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ESG-Booster und mehr neues E, S und SDG Research

ESG-Booster: Umwelt

Veganer Impact: Impact of Plant-Based Meat Alternatives on Cattle Inventories and Greenhouse Gas Emissions von Jayson L. Luska, Dan Blaustein-Rejto, Saloni Shah und Glynn T. Tonsor vom 14. November 2021 (#224): “For every 10% reduction in price or increase in demand for plant-based meat alternatives, we estimate U.S. cattle production falls approximately 0.15%, U.S. cattle producers’ economic welfare falls by $300 million/year, and U.S. consumer welfare rises by $513 million/year. Increases in U.S. demand for plant-based meat alter trade patterns, leading to a reduction of beef imports and an increase in beef exports, a phenomenon that further reduces global greenhouse gas emissions and land use given the relative efficiency of U.S. beef production. …” (abstract).

Windwiderstand (1): Support for Renewable Energy: The Case of Wind Power von Robert Germeshausen, Sven Heim und Ulrich J. Wagner vom 27. Oktober 2021 (#31): “… we estimate the impact of increasing wind power exposure on citizen’s support for renewable energy using Germany as a case study. … we find that search queries for renewable energy tariffs made on price comparison websites drop by around 35 percent when a wind turbine is installed in the zip code. Similarly, we find that votes for the Green Party in German federal elections decrease by about 17 percent with each new wind turbine in a municipality. These findings indicate that even strong and active proponents of renewable energy, i.e. consumers who actively search for green electricity and voters of the Green Party, significantly reduce their support when exposed to nearby wind turbines. … According to our analysis, wind energy expansion has significantly increased tax revenues from such schemes, and this has been associated with smaller negative effects of wind turbines on citizen’s support” (S. 40/41).

Windwiderstand (2): Clean Electricity, Dirty Electricity: The Effect on Local House Prices von Piet Eichholtz, Nils Kok, Mike Langen und Daan van Vulpen vom 19. Dezember 2021: “Wind turbines proximity and openings result in negative property price effect, whereas removals of wind turbines can result in positive effects. Coal plant proximity and closings do not result in significant price effects. Gas plant proximity results in positive price effects, however decomposing the effect for openings and closings, we find that gas plant areas are higher priced compared to other electricity generation facility areas, with openings resulting in negative effects. Biomass plant proximity and openings result in positive price effects, whereas closings result in negative price effects. Whereas the external effects differ in general, we document solely negative price effects for all facility types in urban areas. We further document that size does not play a big role, except for very small conventional plants … Considering the average house price in our sample and average opening effects, wind turbine placements result in value losses of e3,680 to e4,732 on local houses, on average. In contrast, the opening of conventional power plants, which could run on sustainable biomass fuel, lead to positive price effects of e16,562, on average” (S. 24/25).

Effizienter CO2-Markt: Measuring the European carbon market efficiency – a quantitative evaluation of higher order dependence von Cristina Sattarhoff und Marc Gronwald vom 10. Dezember 2021 (#4): “In an empirical application using data from the largest currently existing market for tradable pollution permits, the European Union Emissions Trading Scheme (EU ETS), we show that the degree of efficiency of this market remains largely unchanged over the period of observation 2008 – 2019. What is more, the EU ETS is found to be more efficient than the US stock market. This result, surprising as such, is attributable to the large share of well-informed market participants in the EU ETS as well as a lower exposure to global economic shocks” (abtract).

Grünbürger: Bourgeois Energy Transition von Nicolas Boccard vom 18. November 2021 (#5): “Among nations, we find that income has a positive influence on activism but none upon concern. … We observe the presence of ecology within political agendas to rise with income, whereas other major political themes are mostly independent of income. Crucially, ecology becomes noteworthy above the bourgeois annual individual income of 21 000 $, thus making the energy transition inaccessible yet for 80% of the world population”.

