Bonuskritik

Bonuskritik und neue Nachhaltigkeitsforschung

Umwelt

Neue Klimaszenarien: Deutschland auf dem Weg zur Klimaneutralität 2045 – Szenarien und Pfade im Modellvergleich von Ariadne Kopernikus Projekte vom 11. Oktober 2021: „Die Klimaschutz-Ziele für 2030 und 2045 sind extrem herausfordernd und können nur mit massiven Investitionen, zusätzlichen politischen Maßnahmen und Infrastrukturaufbau in allen Sektoren erreicht werden … In den kostenoptimalen Zielszenarien erfolgt der Ausbau von Wind und Photovoltaik (PV) deutlich stärker und der Kohleausstieg deutlich früher als bislang vorgesehen: So können die Emissionen der Energiewirtschaft bis 2030 um etwa zwei Drittel gegenüber 2019 gesenkt werden (S. 4) … Das Ziel der Klimaneutralität ist ohne CO2 -Entnahmen nicht erreichbar … Infrastruktur: Die modellierten Mengen an Strom, Fernwärme, Wasserstoff sowie relevanten Kenngrößen für die Sektorkopplung wie E-Fahrzeuge und Wärmepumpen liegen über den Mengen, die in den aktuellen Infrastrukturplanungen vorgesehen sind (S. 5) … In den Zielszenarien besteht eine erhebliche Bandbreite bezüglich des jeweiligen Grads an direkter und indirekter Elektrifizierung der Endenergienachfrage sowie den daraus resultierenden Mengen an Strom, Wasserstoff und E-Fuels (S. 7).

Methanproblemlösungen: Curbing methane emissions – How five industries can counter a major climate threat von Sam DeFabrizio et al. McKinsey vom 23. September 2021: “Methane emissions from human activities .. represent the second-largest contributor to global warming after carbon dioxide, … have risen by around 25 percent in the past 20 years, in sharp contrast to the 2 percent annual decline required to meet the objectives of the Paris Agreement on climate change. According to our analysis, five industries could take actions that would have a significant impact on methane emissions, reducing annual methane emissions by 20 percent by 2030 and by 46 percent by 2050. This impact could be achieved largely with established technologies and at a reasonable cost: 90 percent of these reductions could come at a cost of less than $25 per metric ton of carbon dioxide equivalent (tCO₂e) … agriculture, oil and gas, coal mining, solid waste management, and wastewater management. The report provides a perspective on the mitigation potential, cost, and impacts of current methane abatement technologies” (S. 1).

Mehr Benzin durch Homeoffice? Does Telecommuting Reduce Commuting Emissions? Von Waldemar Marz und Suphi Sen vom 20. Oktober (#10): “The profound change in urban mobility patterns supports the often-held view that reducing the number of commuting trips can lower carbon emissions to a certain degree. We investigate this optimistic view from a long-run perspective in a monocentric urban model with household-level vehicle choice based on fuel efficiency. In the medium run, fewer trips lead to the choice of less fuel-efficient vehicles. In addition, with lower annual driving costs to the city center, households change their location in the long run toward longer commuting trips, but cheaper housing, implying an adjustment in the real-estate market. These changes in vehicle choice and the urban form largely eliminate the initial environmental benefits. Binding fuel economy standards completely prevent the medium-run drop in fuel efficiency, but slightly exacerbate the long-term increase in commuting trip length (abstract).

Grüne Technikpolitik: Demand or supply? An empirical exploration of the effects of climate change on the macroeconomy von Matteo Ciccarelli und Fulvia Marotta vom 15. Okober 2021 (#14): “The paper shows that climate changes and policies to counteract them have a significant albeit not sizeable effect on the macroeconomy over a horizon between 2 and 8 years. In particular, the data of this analysis robustly support the view that the impact on output and prices of physical risks is overall negative whereas the final impact of policies and technology is positive on prices and negative on output. Therefore, physical risks are associated with demand-type of shocks while transition policies and technological improvement are more consistent with supply adjustments. … in countries that have adopted a carbon tax and recycle its revenues, as well as in countries that have been adapting their institutions or are less vulnerable to climate or general risks, the disruptive effects of climate change and of the introduction of new policies or technologies to mitigate them are much more contained. … green technological development that is not supported by the right policy mix may result in market failures that have different sizes for different countries with heterogeneous consequences on the phases and duration of their respective cycles” (S. 44/45).

