ESG Metastudie und mehr neues Research


Klimawandel hat Corona gefördert: Shifts in global bat diversity suggest a possible role of climate change in the emergence of SARS-CoV-1 and SARS-CoV-2 von Robert Beyer, Andrea Manica und Camilo Mora vom 26. Januar 2021: “Bats are the likely zoonotic origin of several coronaviruses (CoVs) that infect humans …. The number of CoVs present in an area is strongly correlated with local bat species richness, which in turn is affected by climatic conditions that drive the geographical distributions of species. Here we show that the southern Chinese Yunnan province and neighbouring regions in Myanmar and Laos form a global hotspot of climate change-driven increase in bat richness. …. Accounting for an estimated increase in the order of 100 bat-borne CoVs across the region, climate change may have played a key role in the evolution or transmission of the two SARS CoVs”.

Erdgas schadet: Ausbau der Erdgas-Infrastruktur: Brückentechnologie oder Risiko für die Energiewende? Von Hanna Brauers, Isabell Braunger, Franziska Hoffart, Claudia Kemfert, Pao-Yu Oei, Fabian Präger, Sophie Schmalz, Manuela Troschke von Scientists for Future vom 29. Januar 2021: „Zusammenfassend lässt sich festhalten, dass der Bau neuer Erdgasinfrastruktur nicht benötigt wird, den Ausbau von Erneuerbaren Energien sowie Maßnahmen zu Energieeffizienz und -suffizienz ausbremst, Lock-In-Effekte über den Zeitpunkt der von der EU bereits beschlossenen vollständigen Dekarbonisierung bis 2050 hinaus schafft und hohen Wertverlust von Investitionen bedeuten kann“ (S. 7).

CO2-Preise sind effektiver als Subventionen: Effectiveness of climate policies: Carbon pricing vs. subsidizing renewables von Klaus Gugler, Adhurim Haxhimusa  und Mario Liebensteiner vom 24. Dezember 2020: “While Germany relies on heavy subsidies for renewables but on a weak price for carbon certificates (EUA) from the EU Emission Trading System (ETS), its emissions hardly declined. To underpin the low EUA price, Britain introduced a unilateral tax on power sector emissions, the Carbon Price Support (CPS). Within only five years, carbon emissions declined by 55%. Our results demonstrate that in the power sector, even a modest carbon price (∼€30/tCO2) can induce significant abatement at low costs within a short period as long as “cleaner” gas plants exist to replace “dirty” coal plants. We also find that carbon pricing is superior to subsidizing wind or solar power in these two countries” (abstract).

Unternehmen verlagern CO2 Emissionen an ausländische Lieferanten: Outsourcing Climate Change von Rui Dai, Rui Duan, Hao Liang und Lilian Ng vom 2. Februar 2021: “Our study exploits several newly available firm-level emissions and imports data …. We find robust evidence that U.S. corporations reduce direct carbon emissions in local markets at the expense of increasing indirect emissions through outsourcing polluted products abroad“ (S. 30).

Wir sehen nur die Spitze des Dreckberges: Transparency to Transformation: A Chain Reaction CDP Global Supply Chain Report 2020 vom Februar 2021: “US$1.26 tn Total financial impact reported by suppliers due to environmental risks (climate change, deforestation and water insecurity) expected in the next five years. … A subset of the environmental risks will lead to direct costs of US$120 billion within five years which are likely to be passed up the chain to buyers. …Supply chain emissions are on average 11.4 times higher than operational emissions, more than double previous estimate, due to more comprehensive emissions accounting” (S. 4/5).


Buchtipp zu Biodiversität: Überleben – Zukunftsfrage Artensterben: Wie wir die Ökokrise überleben von Dirk Steffens und Fritz Habekuss von 2020 (kostenpflichtig): Wer sich fragt, ob man bei den Millionen von Arten nicht auf einige verzichten kann, findet hier gut geschriebene Argumente von Wissenschaftsjournalisten, warum das kritisch sein kann, denn „alles ist mit allem verbunden“ (S. 7). Die Autoren schreiben am Ende „Wir haben keine einfachen Lösungen für komplexe Probleme gefunden“ (S. 231). Man muss den Vorschlägen der Autoren nicht zustimmen, aber nichts zu tun ist ganz sicher falsch.