ESG-Booster: Soziales

Positivmigration: The Fiscal Effect of Immigration: Reducing Bias in Influential Estimates von Michael A. Clemens vom 10. Dezember 2021 (#11): “… conservatively accounting for capital taxes paid by the employers of immigrant labor …. Adjusted estimates of the positive net fiscal impact of average recent U.S. immigrants rise by a factor of 3.2 …. They are positive even for an average recent immigrant with less than high school education, whose presence causes a present-value subsidy of at least $128,000 to all other taxpayers collectively” (abstract).

Unsoziale Mietpreisbremsen: The role of Rent Controls in the Rental Housing Market von Linghan Huang vom 18. Ovember 2021 (#11): “By imposing rent caps and thus limiting present and future profits for an indefinite period, supply was shown to stagnate or even decrease in the long run. Prices for rentals fall, whereas rents, land values and purchase prices in the unregulated sector increase at a faster rate than before rents were controlled. Simultaneously, excessive demand is created. On the other hand, tenants face restrictions with regards to their housing options and increasingly settle for housing that is not appropriate to their needs. Older tenants with a low turnover experience the strongest effects from rent control. Misallocations of persons per housing unit, lock-in effects and increasing evictions impose more hardships on tenants. Tenants who benefit the most from rent control are those who have already occupied the rental prior to the enforcement, whilst new joiners struggle entering the rental housing market. Due to dampened profits and increased risk associated with the investment, construction in the private rental sector becomes unattractive for investors and decreases over time. Instead, new construction will be concentrated within the high-price segment of the rental housing market. Lower profits induce landlords to manage variable costs. As a consequence, maintenance is neglected and a controlled rental’s quality and value is run down. Some landlords decide to withdraw their unit from the private rental sector, and sell it as a condominium. In effect, the private rental sector will decrease in the long run” (S. 43).

Langfristcoronarisiko: How Do Pandemics End? Two Decades of Recurrent Outbreak Risk Following the Main Waves von Max Schroeder, Spyridon Lazarakis, Rebecca Mancy und Konstantinos Angelopoulos vom 16. Dezember 2021 (#10): “For the 1890-91 influenza pandemic in England and Wales, as well as the 1918-19 influenza pandemic in the US and eight major UK cities, we find elevated mortality risk that persists for nearly two decades. …. without modern means of intervention, post-pandemic outbreak risk is likely to persist for an extended period, as we demonstrate in an application to COVID-19” (abstract).

Sündenkonsummessung: Evaluating Marginal Internalities: A New Approach von Zarko Y. Kalamov vom 16. Dezember 2021 (#5): “This paper …. models a biased consumer who faces uncertain health harms and receives mandatory health insurance. I show …. how sin good demand reacts to changes in health insurance coverage. … I calibrate the model to sugary drinks consumption. My results are consistent with studies that use survey-based measures of biases“ (abstract).

Vermögenssteuermodellierung: Wealth, Returns, and Taxation: A Tale of Two Dependencies von Alexandre Gaillard und Philipp Wangner vom 24. November 2021 (#65): “In our benchmark economy, the optimal top marginal wealth tax rate is 0.8 percent above an exemption level of $550K” (S. 50/51).

Smart-City-Kritik: Dubai and Barcelona as Smart Cities: Some Reflections on Data Protection Law and Privacy von Radwan Eskhita, Vijaya Kittu Manda und Arbia Hlali vom 9. November 2021 (#4): “… investigate how the Dubai smart city will deal with the huge amount of the collected personal data through Internet of Things devices and applications. The theoretical analysis shows that the Barcelona smart city can be represented as an effective model, its innovations recommends to be used in Dubai smart city. The analysis founds that the classification of the collected data inside smart city to open and shared data did not provide sufficient privacy for personal data”.