Ölpreisprognoseprobleme: The Illusion of Oil Return Predictability: The Choice of Data Matters! Von Thomas Conlon, John Cottera und Emmanuel Eyiah-Donkor vom 13. Oktober 2021 (#70): “Previous studies document statistically significant evidence of crude oil return predictability by several forecasting variables. We suggest that this evidence is misleading and follows from the common use of within-month averages of daily oil prices in calculating returns used in predictive regressions. Averaging introduces a bias in the estimates of the first-order autocorrelation coefficient and variance of returns. Consequently, estimates of regression coefficients are inefficient and associated t-statistics are overstated, leading to false inference about the true extent of return predictability. On the contrary, using end-of-month data, we do not find convincing evidence for the predictability of oil returns. Our results highlight and provide a cautionary tale on how the choice of data could influence hypothesis testing for return predictability” (abstract). Mein Kommentar: Investmentphilosophie: Prognosefans sollten prognosefreie Portfolios nutzen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

CO-2 Steuer wirkt: Effects of Carbon Pricing and Other Climate Policies on CO2 Emissions von Emanuel Kohlscheen, Richhild Moessner und Előd Takáts vom 18. Oktober 2021 (#36): “… an increase in carbon taxes by $10/tCO2 reduces CO2 emissions per capita by 1.3% in the short run and by 4.6% in the long run. … The same increase in the prices of ETS (Emission Trading Systems) permits reduces CO2 emissions per capita by 1.4% in the short run and 5.0% in the long run, although this effect is found to be less robust to alternative specifications” (S. 12/13).

Bildungseffekte von C02: Education Quality, Green Technology, and the Economic Impact of Carbon Pricing von Kevin Macdonald und Harry Anthony Patrinos vom 18. Oktober 2021 (#5): “The findings show that, within countries, cognitive skills are positively associated with employment in industries that rely less on emissions for production and in industries that, over time, have been able to reduce their reliance on emissions for production. In the estimated general equilibrium model, higher cognitive skills reduce an economy’s reliance on emissions for production. Having higher quality education—defined as the level of cognitive skills attained by workers per unit of cost—increases the elasticity of skill supply and, as a result, mitigates a carbon tax’s economic costs including output loss and wage inequity, and enhances its effect on emissions reduction” (abstract).

Bonuskritik: Soziales

Profitable Mitarbeiterzufriedenheit: Employee Satisfaction and Long-run Stock Returns 1984-2020 von Hamid Boustanifar und Young Dae Kang vom 22. Oktober 2021 (#967): “… Edmans (2011) shows that a portfolio of the “100 Best Companies to Work For in America” (BCs) earns a positive and significant Carhart four-factor alpha. More than one decade later, we ask whether this result (a) holds out-of-sample, and (b) is robust to controlling for newly discovered factors and characteristics. We find that up to 22% of the BC portfolio’s Carhart alpha could be attributed to exposures to more recently discovered factors such as investment, profitability, and quality. Nevertheless, using the most sophisticated factor models (Fama-French 6-factor, q4-factor, q5-factor, and AQR 6-factor models) and a sample from the period 1984 to 2020, the BC portfolio earns an abnormal return of 2% to 2.7% per year. … The estimated alphas are positive in almost all periods within our sample (with no upward or downward trend) and are particularly large in “bad” times such as in the crisis periods of 2000-2002 and 2008- 2009” (abstract).

Geringeres Nachhaltigkeitsgehalt: The Sustainability Wage Gap von Philipp Krueger, Daniel Metzger und Jiaxin Wu vom 8. Juni 2021 (#576): “… we provide evidence that workers earn about 10% lower wages in firms that operate in more sustainable sectors. We hypothesize that this Sustainability Wage Gap arises because workers, especially those with higher skills and from younger cohorts, value environmental sustainability and accept lower wages to work in more environmentally sustainable firms and sectors. Accordingly, we find that the Sustainability Wage Gap is larger for high-skilled workers, especially for those with high non-cognitive skills, and increasing over time. In further analysis, we document that more sustainable firms are also better able to recruit and retain high-skilled workers. We argue that our results are difficult to reconcile with many alternative interpretations suggested in prior research and that the Sustainability Wage Gap carries important implications for firms’ human resource strategies and firm value” (abstract).

