Thanks everyone, I just tried your solutions, but unfortunately I cannot get it to work with conda. I just created a gist containing the two CMakeLists I used, as well as the a file containing the example C++ code and a script how I set up my minimal testing environment (https://gist.github.com/frutti93/1052762023e24b8938e8a54948c6958e). 

It seems to be something with conda and cmake, somehow it is able to find the Arrow libs, but the FindParquet.cmake is not found by Cmake. Using FindParquet.cmake directly gives me the following output (After manually addinINCLUDE(FindPackageHandleStandardArgs):

-- Could NOT find Parquet (missing: Parquet_DIR)
-- Checking for module 'parquet'
--   Package 'parquet', required by 'virtual:world', not found
CMake Error at /home/sebastian/.conda/envs/testenv/share/cmake-3.18/Modules/FindPackageHandleStandardArgs.cmake:165 (message):
  Could NOT find Parquet (missing: PARQUET_INCLUDE_DIR PARQUET_LIB_DIR
  PARQUET_SO_VERSION)
Call Stack (most recent call first):
  /home/sebastian/.conda/envs/testenv/share/cmake-3.18/Modules/FindPackageHandleStandardArgs.cmake:458 (_FPHSA_FAILURE_MESSAGE)
  cmake/FindParquet.cmake:116 (find_package_handle_standard_args)
  CMakeLists.txt:27 (find_package)


-- Configuring incomplete, errors occurred!



However, what does work is finding the Parquet library using find_library and then link the libraries. But I guess this is not the "clean" way to do it...