Universität zu Köln

Brunen, Ann-Christine (2021). Essays on Investor Preferences. PhD thesis, Universität zu Köln.

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Abstract

Investor preferences have been relocating, bringing portfolio risk further to the fore and sustainability newly supervening the risk-return trade-off postulated by standard portfolio theory. This cumulative thesis comprises three essays dealing with these investor preferences. The first and second paper of this thesis attempt to provide a better understanding of the motives of sustainable retail investors. The first paper studies whether engagement in sustainable consumer behavior spills over to or substitutes sustainable investments. I observe inconsistent behavior, as investors' sustainability-conscious consumer habits negatively relate to their likelihood to invest in sustainable funds. This is in line with the theory of moral licensing according to which sustainable consumers are relieved from a guilty conscience about putting their investments' financial returns in the first place, whereas the remaining consumers seek moral balance through sustainable investments. The second paper uses a quasi-experimental design together with a survey to determine the relation between individuals' sustainability awareness in non-investment-related decision making and sustainable investment preferences. We find that awareness for sustainability that is detached from investment decisions positively relates to sustainable investment choices among the clients of robo advisors. The papers provide advice to practitioners that facilitates the development of sound marketing strategies for sustainable financial products, to help unlock more of the hidden retail investor potential for sustainable investments. The third paper in this thesis addresses the risk preferences of institutional private equity investors. It assesses whether the models commonly used in practice are adequate to capture private equity portfolio risk, as they assume well-diversified portfolios. A random portfolio selection procedure shows that the idiosyncratic portfolio risk in private equity is underestimated, even in large limited partner portfolios. Moreover, the results of a mixed-effects model indicate that limited partners differ regarding their ability to diversify their portfolio. Our results serve practitioners as they indicate that limited partners should include idiosyncratic portfolio risk to their reporting.

Item Type:	Thesis (PhD thesis)
Creators:	Creators Email ORCID ORCID Put Code Brunen, Ann-Christine UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-530507
Date:	11 June 2021
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Faculty of Management, Economics and Social Sciences > Business Administration > Finance > Professorship for Business Administration and Bank Management
Subjects:	Psychology Management and auxiliary services
Uncontrolled Keywords:	Keywords Language Retail investors English Sustainable investing English Mutual funds English Robo advisors English Moral licensing English Institutional investors English Private Equity English Portfolio risk English
Date of oral exam:	11 June 2021
Referee:	Name Academic Title Hartmann-Wendels, Thomas Univ.-Prof. Dr. Schradin, Heinrich Univ.-Prof. Dr.
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/53050