>600 Seiten zu Biodiversität: The Economics of Biodiversity: The Dasgupta Review vom 2. Februar 2021: “We are facing a global crisis. We are totally dependent upon the natural world. It supplies us with every oxygen-laden breath we take and every mouthful of food we eat. But we are currently damaging it so profoundly that many of its natural systems are now on the verge of breakdown. … This comprehensive, detailed and immensely important report is grounded in that understanding. It explains how we have come to create these problems and the actions we must take to solve them. It then provides a map for navigating a path towards the restoration of our planet’s biodiversity. Economics is a discipline that shapes decisions of the utmost consequence, and so matters to us all. The Dasgupta Review at last puts biodiversity at its core and provides the compass that we urgently need. In doing so, it shows us how, by bringing economics and ecology together, we can help save the natural world at what may be the last minute – and in doing so, save ourselves.” (Seite 1/2).

Fleisch frisst uns auf: Food system impacts on biodiversity loss – Three levers for food system transformation in support of nature von Tim Benton, Carling Bieg, Helen Harwatt, Roshan Pudasaini und Laura Wellesley von Chatham House vom 3. Februar 2021: “Over the past 50 years, the conversion of natural ecosystems for crop production or pasture has been the principal cause of habitat loss, in turn reducing biodiversity. … As a major contributor to global greenhouse gas emissions, our food system is also driving climate change … global dietary patterns need to converge around diets based more on plants, owing to the disproportionate impact of animal farming on biodiversity, land use and the environment. Such a shift would also benefit the dietary health of populations around the world, and help reduce the risk of pandemics. Global food waste must be reduced significantly …“ (S. 2).

Werden wir immer dümmer? Are ‘Flow of Ideas’ and ‘Research Productivity’ in secular decline? von Peter Cauwels und Didier Sornette vom 24. Oktober 2020: “we constructed a series of indices to quantitatively study the historical evolution of fundamental scientific knowledge between 1750 and 1988. The first series, called the Flow of Ideas indices, give the number of protagonists (great discoverers and inventors), from different scientific disciplines and geographical areas, who are active in their professional career, for each year. The second, called the Research Productivity indices give the per capita (per million) result of the first series. …a consistent decline is observed across the board since the early 1970s, both for the ‘Flow of Ideas’ and the ‘Research Productivity’. …It is striking that the digital revolution, coinciding with the so-called industry 4.0 is absolutely absent in this dataset. This suggests that this is mainly driven by innovation and exploitation of existing knowledge, and not by discovery and invention, or new explorations” (S. 24).

Investments generell

Die meisten Investmentstrategien sind falsch: The failure of anomaly indicators in finance von David Bailey vom 1. Februar 2021: “… the only long-term solution is education — all researchers and investment practitioners in finance need to be rigorously trained in modern statistics and how best to use these tools. Special attention should be paid to showing how statistical tests can mislead when used naively or carelessly. Note that this training is needed not only for students and others entering the work force, but also for many who are already practitioners in the field. This will not be easy, but is needed for the field to move forward in a high-tech world” (vgl. PureESG ist besser als als SmartESG – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Hedgefonds bringen es nicht: What about Hedge Fund Drawdowns? Von Rodney Sullivan vom 11. Februar 2021: “In a recent JAI article, I discussed how risk-adjusted alpha for hedge funds has been in a slow but steady decline since the 2008 Global Financial Crisis (S. 1) …. the degree of hedging away of systematic risk by hedge funds appears to be diminishing as evidenced by rising correlations between stocks and hedge funds now approaching 90% and equity betas approaching their highs of 0.45. Also, the observed drawdowns of our various hedge fund composite portfolios during the turbulent periods of 2008-09 and 2020, have been more in line with that seen by a traditional 50/50 portfolio, arguably a reasonable benchmark portfolio given the typical level of hedging of systematic risk exposure by hedge funds overall” (S. 2).

