University of Liechtenstein Researchers Win IWI's 2017 Academic Paper Competition

Posted by Allison Edmondson, Director of Communications

Aug 15, 2018 3:00:00 PM

Denver, CO — August 15, 2018  — Investments & Wealth Institute® (formerly IMCA®) named Lars Kaiser, Ph.D., assistant professor, and Florian Schaller, research assistant, University of Liechtenstein, winners of the 2017 Journal of Investment Consulting Academic Paper Competition for their submission, “Environmentally (Un-)Friendly Portfolio Construction.”

Their award-winning paper sheds light on a new type of sustainable investment approach, namely environmental, social, and governance (ESG) momentum, by providing both a theoretical discussion and empirical comparison of this new approach, as well as a perspective of how this approach compares to traditional weighting schemes considered by sustainable portfolio managers.

In their submission, the authors focused their research solely on the environmental aspect of ESG ratings in Europe and paid particular attention to carbon footprint as a central measure of a portfolio’s environmental friendliness. Although the empirical results demonstrated inferior environmental ratings for ESG-momentum portfolios and mixed results in respect to risk-adjusted returns across alternative rating components, the researchers found that there might still be a case for investing in sustainable momentum stocks.

“The research conducted by these two academicians demonstrated the highest level of excellence and relevancy for the investment management profession,” said Margaret M. Towle, Ph.D., editor-in-chief, Journal of Investment Consulting“By producing this work, they have added significantly to the body of knowledge on this subject.”

In recognition of their contribution, Kaiser and Schaller received a cash award of $5,000 and their paper will be published in the next issue of the Journal of Investment Consulting.

The annual Journal of Investment Consulting Academic Paper Competition (currently open to academics and doctoral students) examines research relevant to investment consulting and private wealth management. Papers must demonstrate the development of theory and applied research on the chosen topic. Topics may include: alternative investments, asset allocation, currency management, impact investing, investment due diligence, manager search and selection, modeling tail risk, monolithic and flash trading, performance measurement, portfolio construction, regime-switching models, risk management, retirement planning, small-cap investing, stress-testing investment portfolios, wealth management, or other relevant topics for investment professionals. The Journal of Investment Consulting Editorial Advisory Board selects the winning submission.


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