Karl Weinmayer

Weinmayer, Karl
  • Assistant Professor
International Management

Short BIO

Dr. Karl Weinmayer is Assistant Professor of Finance at the Department of International Management at Modul University Vienna. Before coming to MU he held a position as teaching and research associate at the Department of Finance, Banking and Insurance at the Vienna University of Economics and Business where he graduated from his PhD in 2017. His current research is focused on Sustainable Finance and Asset Pricing. In these areas, amongst other things he is interested in questions related to asset management and portfolio optimization and his work has been published in the field of Operations Research, Financial Economics and Sustainability. He also has been teaching a number of finance courses in the BSc, MSc and MBA for the past 7 years. Furthermore, he has industry experience in the field of investment banking and he has been working as an external analyst in the areas of financial, banking and utility regulation. Since 2017, he is also the co-founder of the Vienna-based fintech company Fincredible GmbH developing digital solutions in the area of credit rating analysis.

Research

  • Sustainable Finance
  • Asset and Fund Management
  • Asset Pricing
  • CO2 markets
  • Cryptocurrencies and Blockchain

Projects

Karl Weinmayer, Marion Garaus, Udo Wagner

Article

The Impact of Corporate Sustainability Performance on Advertising Efficiency

Organisations
MODUL University Vienna, School of International Management
Date
2022, 4.2023
Managed By
MODUL University Vienna

Advertising efficiency is a key metric in marketing and over the years several
studies reported a significant waste of advertising budget, a finding which calls for
strategies to increase advertising efficiency. While some factors, such as brand ex-
tensions or an optimal marketing mix, have already been identified as relevant de-
terminants of advertising efficiency, changes in consumer psychographics have so far
been neglected. The current study fills this gap by investigating how the emerg-
ing awareness and demand for corporate sustainability serves as a contextual factor
leveraging or hindering advertising efficiency. Furthermore, we investigate how ad-
vertising efficiency changed across various sectors from 2010 to 2019. A two-step
procedure was applied to analyze the secondary data of 1,950 observations from 195
US firms in five sectors over a period of 10 years. The resulting time series of firm-
specic multi-directional efficiency scores confirms that advertising efficiency varies
over time, justifying the relevance of a dynamic perspective for analyzing advertising
efficiency. Furthermore, in support of our main claim, the investigation of the rela-
tionship between advertising efficiency and the environmental, social and governance
performance of firms over time using a time-fixed effects panel regression confirms the
significant impact of corporate sustainability performance on advertising efficiency.
The results not only emphasize the relevance of corporate sustainability performance
in increasing advertising efficiency, but also guide marketers on strategic marketing
decisions related to the allocation of advertising budget.


Karl Weinmayer, Margarethe Rammerstorfer, Julian Amon

Article

Environmental Portfolios

Organisations
MODUL University Vienna, School of International Management
Date
1.11.2021
Managed By
MODUL University Vienna


Karl Weinmayer, Stephan Gasser, Alexander Eisl

Paper

Caveat Emptor: Does Bitcoin Improve Portfolio Diversification?

Organisations
School of International Management
Date
2018
Managed By
MODUL University Vienna

Bitcoin is an unregulated digital currency originally introduced in 2008 without
legal tender status. Based on a decentralized peer-to-peer network to conrm transac-
tions and generate a limited amount of new bitcoins, it functions without the backing
of a central bank or any other monitoring authority. In recent years, Bitcoin has seen
increasing media coverage and trading volume, as well as major capital gains and
losses in a high volatility environment. Interestingly, an analysis of Bitcoin retur ns
shows remarkably low correlations with traditional investment assets such as other
currencies, stocks, bonds or commodities such as gold or oil. In this paper, we shed
light on the impact an investment in Bitcoin can have on an already well-diversied
investment portfolio. Due to the non-normal nature of Bitcoin returns, we do not
propose the classic mean-variance approach, but adopt a Conditional Value-at-Risk
framework, which is better suited to capture the risk involved with a Bitcoin invest-
ment and ensures coherence of the risk measure compared to other alternatives. Our
results indicate that Bitcoin should be included in optimal portfolios. Even though
an investment in Bitcoin increases the CVaR of a portfolio, this additional risk is
overcompensated by high returns leading to better return-risk ratios.


