbench,” rather than as a global innovator. However, recently, China undertook significant efforts to transform towards a research and innovation orientation, by, e.g., setting research goals in its 12th Five-Year Plan that established a Chinese National Patent Development Strategy. In this paper...

Rare earth elements (REEs) have gained increasing attention recently for several key reasons: 1) they are vital to many strategic industries, 2) they are relatively scarce, 3) they frequently exhibit high price fluctuations, 4) China holds a quasi-monopoly on their mining, and 5) China’s REE policy, which was overly restrictive and led to a fo...

We compare the suitability of short-memory (ARMA models), long-memory (ARFIMA models), and a GARCH model to describe the volatility of rare earth elements (REEs). We find strong support for the existence of long-memory effects. A simple long-memory ARFIMA(0,d,0) base model shows generally superior accuracy both in- and out-of-sample, and is robust...

Rare-earth elements (REEs) gained increasing attention, because they play a vital to strategic industries and China holds a quasi-monopoly on their mining. China’s REE policy, which was overly restrictive and led to a formal complaint at the WTO. We investigate whether the announcement of a WTO dispute resolution case can influence governmental cha...

Rare earth elements (REEs) have gained increasing attention recently for several key reasons: 1) they are vital to many strategic industries, 2) they are relatively scarce, 3) they frequently exhibit high price fluctuations, 4) China holds a quasi-monopoly on their mining, and 5) China’s REE policy, which was overly restrictive and led to a formal...

Hidden Champions or Black Sheep? The Role of Underpricing in the German Mini-Bond Market

This paper presents a first empirical examination of all available German mini-bond offerings between 2010 and 2015. We compare the default probability according to a mini-bond’s initial rating with that implied by credit risk models, and show that rating agencies can create rating inflation by issuing overly favorable ratings. This creates a favor...

We compare the suitability of short-memory (ARMA models), long-memory (ARFIMA models), and a GARCH model to describe the volatility of rare earth elements (REEs). We find strong support for the existence of long-memory effects. A simple long-memory ARFIMA(0,

This paper presents a first empirical examination of all available German mini-bond offerings between 2010 and 2015. We compare the default probability according to a mini-bond’s initial rating with that implied by credit risk models, and show that rating agencies can create ratings inflation by issuing overly favorable ratings. This creates a “win...

This paper presents a first empirical examination of all available German mini-bond offerings between 2010 and 2015. We compare the default probability according to a mini-bond’s initial rating with that implied by credit risk models, and show that rating agencies can create ratings inflation by issuing overly favorable ratings. This creates a “win...

The world of portfolio management has expanded greatly over the past three decades, and along with it, so have the theoretical tools necessary to appropriately service the needs of both private wealth and institutional clients. While the foundations of modern finance emerged during the 1950s and asset pricing models were developed in a portfolio co...

What to Look Out ForExposure to CommoditiesDeriving Efficient Commodity PortfoliosTechnical Implementation of the Mean-CVaR ApproachThe Efficient Frontier of Commodity PortfoliosConclusion

In this paper, we analyze whether model risk/asset-specific ambiguity is an issue for institutional investors. For this purpose, we first show how model risk (which turns out to be equivalent to special cases of ambiguity) affects optimal portfolio allocation. Using average portfolio holdings for traditional and alternative asset classes of 119 ins...

In light of the current subprime and financial crises, retirement planning has gained in importance. Many U.S. households have had to reevaluate their assets and their retirement plans (if they even had plans). Most U.S. households, however, find it difficult to assess their retirements and the attendant risks properly. Households that have noticed...

Polynomial goal programming (PGP) has been successfully introduced in the hedge fund allocation literature. The method is intuitive, and flexible enough to incorporate investor preferences in higher moments of the return distribution. However, until now, PGP could not be used to its full effectiveness because it requires quantification of "real" pr...