Bitcoin-Skepsis: Does Your Portfolio Need Bitcoin? Von Amy Arnott von Morningstar vom 1. Februar 2020: “Overall, I’m skeptical about the case for bitcoin as an investment asset. Its popularity with momentum investors and speculative buyers makes it prone to pricing bubbles that will eventually burst. It’s also nearly impossible to pin down what its underlying value should be”.

Kunst von Frauen ist günstig: Gendered Prices von Renée Adams, Roman Kräussl, Marco Navone und Patrick Verwijmeren vom 25. Januar 2021: “… we find that there is a substantial discount in art auction prices for paintings by female artists. … The gender discount varies over time and across countries, and correlates with cultural factors related to gender inequality (such as the percentage of women in parliament in the country and year of the auction)—evidence that is difficult to reconcile with arguments about the nature of genius or “genetic” explanations” (S. 40).

ESG Metastudie: Governance, Diversity

Aufsichtsräte nehmen wichtige Risiken nicht ernst: Board Risk Oversight and Environmental and Social Responsibility von Hami Amiraslani, Carolyn Deller, Christopher D. Ittner und Thomas Keusch vom 21. Oktober 2020: “While prior research shows that E&S issues can affect a firm’s risk profile and consultants advise boards to monitor the management of E&S risks within their broader risk oversight duties, recent surveys indicate that the majority of directors question whether E&S issues actually represent significant risks and report that corporate boards do not have a strong understanding of the impact of E&S issues on their respective companies. This apparent disconnect between calls for boards to incorporate E&S issues in their risk oversight responsibilities and survey responses from directors raises important questions regarding the extent to which more robust board risk oversight has consequences for companies’ E&S ratings, practices and outcomes” (S. 33/34).

Bringen neue Aufsichtsräte keine Verbesserungen? Do Activist Director Add Value? Von Thomas Kushner und Khawaja Mamun vom 25. Januar 2021: “Our data covers a complete list of activist hedge fund directors, their tenure, and operating performance and returns associated with their board service. … We find scant statistically significant evidence that activist hedge funds that nominate directors by winning a proxy contest or by consulting with management generate long-term value for shareholders in the form of superior operating performance and outsized monthly returns during their board tenure“ (abstract). Mein Kommentar: Das Potential von Engagement wird meiner Meinung nach stark überschätzt, vgl. mein Beitrag „Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement“ in „Nachhaltige Finanzen – Durch aktives Aktionärstum und Engagement Wandel bewirken“ von CRIC (Corporate Responsibility Interface Center), Springer Gabler vom Dezember 2020 (Kostenpflichtig)

CSR Komittees können Performance steigern: Do chief sustainability officers and CSR committees infuence CSR‑related outcomes? A structured literature review based on empirical‑quantitative research findings von Patrick Velte und Martin Stawinoga vom 26. Dezember 2020: “Our analysis shows that CSR committees positively influence CSR reporting and performance. Thus, there are indications that the implementation of a CSR committee is not a symbolic act, but instead substantively contributes to CSR activities. However, in light of inconclusive empirical research results and a lack of studies that have analysed CSO-related effects, a notable research gap has been identifed. Moreover, we note the main limitations of prior research in this review and develop an agenda with useful recommendations for future studies” (abstract).

