Collectibles: Picture of Aliens by Gerhard Janson

Collectibles: Researchpost #158

Collectibles: 14x new research on migration, biodiversity, forests, sustainability disclosures, ESG performance, ESG skills, ESG progress, activists and NFTs (#shows full paper SSRN downloads as of Jan. 11th, 2024)

Social and ecological research (Collectibles)

Positive naturalization: From Refugees to Citizens: Labor Market Returns to Naturalization by Francesco Fasani, Tommaso Frattini, and Maxime Pirot as of Dec. 20th,2023 (#12): “… exploring survey data from 21 European … We find that obtaining citizen status allows refugees to close their gaps in labor market outcomes relative to non-refugee migrants … showing that migrants with the lowest propensity to naturalize would benefit the most if they did. This reverse selection on gains can be explained by policy features that make it harder for more vulnerable migrant groups to obtain citizenship, suggesting that a relaxation of eligibility constraints would yield benefits for both migrants and host societies” (abstract).

Fresh water risks: A Fractal Analysis of Biodiversity: The Living Planet Index by Cristina Serpa and Jorge Buescu as of June 15th, 2023 (#39): “The Living Planet Index (LPI) is a global index which measures the state of the world`s biodiversity. Analyzing the LPI solely by statistical trends provides, however, limited insight. Fractal Regression Analysis …allows us to classify the world`s regions according to the progression of the LPI, helping us to identify and mathematically characterize the region of Latin America and Caribbean and the category of freshwater as worst-case scenarios with respect to the evolution of biodiversity” (abstract).

Science- or politics-based? Taxomania! Shaping forest policy through financial regulation by Anna Begemann, Camilla Dolriis, Alex B. Onatunji, Costanza Chimisso and Georg Winkel as of Dec. 1th, 2023 (#6): “This study investigates the evolution of advocacy coalitions and their strategies in the development of the (Sö: EU sustainability) taxonomy’s forestry criteria. It builds on process tracing involving 46 expert interviews conducted in 2019, 2021, and 2022 and an extensive document analysis. Our findings illustrate a complex process … highlighting strikingly different worldviews and economic and bureaucratic/political interests connected to these. Owing to a rich set of strategies employed, and deals made at different policy levels, as well as an overall lack of transparency, the proclaimed “science-based” decision-making is significantly compromised” (abstract).

Responsible investment research (Collectibles)

Positive regulation: Imposing Sustainability Disclosure on Investors: Does it Lead to Portfolio Decarbonization? by Jiyuan Dai, Gaizka Ormazabal, Fernando Penalva, and Robert A. Raney as of Dec. 22nd, 2023 (#670): “… we document that the introduction of the EU SFDR (Sö: Sustainable Finance Disclosure Regulation) … was followed by a decrease in the average portfolio emissions of EU funds that claim to invest based on sustainability criteria. … Funds already subject to sustainability disclosure mandates prior to the SFDR have significantly less decarbonization compared to funds being exposed to a sustainability disclosure mandate for the first time and decarbonization patterns are more pronounced for funds with higher levels of portfolio emissions prior to the SFDR and for funds domiciled in countries that are more sensitive to sustainability issues” (p. 29/30). My comment: I promote disclosure, see the details for my fund at

Good SDG returns: Determinants and Consequences of Sustainable Development Goals Disclosure: International Evidence by Sudipta Bose, Habib Zaman Khan and Sukanta Bakshi as of Jan. 2nd, 2023 (#22): “The study examines the determinants and consequences of firm-level Sustainable Development Goals (SDG) disclosure using a sample of 6,941 firm-year observations from 30 countries during 2016– 2019. … The findings reveal that approximately 48.40% of firms in the sample had active stakeholder engagement programs, 53.90% maintained a sustainability committee, and 62.60% issued standalone sustainability reports. The findings indicate that Environmental, Social and Governance (ESG) performance, stakeholder engagement, and the issuance of standalone sustainability reports positively influence firm-level SDG disclosure. Moreover, the study finds a positive association between higher levels of SDG disclosure and increased firm value” (abstract). My comment: My experience: The good SDG returns lasted until 2022 but did not materialize in the first 9 months of 2023, but I expect them to come back (see 2023: Passive Allokation und ESG gut, SDG nicht gut – Responsible Investment Research Blog (

Peers matter? Conform to the Norm. Peer Information and Sustainable Investments by Max Grossmann, Andreas Hackethal, Marten Laudi, and Thomas Pauls as of Dec. 23rd, 2023 (#74): “We conduct a field experiment with clients of a German universal bank … Our results show that information about peers’ inclination towards sustainable investing raises the amount allocated to stock funds labeled sustainable, when communicated during a buying decision. This effect is primarily driven by participants initially underestimating peers’ propensity to invest sustainably. Further, treated individuals indicate an increased interest in additional information on sustainable investments, primarily on risk and return expectations. However, when analyzing account-level portfolio holding data over time, we detect no spillover effects of peer information on later sustainable investment decisions” (abstract).

More ESG or lower risk? Inferring Investor Preferences for Sustainable Investment from Asset Prices by Andreas Barth and Christian Schlag as of Dec. 20th, 2023 (#44): “We find that while firm CDS (Sö: Credit Default Swap) spreads co-vary negatively with equity returns, this effect is less pronounced for firms with a high ESG rating. This divergence between equity and CDS spreads for high- vs. low ESG-rated firms suggests that some equity investors have a preference for sustainability that cannot be explained with firm risk” (abstract).