Bonuskritik: On the Importance of CEO Effort on Firm Performance and Compensation: An Analysis Using Gaussian Copula Marginal Regression Approach von John Villavicencio Mattos und Jimmy Torrez vom 11. Oktober 2021 (#5): “Our results indicate that in periods of economic growth, the companies enjoy marginal returns that do not seem to be the direct result of CEO effort. Also, we have found the CEO’s provide sub-optimal levels of effort during periods of economic growth but receive compensation that is approximately 6 percent greater than that received during recessionary periods” (abstract). Mein Kommentar: Vgl. ESG Boni abschaffen und mehr radikale Vorschläge – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Inklusiver Kapitalismus: Capitalism for everyone von Michael Falk und Joachim Klement von der CFA Research Foundation vom 27. Juli (#29): “The simplest and most straightforward way to make capitalism more inclusive—to in fact bring about capitalism for everyone—is to take into account the interests of all stakeholders. And we think the best way to do this is to give these stakeholders a seat at the tables of capitalism, right in the boardroom. Giving employees representation on the board of directors might sound radical, but it has worked in Germany for decades—and it can work in other countries as well. Giving the general public (not only public shareholders) a stake in each listed company above a certain size might sound like a wild idea, until you realise not only that SWFs already do this in many countries but also that these entities can be successfully shielded from political interference. … Capitalism, in our view, has a bright future if we can make it more inclusive. But if we fail to do that, we will all pay a price“ (S. 19).

Investments allgemein

Unwichtige Megacap Tech-Aktien? FAANG Stocks von Roger K. Loh vom 15. Oktober (#37): „A portfolio of FAANG stocks does not show remarkable outperformance after the acronym was coined. Monthly returns attenuate by more than half after controlling for common factor exposures using traditional or modern asset-pricing models. Alphas in the post-acronym period are not always statistically significant. Pre-acronym alphas are in contrast strong and robust. FAANG-sector stocks comove more with a FAANG portfolio in the post-acronym period”.

Fantasie-Bubbles: Bursting the Bubble – Rationality in a Seemingly Irrational Market von David DeRosa von der CFA Research Foundation vom 29. April 2021 (#60): “… purported bubbles either never happened or were substantially different from what these authors understand to have occurred. Accordingly, we have no reason to believe investors are either permanently stupid or irrational. … a significant and growing portion of the investing public implicitly trusts the efficiency of the stock market. We know this to be true because so many investors put their capital in index funds. … large numbers of investors have voted with their feet by leaving actively managed funds for so-called passively. More to the point, many of these investors commit funds on a buy-and-hold basis” (S. 273/274). Mein Kommentar: Vgl. Performance passiver Allokationsportfolios z.B. Soehnholz ESG YTD Performance: Passive Asset-Allokation funktioniert sehr gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

CO2 Angst und Aktienkurse: Carbon Risk Premium and Worries about Climate Change and Energy Disruption von Angelo Moretti und Caterina Santi vom 18. Oktober (#11): “This paper develops a regional indicator of worries about climate change and energy disruption … We show that the carbon risk premium tend to be not significant in little worried regions. Differently, returns of emission and clean stocks are significantly different at medium-high quantiles of the return distribution in worried regions. This evidence suggests that public attitudes towards climate change may impact stock pricing. Moreover, investors tend to neglect the carbon risk of low-return stocks” (S. 17).

Bonuskritik: ESG Investments

Nachhaltiger Homebias: The ESG Home Bias von Moqi Groen-Xu und Stefan Zeume vom 11. Oktober 2021 (#43): “ … we study stock market reactions to negative ESG incidents of high impact and with high news coverage. We show that investors react negatively to such incidents, but also exhibit substantial heterogeneity consistent with home bias. Abnormal returns are more negative when incidents happen in firms’ home country. … The heterogeneity in stock market reaction suggests that the perceived impact of ESG-related externalities varies substantially across event location and non-cash flow preferences” (S. 25).

Nachhaltigkeitsfinanzinitiativen: Overview of the global and European institutional sustainable finance initiatives von Clara Isabel González Martínez von der Banco de Espana vom 8. Oktober 2021 (#21): “This article describes the main – public and private – institutional initiatives under way at the global and the European level to achieve the transition needed to address climate change” (abstract).

C02 Insolvenzrisiko: Corporate default risk and environmental deterioration: international evidence von Obaid Ur Rehman und Xiaoxing Liu vom 20. September 2021 (#12): “Using a firm-level corporate default risk quarterly data from 2013q1 to 2020q4, we find that corporate default risk is positively associated with CO2 emissions and decomposed components. These findings are reliable in low-income and highly uncertain countries but weak in countries having more market competition. We also find that the negative impact of corporate default risk on the environment is more robust in countries with more population density and fewer forest area thresholds. Finally, using the instrumental variable approach, we provide preliminary evidence that firm-level political risk (for US and Canadian firms only) increases corporate default risk, leading to a degrading environment” (abstract).