Gender Diversity bringt gute Performance: More than a buzzword – Assessing the financial and transparency effects of corporate gender diversity von Daniel Getler, CFA, Min Low und Emily Matthews von Arabesque s-Ray Research vom 29. Januar 2021: “Over the period of this study, more gender diverse firms outperformed the universe, while less gender diverse firms underperformed. … In addition to absolute outperformance, we can see that gender diverse firms also had greater risk-adjusted returns than those with poor gender diversity, as indicated by the Sharpe and information ratios. …Furthermore, firms with greater gender diversity tend to have higher profitability and higher valuation multiples, shown here by the median return on equity and price to book ratios” (S. 4/5); vgl. eine eigene Untersuchung  mit ähnlichen Ergebnissen von 2014 140227 ESG_Paper_V3 1 (cfasociety.org)

ESG Metastudie: Impact und ESG Renditen

Impact mit Impactinvesting: Impact Investing in Deutschland 2020 – Ein dynamischer Wachstumsmarkt Marktstudie Langfassung von Volker Then und Tobias Schmidt et al. von der Bundesinitiative Impact Investing vom Februar 2021: „Der deutsche Impact Investing Markt ist von deutlichem Wachstum geprägt und findet seinen Weg in den Mainstream. …. Insgesamt ist zu konstatieren, dass der Markt von einer überaus großen Vielfalt geprägt ist und sich in den letzten 5 Jahren erheblich vergrößert hat. …. Triebfeder dieses Wachstums sind, laut Erhebung, insbesondere Stiftungen und Family Offices …. Vielmehr zeigt sich, dass Impact Investments eine sehr starke finanzielle Performance erzielen und zugleich die angepeilten sozialen bzw. ökologischen Erträge davon nicht beeinflusst werden. Nach Aussagen unserer Interviewpartner bestätigte sich diese Resilienz des Impact Investing Marktes auch in der während unserer Studie akut werdenden Covid19-Krise“ (S. 50). Mein relative Impact Ansatz siehe Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

ESG Investing kann sich auszahlen: Firm-Level ESG News and Active Fund Management von Linquan Chen, Yao Chen, Alok Kumar und Woon Sau Leung vom Dezember 2020: “Using a novel measure of firm-level ESG news, we find a positive relation between ESG news index and mutual fund holdings at the fund-firm pair level. We also find that firms with more positive ESG news have higher aggregate mutual fund ownership. … we find that managers actively respond to ESG news to attract investor flows, especially during periods with stronger ESG demand. … Managers with higher propensity to trade on ESG news earn higher risk-adjusted returns. …. we find that managers who are more experienced in sustainable investing respond more strongly to ESG news and achieve superior risk-adjusted returns” (S. 32).

Neue ESG Metastudie: ESG and Financial Performance: Uncovering the Relationship by Aggregating Evidence from 1,000 Plus Studies Published between 2015 – 2020 von Tensie Whelan, Ulrich Atz, Tracy Van Holt und Casey Clark vom NYU Stern Center for Sustainable Business und Rockefeller Asset Management vom Februar 2021: examine the relationship between ESG and financial performance in more than 1,000 research papers from 2015 – 2020: “Improved financial performance due to ESG becomes more marked over longer time horizons. ESG integration, broadly speaking as an investment strategy, seems to perform better than negative screening approaches. … ESG investing appears to provide downside protection, especially during a social or economic crisis. … Sustainability initiatives at corporations appear to drive better financial performance due to mediating factors such as improved risk management and more innovation …. Studies indicate that managing for a low carbon future improves financial performance. … ESG disclosure on its own does not drive financial performance” (S. 3). Mein Kommentar: Nur 6 bis 14% aller Studien zeigen negative Zusammenhänge versus 33 bis 58% der Studien mit positiven Zusammenhängen (S. 4).

Für Großanleger: Asset Owner Technical Guide Investment Manager Monitoring Guide von den Principles for Responsible Investment vom 27. Oktober 2020: “The aim of this manager monitoring guidance is to: Promote consistency in reporting formats for both asset owners and investment managers; Help asset owners understand if the manager’s approach to responsible investment is aligned with its own; Reduce the number of variances in requests for information from investment managers; and Promote comparability between managers” (S. 4).