Datenkraken-Buchtipp: Every von Dave Eggers (Roman) von 2021:„Der Circle ist die größte Suchmaschine gepaart mit dem größten Social-Media-Anbieter der Welt. Eine Fusion mit dem erfolgreichsten Onlineversandhaus brachte das reichste und gefährlichste – und seltsamerweise auch beliebteste – Monopol aller Zeiten hervor: Every“. Mein Kommentar: Interessant für alle, die sich für den Schutz persönlicher Daten interessieren und für alle, die sich noch nicht dafür interessieren.

ESG Investments

ESG Booster: Does Sustainable Investing matter to the Market? von Claire Economidou, Dimitrios Gounopoulos, Dimitrios Konstantios und Emmanuel Tsiritakis vom 13. Dezember 2021 (#85): “This study has robustly documented that firms have strong incentives to do good by serving a social purpose, as they not only perform financially well but they also attract financially sophisticated investors with long-term orientation. What is important, however, is not only to do good, by engaging in ESG activities, but also to look good by becoming visible to investors and other stakeholders though external rating of their ESG activities” (S. 50).

ESG-Neutral: The Cost of ESG Investing von Laura Lindsey, Seth Pruitt und Christoph Schiller vom 6. Dezember 2021 (#192): “First, systematic portfolio weights can be adjusted to improve the portfolio’s ESG performance while sacrificing negligible profits. Second, ESG measures do not provide independently significant information about firm risk exposures. Third, ESG measures do not provide significant alpha, either alongside other characteristics or on their own” (S. 42).

ESG-Positiv: Systematic ESG Risk and Decision Criteria for Optimal Portfolio Selection von Ick Jin vom 14. November 2021 (#316): “As institutional investors utilize passive ESG investing, ESG indices may account for joint movement in security prices and act as systematic risk factors. … Applying the decision criteria to US equity mutual funds shows that ESG integration to portfolio optimization could enhance the portfolio’s ESG quality and marginally improves the portfolio’s risk-adjusted return” (abstract). Mein Kommentar: Vgl. Soehnholz ESG YTD Performance: Passive Asset-Allokation funktioniert sehr gut – Verantwortungsvolle (ESG) Geldanlage (

Gute ESG Reportingregulierung: The Effects of Mandatory ESG Disclosure Around the World von Philipp Krueger, Zacharias Sautner, Dragon Yongjun Tang und Rui Zhong vom 13. Dezember 2021 (#2101): “We document a significant positive impact of mandatory ESG disclosure regulations on the propensity of firms to file ESG reports and on the quality of these reports, particularly among firms where ESG-related concerns and information demands by investors are largest. Mandatory ESG disclosure increases the accuracy of analysts’ earnings forecasts, lowers analyst forecast dispersion, reduces negative ESG incidents, and lowers the likelihood of stock price crashes” (S. 35).

Überdiversifizierter Großanleger: Fossil fuel-related investments and climate change von Dirk Schoenmaker, Heleen de Coninck und Roel Beetsma vom 14. November 2021 (#24): “ABP … invests in a very large number of companies through equities and bonds (as well as in the public sector through bonds). However, these stakes in companies are in the large majority of the cases quite small as a fraction of the total investment portfolio and as a fraction of the outstanding equity or debt of the firm. The large number of stakes make it impossible to engage with each company in the portfolio. The small fractions held in many companies make it difficult to effectively engage with these companies. At the same time (i) it is well-known that diversification gains set in very early, i.e. a limited number of stocks is sufficient to reap most of the potential diversification gains …; and (ii) within sectors there can be substantial variation in the CO2 content of its production or products” (S. 13). Mein Kommentar: Vgl. Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

ESG-Booster: SDG Investing

Zirkulare Performance: The Impact of Circular Economy on Public Equity in Europe. Understanding De-Risking Effect and Risk-Adjusted Performance von Claudio Zara, Martina Iannuzzi und Shyaam Ramkumar vom 13. Dezember 2021 (#18): “Circular Economy (CE) offers effective hedging of linear risks, shields financial actors from the risk of stranded values and promises to ensure persistent performance of businesses and portfolios without compromising financial returns. We tested these hypotheses of de-risking (H1) and superior risk-return combinations (H2) building a sample of 222 European circular shares focused on manufacturing, construction, energy and oil & gas industries for the period 2013-2018. We found that securities that score a higher level of circularity confirm both hypothesis, nonetheless as considered standalone or included in the fully diversified portfolio” (abstract).