Higher ESG returns? ESG Risk and Returns Implied by Demand-Based Asset Pricing Models by Chi Zhang, Xinyang Li, Andrea Tamoni, Misha van Beek, and Andrew Ang from Blackrock as of Dec. 20th, 2023 (#68): “We find increases in preferences for ESG may result in increases in downside risk for the stocks with low ESG scores as these stocks may exhibit decreases in stock returns. … Additionally, our analysis shows that if the trend in increasing ESG preferences continues, there may be higher returns from stocks with higher ESG scores as increasing demand drives up the prices for these types of stocks. Naturally, portfolio outcomes depend on many more factors and macro drivers, but according to the demand-based asset pricing framework and estimations in this paper, ESG demand and characteristics does represent a driver of stocks’ risk and returns“ (p. 11). My comment: I also believe in higher future demand for sustainable investments and therefore attractive performances

Best-in-class deficits: Chasing ESG Performance: Revealing the Impact of Refinitiv’s Scoring System by Matteo Benuzzi, Karoline Bax, Sandra Paterlini, and Emanuele Taufer as of Dec. 20th, 2023 (#19): “… we scrutinize the efficacy and accuracy of Refinitiv’s percentile ranking in ESG scoring, probing whether apparent improvements in scores truly reflect corporate advancement or are influenced by the entry of lower-scoring new companies and the relative performance with respect to the peer group universe. Our analysis uncovers a positive inflation in Refinitiv’s approach, where the addition of companies with limited information distorts ESG performance portrayal. … Our deep dive into score distributions consistently shows that Refinitiv’s method tends to produce inflated scores, especially for top performers“ (p. 19/20). My comment: Best-in-Class ESG-Ratings which cover a limited number of companies per „class“ are most likely much less robust compared to ratings with more peers per calls and best-in-universe ratings (which I use since quite some time, see Glorreiche 7: Sind sie unsozial? – Responsible Investment Research Blog (

ESG rating changes: ESG Skill of Mutual Fund Managers by Marco Ceccarelli, Richard B. Evans, Simon Glossner, Mikael Homanen, and Ellie Luu as of Dec. 20th, 2023 (#29): “A proactive fund manager is one who takes deliberate positions in firms whose ESG ratings later improve. By contrast, a reactive fund manager is one who “chases” ESG ratings, i.e., she trades in reaction to changes in ESG ratings. The former type shows ESG skill while the latter does not. We use an international sample of mutual fund managers to estimate these measures of skill … After an exogenous (but un-informative) change in firms’ ESG ratings, reactive fund managers significantly rebalance their portfolios, buying firms whose ratings improve and selling those whose ratings worsen. Proactive funds, on the other hand, do not rebalance their portfolios … Only a relatively small fraction of investors reward ESG skills with higher flows. These are investors holding funds with an explicit sustainability mandate. Presumably, these investors both value ESG skill and have the required sophistication to detect skilled managers” (p.17/18). My comment: In my experience, ESG provider methodology changes lead to more informative ESG ratings which would contradict the interpretation of this study.

ESG progress-limits? Do companies consistently improve their ESG performance? Evidence from US companies by Yao Zhou and Zhewei Zhang as of Dec. 20th,2023 (#12): “This paper depicts the trend of corporate ESG scores by measuring the growth rate of ESG scores for 8,462 firms from 2002 to 2022. … the empirical results indicate that firms’ ESG scores tend to maintain the status quo after achieving a certain level, rather than being improved consistently. These findings imply that firms tend to improve their ESG score after the first rating, but the degree of improvement lowers down over time” (abstract). My comment: Investment strategies trying to focus on ever increasing ESG-ratings do not seem to make much sense. I try to focus on the already best-rated investments.

Positive activists: Is the environmental activism of mutual funds effective? by Luis Otero, Pablo Duran-Santomil, and Diego Alaizas of Dec. 20th, 2023 (#12): “This paper analyzes the differences between mutual funds that declare ESG commitment and those that do not. Additionally, we explore their behavior in terms of voting on resolutions related to climate change and the environment. Our analysis reveals that activist funds generally exhibit a behavior that is consistent with their sustainable focus and have a lower proportion of greenwashers, contributing to the reduction of carbon emissions. Importantly, this sustainability orientation does not negatively impact their financial performance, as they attract significant flows and do not show worse performance compared to their traditional counterparts“ (abstract).

Other investment research

Low-yield collectibles: Convenience Yields of Collectibles by Elroy Dimson, Kuntara Pukthuanthong, and Blair Vorsatz as of Nov. 29th, 2023 (#53): “Using up to 110 years of collectibles returns for 13 distinct asset classes … Convenience yield estimates for 24 of our 30 collectibles return series are positive, with an annualized mean (median) of 2.64% (2.53%). Despite various forms of underestimation, these results provide evidence that assets with positive emotional returns have lower equilibrium financial returns” (abstract).

Useless NFTs? The emperor’s new collectibles by Balázs Bodó and Joost Poort as of Dec. 13th, 2023 (#25): “Over the past years, NFTs (Sö: Non-fungible tokens) have by some been predicted to revolutionize the markets for arts and copyright protected works. In short, the vision was that on the basis of unique, blockchain based tokens, and through their automated exchange, an extension or even a replacement of the traditional art markets, and the copyright-based system of production, circulation and use of cultural works could emerge. Currently, however, the state of the NFT ecosystem can be summarized as an in some sense failed experiment. This chapter starts by unpacking what we consider the four broken promises of NFTs vis-à-vis the CCIs and copyright. We briefly describe the technological underpinning of these promises, and why they were broken. Subsequently, we discuss whether there may still be a future for NFTs as a new asset class related to creative output” (abstract).


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