ESG Metastudie: Robo-Advisors

Haben Robinhood et al. negative Markteffekte? Zero-Commission Individual Investors, High Frequency Traders, and Stock Market Quality von Gregory Eaton, Clifton Green, Brian Roseman und Yanbin Wu vom 1. Februar 2021: “Our evidence suggests that zero-commission investors in aggregate behave as noise traders, with changes in Robinhood ownership being unrelated to future returns … Our analysis indicates that during platform outages when zero-commission trading is restricted, stocks favored by Robinhood users experience reduced bid-ask spreads and price impacts as well as lower return volatility, suggesting that Robinhood investors may negatively impact market quality. … The evidence suggests that the lower market quality associated with zero-commission investors is best explained by uninformed trading rather than predatory HFTs” (HFT: High Frequeny Traders, S. 26/27).

Der Weg zu ganzheitlichen Robo-Advisors: New Frontiers of Robo-Advising: Consumption, Saving, Debt Management, and Taxes von Francesco D’Acunto und Alberto Rossi vom 2. Feburar 2021: “Traditional forms of robo-advice were targeted to help individuals make portfolio allocation decisions. Based on the balance-sheet view of households, the scope for robo-advising has been expanding to many other personal-finance choices, such as households’ saving and consumption decisions, debt management, mortgage uptake, tax management, and lending. This chapter reviews existing research on these new functions of robo-advising with a special emphasis on the questions that are still open for researchers across several disciplines. We also discuss the attempts to optimize jointly all personal finance decisions, which we label “holistic robo-advisors”” (abstract).

Offlinehandel schneller als Onlinehandel? The Latest In Financial #AdvisorTech (February 2021) von Michael Kitces vom 1. Februar 2020: “Walmart Enters FinTech To Create A (Non-Advice) Financial Products Superstore? … the biggest limiting factor for advisors serving the masses isn’t the cost to deliver services but the cost to acquire the clients in the first place, in a world where the average Client Acquisition Cost for a financial advisor is still more than $3,100 per client. …. one of the most straightforward ways to rapidly scale the distribution of a new FinTech solution is simply to cross-sell it to existing customers as a means of expanding wallet share. Which makes it not at all surprising that this month, the world’s largest retailer, Walmart, announced that it has entered into a FinTech partnership with Ribbit Capital (one of the venture capital firms behind Robinhood) to start developing “unique and affordable financial products” for Walmart customers (and employees). … Walmart …. currently reaching as many as 40% of all Americans on a weekly basis and also serving as the world’s largest private employer.” Mein Kommentar: Zu dem Thema Diversifikation nicht-traditioneller Anbieter in Finanzdienstleistungsmärkte (kostenpflichtig) habe ich meine Doktorarbeit geschrieben.

Intransparente Robo Advisor Algorithmen: An Examination into the Investor Protection Properties of Robo-Advisory Services in Switzerland von Félix E. Mezzanotte vom 25. Januar 2021: “… the use of algorithms was barely disclosed in the RA websites. Only a few RAs openly explained to customers their reliance on algorithms for decision-making. None of the RA websites identified technically the type of algorithm they use, nor provided information as to how the algorithm was designed or governed (whether and how it was tested, supervised, updated, and so on). The extent to which the RA’s staff may assist, or even voluntarily adjust or replace functionally, the algorithm was also unclear. Drawing from these RA websites, the question as to who ultimately elaborates or produces the advice finds no evident answer” (S. 13); vgl. auch Sind Robo-Advisors transparent und besser als traditionelle Vermögensverwalter? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Robo-Consolidation, ESG, Direct Indexing und mehr: Bringing Transaprency to Robo Investing – Robo Report © 4th Quarter 2020 von Backend Benchmarking vom Februar 2020: “… 2020 was a blockbuster year in terms of closures and acquisitions. Motif, a pioneer, closed its doors and sold technology to Schwab and clients to Folio. Empower purchased Personal Capital. Schwab purchased TD Ameritrade and Morgan Stanley purchased E*Trade. … Large incumbent firms launched an array of free financial planning products as a way to initiate relationships with clients who might not be ready for a paid investment advice relationship. … the widening availability of fractional shares and the demand for more tailored portfolios could lead to a large rise in the use of direct indexing (S. 3/4). …. In the next decade, direct indexing may break this mold and give financial advisors the ability to provide both scalable and customizable asset management. …. it may have profound consequences in ESG investing, tax optimization, and thematic investing (S. 24) …. After launching three new SRI portfolio options in October last year, Betterment shared that year-to-date SRI assets under management grew at six times the rate of assets in its traditional core portfolio” (S. 25).