Klimafaktor: Carbon Beta: A Market-Based Measure of Climate Risk von Joop Huij, Dries Laurs, Philip Stork und Remco C.J. Zwinkels vom 18. November 2021 (#532): “We propose a proxy for a climate risk factor, the pollutive-minus-clean (PMC) portfolio, which captures differences in returns to firms that have high versus low corporate emissions. By regressing individual stock returns on the PMC factor, we obtain estimates of asset-level climate risk exposure: ’carbon beta’. … Returns to stocks with high carbon betas are lower during months in which climate change is more frequently discussed in the news, during months in which temperatures are abnormally high, and during exceptionally dry months. Unlike firm emissions and intensities, variation in carbon betas correlates with green patent issuance and forward-looking measures of climate risk”.

Klimadividendenkürzung: Climate Risk and Corporate Payout Policies around the World von Yuyuan Chang, Wen He und Lin Mi vom 27. Oktober 2021 (#56):  “Using a large sample of firms from 45 countries, we find that firms in countries with high climate risk reduce their cash dividends but increasingly use share repurchases to make payouts …. The effect of climate risk on payout policies is more pronounced for firms that are more vulnerable to climate risk and for those in countries where people pay more attention to climate change and the national culture emphasizes uncertainty avoidance and long-term orientation” (abstract). Mein Kommentar: Transitionierer: Dividendenverbot für ESG Sünder? – Verantwortungsvolle (ESG) Geldanlage (

Traditionelle Investments

Pro Geldflut: Firm Heterogeneity, Capital Misallocation and Optimal Monetary Policy von Beatriz González, Galo Nuño, Dominik Thaler und Silvia Albrizio vom 10. Dezember 2021 (#15): “… a monetary expansion increases the investment of high-productivity firms relatively more than that of low-productivity ones, crowding out the latter …. “ (abstract).

Niedrige Zinsen fördern Konzentration: Falling Rates and Rising Superstars von Thomas Kroen, Ernest Liu, Atif Mian und Amir Su vom 20. Oktober 2021 (#138): “… we find that falling interest rates boost the relative valuation of industry leaders relative to industry followers, and the relative valuation effect becomes largest as the initial interest rate approaches zero. … A decline in the interest rate disproportionately lowers the cost of borrowing of industry leaders, who take advantage of the lower cost of borrowing to raise additional debt financing, increase leverage, repurchase shares, boost capital investment, and conduct acquisitions. All of these effects snowball as the level of the interest rate decline; that is, a decline in interest rates has a stronger effect on all of these outcomes of leaders relative to followers when the initial level of the interest rate is already low” (S. 25).

Faktorinvestmentprobleme: Evaluating the Anomaly Zookeepers von Fahiz Baba-Yara, Brian Boyer und Carter Davis vom 13. Dezember 2021 (#91): “Asset pricing models that are used to describe the cross sectional of returns have truly proliferated. … we investigate whether many of the models used in the literature are able to actually price each other. We show that no model is able to actually price all the others empirically. … We argue that these models impose different priors on the data, and these prior impositions matter. …. small differences in priors likely lead to portfolios that fail to span each other” (S. 34).

Faktor-ETF-Risiken: Factor and stock-specific disagreement and trading flows von Fotis Grigoris, Christian Heyerdahl-Larsen und Preetesh Kantak vom 23. November 2021 (#46): “… disagreement on both factor and stock-specific risk exposures across many agents and securities impact asset prices … when factor disagreement rises, funds flow into the ETFs that mimic the factor. However, these increased flows induce high forwardlooking volatility of, and correlation risk within, the ETF” (abstract).