ESG hat Einfluss auf Versicherungsaktienkurse: Short-term steps for long-term value: the impact of ESG ratings on TSR von Penney Frohling Simon Woods vom 16. September 2021 vom 16. September 2021: “… our analysis of the available data, lead us to conclude that there is a correlation between ratings, inclusion in ESG indices, the ESG funds that are based on these indices and, ultimately, insurers’ stock prices. The ratings process is still evolving and is characterized by inconsistencies among the major ratings agencies, requiring choice and active management of the investor community. Still, firms that fall behind – or are perceived to be falling behind – are likely to be punished by the market, with their pool of available investors shrinking over time. That means ESG ratings and index inclusion need to be critical near-term topics for the C-suite and boards, which must craft a cohesive ESG strategy, develop the right KPIs and share a clear storyline about their achievements to different stakeholders, including analysts, rating agencies and investors” (S. 13).

Wenig Bankennachhaltigkeit: Responsible Banking: Building Foundations – The first collective progress report of the UN Principles for Responsible Banking signatories von United Nations Environment Programme vom Okober 2021: “The coalition of PRB signatories has grown to represent 40% of the global banking system by assets. This report synthesizes individual reporting from 203 signatories … There are some early indications of progress as signatories start to shift financing and investment practices towards positive sustainability impacts …” (S. 9-11). Mein Kommentar: Es geht noch viel nachhaltiger, vgl. Nachhaltigster Aktienfonds? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Private Equity ESG Potenzial: 2022 EU Private Markets ESG Reboot von PWC Luxembourg vom …: „European Private Market ESG assets will skyrocket“ (S. 6).

Privatmarkt-Impact: Impact vs. ESG Investing in Private Markets von Theodor F. Cojoianu, Andreas G.F. Hoepner und Yanan Lin vom 13. Oktober 2021 (#344): “Using a large dataset of over eight thousand private markets investment (PMI) firms around the world, we are able to differentiate between impact investors, ESG and conventional PMI firms. … We find that impact investing firms to be younger than ESG investment firms and more labour intensive. Impact investing firms are more likely to be owned by governments, particularly in Europe. They invest over-proportionally in agriculture, cleantech and education sectors and under-proportionally in “sin” industries such as gambling or tobacco. On the African continent, impact investors invest over-proportionally in food & nutrition solutions compared to ESG investors, whereas in Asia, Australasia, Europe and the North America, agriculture and forestry are more prevalent as an investment theme. In North America, in contrast to the other regions, impact investors tend to focus most on cleantech …“ (abstract).

Bonuskritik: Alternative Investments

Private Debt Fähigkeiten: Private debt returns and general partner skills von Pascal Böni und Sophie Manigart vom 8. Oktober 2021 (#111): “We document market outperformance in the cross-section against bond and equity market benchmarks, with high performance dispersion across strategies and performance quartiles. Lagged performance significantly affects current fund performance. Additionally, private debt fund general partners are skilled in timing credit market conditions, as they anticipate beneficial changes in credit market conditions. This skill affects fund performance more than persistence and ex ante known credit market conditions” (abstract).

Hohe Bitcoinkonzentration: Blockchain Analysis of the Bitcoin Market von Igor Makarov und Antoinette Schoar vom 14. Oktober 2021 (#272): “… we show that exchanges play a central role in the Bitcoin system. They explain 75% of real Bitcoin volume … We show not only is the Bitcoin mining capacity highly concentrated, … We show that while the balances held at intermediaries have been steadily increasing since 2014, even by the end of 2020 it comprises only 5.5 million bitcoins, about one-third of Bitcoin in circulation. In contrast, individual investors collectively control 8.5 million bitcoins, almost half the bitcoins in circulation by the end of 2020. Within individual holdings, there is significant skewness in ownership. … This inherent concentration makes Bitcoin susceptible to systemic risk and also implies that the majority of the gains from further adoption are likely to fall disproportionately to a small set of participants” (S. 29/30).

Kryptoehtik: The Ethics of Investing in Cryptocurrencies von Michael Conklin und Ruben Ceballos vom 13. Oktober 2021 (#70): “By considering the arguments for and against the ethics of cryptocurrency investing, this Article concludes that the practice is unethical. Under a classical utilitarian analysis, the practice simply does not result in the greatest good for the greatest number of people. A large part of this conclusion is based on how readily available alternatives, such as investing in stocks and bonds, have a far more preferable tradeoff. Even investors who want to implement cryptocurrencies into their portfolios have the option to use cryptocurrency futures markets, which would not directly support cryptocurrencies” (S. 20/21).

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