ESG Metastudie: Wealthtech

Noch ein  großer Direct ESG Indexing Anbieter: Quant Shop QMA and JustInvest Partner to ‘Democratize’ Custom ESG Portfolios von Michael Thrasher vom 2. Februar 2021: “PGIM’s $120 billion asset manager is leveraging Just Invest’s platform to offer separately managed accounts with minimums starting at $50,000”; vgl. auch Direct ESG Indexing: Die beste ESG Investmentmöglichkeit auch für Privatkunden? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Meinen die mein Unternehmen Diversifikator? How wealth and asset managers can leverage ecosystems to catalyze growth von Andre Veissid und Gaurav Joshi von Ernst& Young vom 21. Januar 2021: “By partnering with specialists to provide leading-class environmental, social and governance (ESG) and thematic fund options, wealth managers can solidify relationships with mass-affluent customers as their needs evolve. We expect global financial services firms will continue to partner with more technology-focused asset managers that have expertise in ESG investing to allow advisors to create personalized values-based portfolios for clients who increasingly care about the social impact of their investments”.

ESG Metastudie: Behavioral Finance

Marktunsicherheit kann ESG Investments fördern: Social Responsibility in the Time of Uncertainty: A natural experiment von Ola Mahmoud und Julia Meyer vom 1. Februar 2021: “Using the COVID-19 induced stock market crash as a natural experiment, we identify a positive causal effect of heightened market uncertainty on preferences for social responsibility. … experimental evidence, which suggests three behavioral mechanisms that are likely affected by the crisis driving this shift in preferences. First, investors view socially responsible assets as less risky and uncertain. Second, the crisis triggered an increase in prosocial preferences in general. Third, the affect heuristic, in which the emotional response acts as a mental shortcut in relation to a stimulus, triggers favorable expectations of socially responsible investment performance” (S. 39/40).

Genderless Language mit positiver Wirkung: Sex, language, and financial inclusion von Francis Osei-Tutu und Laurent Weill vom 22. Januar 2021: “Our key finding is that language gender marking affects women’s financial inclusion. The gender gap in the probability of having a formal account, formal credit, and formal saving is greater in countries with gendered languages than in countries with genderless languages. … We also observe that language gender-marking enhances the gender gap in access to credit for all loan motives and all sources of borrowing, formal or informal“ (S. 23).

Frauen handeln an der Osloer Börse (OSE) manchmal besser als Männer: Insider trading, risk aversion, and gender von Espen Eckbo und Bernt Arne Ødegaard vom 20. Juli 2020: “… there is no evidence that insiders on the OSE succeed in ‘buying low and selling high’ … , female insiders are somewhat better able to time their stock purchases … , the weight of this evidence points to a female director risk aversion that is no higher than male director risk aversion …” (S. 22/23).

Aktienverluste können (Frauen) verletzen: When Paper Losses Get Physical: Domestic Violence and Stock Returns von Tse-Chun Lin und Vesa Pursiainen vom 13. Oktober 2020: “We find a significant negative relationship between weekly local stock returns and the incidence of domestic violence from Friday to Sunday in the same week. … If the volatility of the stock market causes variation in utility that is larger than that caused by the purely financial component of utility, then standard economic models measuring utility only by wealth might underestimate the total “risk” of stock investments” (S. 24).

Aktienverluste können töten: Killing in the Stock Market: Evidence from Organ Donations Spencer Barnes vom 21. November 2020: “Daily individual patient records for every organ transplant capable hospital in the United States from 1987 to 2018 indicate a negative relationship between stock market returns and deaths. Stress related deaths, such as heart attacks, strokes, and suicides, are the most pronounced around stock market movements” (abstract).

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