Karl Weinmayer

Chapter

Bitcoin and Investment Portfolios

Organisations
School of International Management
Date
2018
Managed By
MODUL University Vienna


Karl Weinmayer, Margarethe Rammerstorfer, Julian Amon

Article

Passive ESG Portfolio Managemernt

Organisations
MODUL University Vienna, School of International Management
Date
21.8.2021
Managed By
MODUL University Vienna


Karl Weinmayer, Margarethe Rammerstorfer

Chapter

Finanzierung und Impact Investments

Organisations
MODUL University Vienna, School of International Management
Date
2022
Managed By
MODUL University Vienna


Karl Weinmayer, Margarethe Rammerstorfer, Stephan Gasser

Article

Markowitz Revisited: Social Portfolio Engineering

Organisations
School of International Management
Date
1.5.2017
Managed By
MODUL University Vienna

In recent years socially responsible investing has become an increasingly more popular subject with both private and institutional investors. At the same time, a number of scientific papers have been published on socially responsible investments (SRIs), covering a broad range of topics, from what actually defines SRIs to the financial performance of SRI funds in contrast to non-SRI funds. In this paper, we revisit Markowitz’ Portfolio Selection Theory and propose a modification allowing to incorporate not only asset-specific return and risk expectations but also a social responsibility measure into the investment decision making process. Together with a risk-free asset, this results in a three-dimensional capital allocation plane that allows investors to custom-tailor their asset-allocations and incorporate all personal preferences regarding risk, return and social responsibility. We apply the model on a set of over 9000 international stocks and find that investors opting to maximize the social impact of their investments do indeed face a statistically significant decrease in expected returns. However, the social responsibility/risk-optimal portfolio yields a statistically significant higher social responsibility rating than the return/risk-optimal portfolio.


Karl Weinmayer, Silvia Bressan, Margarethe Rammerstorfer

Article

Internal Capital Markets and Bank Holding Company Efficiency

Organisations
School of International Management
Date
16.8.2020
Managed By
MODUL University Vienna

Bank holding companies and in particular its internal capital markets have been widely discussed in recent fnancial literature. Especially, the fnancial crisis brought the question for regulatory intervention in the fnancial markets anew. Empirical evidence suggests that bank holding companies have clear preferences for double leverage, which is not based on an unambiguous and explicit economic foundation. In this article, we analyze the effects of equity, debt and double leverage on the effciency of bank holding companies. We show that BHC effciency is negatively affected by equity fnancing from parent to subsidiaries and this effect is even more pronounced in case of double leveraging. Our findings indicate that further steps from regulators are necessary in order to prevent ineffcient fnancing via double leverage, which may be used to circumvent regulatory capital requirements.


Karl Weinmayer

Working paper

Stock Market Reactions and ESG disclosure in the Context of Negative ESG Events

Organisations
School of International Management
Date
2021
Managed By
MODUL University Vienna

This paper analyses stock market reactions after the occurrence of major negative corporate environmental, social or governance (ESG) events and the possibility of mitigating these effects through the upfront provision of ESG information in firms’ annual reports. For this purpose, we follow a three-step procedure. First, we analyse the major ESG-related events gathered from REPRisk® data via event study analysis. Herein, we cover a window of 2 to 21 days. Second, we collect all annual reports of the firms mentioned in the covered period over the entire time horizon and conduct a textual analysis to examine firms’ disclosure of ESG information. Finally, we draw conclusions from the two approaches and show that firms with more upfront ESG information are better protected against negative market reactions after the occurrence of a negative ESG event. Specifically, we show that for firms with more upfront ESG disclosure, the market reactions are more positive. Our results also confirm that such events leads to an adjustment of the subsequent year’s ESG disclosure in the annual reports.


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