Pro Synthetik: Does the Replication Method Affect ETF Tracking Efficiencies? von Xinrui Zheng vom 18. November 2021 (#29): “Higher return volatility, lower past performance, larger fund size, younger age, higher expense ratios are all associated with higher average tracking errors. … When the perception of counterparty risk hits the market unexpectedly, ETFs with synthetic replication face steeper decline in their tracking efficiencies. While during pure liquidity shocks, the tracking performance of synthetic ETFs is better protected compared to physical ETFs. … sensitivity of tracking performance to market distress for both physical and synthetic ETFs drops significantly post the global financial crisis. In particular, the post-crisis tracking ability of synthetic ETFs is markedly less affected by market turbulence, compared to physical ETFs. … Synthetic ETFs has done particularly well in controlling counterparty risk” (S. 21/22).

Alternative Investments und Behavioral Wealthmanagement

Dreckiges Kryptoherding: Do clean and dirty cryptocurrency markets herd differently? von Boru Rena und Brian Lucey vom 23. November 2021 (#82): “The environmental sustainability of cryptocurrencies is a subject of significant debate. We find compelling evidence of herd investing in dirty cryptocurrencies, which is asymmetric and more pronounced in down than in up markets. … we did not find the presence of herds in clean crypto market, we did find that clean crypto investors herd to dirty crypto markets, especially when both markets are generating positive returns” (S. 9).

Interessante Immobilientoken: Empirical evidence on the ownership and liquidity of real estate tokens von Laurens Swinkels vom 23. November 2021 (#79): “… using the first experiences of a sample of 58 residential properties in the United States. We find that the promises of tokenization are real, it leads to dispersed ownership of properties of modest value, leading to substantial risk sharing across households. In contrast to portfolio choice on the stock market, investors generally hold well-diversified portfolios of tokenized properties …. Although there is liquidity in tokens in the secondary market, especially in those traded on decentralized exchanges, there are legal impediments to increase it further than a turnover of once a year. … On the longer term, token prices seem to reflect housing prices, such that portfolios of fractionally owned residential real estate properties behave like real estate investments, but then at a smaller scale” (S. 19/20).

Retailuntaugliches Private Equity? First in the Queue: The Role of Access Privileges in Private Equity Performance von Andrea Carnelli Dompe, Daniel Ferreira, Davide Ferri, Pedro Saffi und Bo Tang vom 18. November 2021 (#57): “Access privileges matter in private equity markets. Funds of funds and other financial intermediaries can create value not only by selecting, but also by being able to access, better investment opportunities. We find that access-constrained funds outperform their peers, and that limited partners with access privileges tend to re-commit to access-constrained managers. The findings suggest that access privileges play an important role in explaining value creation and limited partners’ performance persistence in private markets”.

Intergenerationelle Aktieneffekte: Investing Like My Parents: Do Parents Affect Children’s Risk Taking Behavior? von Ziwei Zhao und Min Cui vom 7. Dezember 2021 (#31): “Our risk-taking is affected by our parents’ tendency to participate in the stock market. And this effect is correlated with parents’ experiences of the stock market before we are born. … The effect is larger for first born children as they receive more attention and childhood interactions from parents. … we find that this effect does not fade as we move to a different state from our parents or the longer we are away from our parents and start our own family. … The effect is stronger for parents with bachelor degrees as the degree …” (S. 29/30).

Gute Vermögensverwalter: Investing other People’s Money von Sascha Füllbrunn, Ola Kvaloy und Wolfgang Luhan vom 24. November 2021 (#24): “In contrast to economic standard theory, money managers appear to care for the welfare of their clients. They are even willing to adjust their own investment when others bear similar consequences. However, many questions are still open. Our own studies show that the incentive scheme plays a decisive role as even small convex incentives crowd out feelings of responsibility and increase risk-taking significantly” (S. 13).

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