Schuldenberge: What Has Been the Impact of COVID-19 on Debt? Turning a Wave into a Tsunami von M. Ayhan Kose, Peter Nagle, Franziska Ohnsorge und Naotaka Sugawara von der Weltbank vom 11. Februar 2022 (#21): “… even before the pandemic, a rapid buildup of debt in emerging market and developing economies … had been underway. Because of the sharp increase in debt during the pandemic-induced global recession of 2020, the … wave of debt has turned into a tsunami …. … given large financing gaps and significant investment needs in many countries, debt levels will likely continue to rise in the near future. … debt resolution has become more complicated because of a highly fragmented creditor base, a lack of transparency in debt reporting, and a legacy stock of government debt without collective action clauses” (abstract).
Chinaboni: Did Western CEO Incentives Contribute to China’s Technological Rise? von Bo Bian und Jean-Marie Meier vom 6. Dezember 2021 (#51): “… managers of Western firms face a trade-off between the short-term benefits of accessing China’s vast market and the long-term costs of transferring technology to China. … We find that CEOs with high-powered incentive contracts engage more in forming cross-border partnerships with China and transferring technology to China compared with other large, developing countries. … in industries that the Chinese government classifies as strategically important, we observe a stronger effect. … firms managed by these CEOs lose R&D human capital to China and face more patenting competition from China in future years” (S. 32/33). Mein Kommentar: Ich nutze keine Aktien mit Hauptsitz in China und keine Themen-ETFs mit hoher China-Allokation.
Europäische Tiger: Public Spending and Government Performance in Europe and Asia: Tigers Today and in the Future von Ludger Schuknecht vom 17. März 2022 (#16): “Public spending and performance patterns differ hugely across countries. Asian “tigers” and some advanced countries show low public spending coupled with strong performance indicators. Central and Eastern European “tiger” countries are also catching up strongly while featuring leaner and productive governments (abstract). … When looking at the starting position of the Asian and Central Eastern European “tigers” in the past 20 years, these countries already featured strong indicators on rule of law, human capital and infrastructure at the turn of the millennium. … Slovenia and Viet Nam are in a good position on all three accounts while a number of other countries performs well on at least two of them” (S. 35).
Positivmigration: The Long-Run Effects of Immigration: Evidence Across a Barrier to Refugee Settlement von Antonio Ciccone und Jan Nimczik vom März 2022: “After the end of World War II in 1945, millions of refugees arrived in what in 1949 became the Federal Republic of Germany. … The higher population density in 1950 on the former US side of the 1945-1949 border persists entirely in 2020 and coincides with higher rents as well as higher productivity, wages, and education levels. … we see the origin of today’s economic differences across the former border in that the US zone admitted refugees while the French zone restricted access. Our estimates indicate that the arrival of refugees raised income per capita by around 13% and hourly wages by around 10%”.
Diversitätsnachteile (Gendereffekte): Diversity and Performance in Entrepreneurial Teams von Sophie Calder-Wang, Paul A. Gompers und Kanyuan (Kevin) Huang vom 9. März (#567): “We study the role of diversity … of over 3,000 MBA students who participated in a business course to build startups. … we quantify the strong selection based upon shared attributes when students are allowed to choose teammates. … when team memberships are randomly assigned, greater racial/ethnic diversity leads to significantly worse performance. … we find that teams with more female members performed substantially better when their faculty section leader was female” (abstract).
Grüne Innovationen: Can International Technological Diffusion Substitute for Coordinated Global Policies to Mitigate Climate Change? von Philip Barrett vom 4. Februar 2022 (#14):”… when innovation can diffuse overseas, long-run temperature increases are limited to 3 degrees. This occurs because policy not only encourages green innovations but also dissuades dirty innovations which would otherwise spread. The most effective policy package in emissions-reducing regions is a research subsidy funded by a carbon tax, driven in the short term by the direct effect of the carbon tax on the composition of energy, and later by innovation induced by research subsidies. Green production subsidies are ineffective because they undermine incentives for innovation“ (abstract).
Klimapolitikkosten: Are Climate Change Policies Politically Costly? von Davide Furceri, Michael Ganslmeier und Jonathan D. Ostry vom 4. Februar 2022 (#23): “ … only market-based CCPs (such as emission taxes) generate negative effects on popular support … political costs are not significant when CCPs are implemented during periods of low oil prices, generous social insurance and low inequality”.
Klimaländerausgleich: Global Climate Change Mitigation, Fossil-Fuel Driven Development, and the Role of Financial and Technology Transfers: A Simple Framework von Johannes Wiegand vom IMF vom 4. Februar 2022 (#16): “According to one argument in support of compensation, advanced economies (AEs) have used up much of the atmosphere’s absorptive capacity, thus causing global warming and blocking a similar, fossil-fuel driven development path for emerging markets and developing economies (EMDEs). This paper develops a simple model of a sequential, fossil-fuel driven development process to discuss these issues systematically. The results suggest: (i) AEs have typically a stronger interest in climate change mitigation than EMDEs, (ii) from an equity perspective, compensation is called for only if EMDEs are relatively small; (iii) there can also be an efficiency case for compensation, however, with AEs buying EMDEs out of some of their GHG emissions; (iv) ultimately, a superior option—for both the world’s climate and growth prospects—is the development of clean energy technologies by AEs and their transfer to EMDEs” (abstract).
Zentralbankenklimadefizite: Financial Regulation, Climate Change, and the Transition to a Low-Carbon Economy: A Survey of the Issues von Dimitri G. Demekas und Pierpaolo Grippa vom IMF vom 4. Februar 2022 (#55): “There are demands on central banks and financial regulators to take on new responsibilities for supporting the transition to a low-carbon economy. Regulators can indeed facilitate the reorientation of financial flows necessary for the transition. But their powers should not be overestimated. Their diagnostic and policy toolkits are still in their infancy. They cannot (and should not) expand their mandate unilaterally. Taking on these new responsibilities can also have potential pitfalls and unintended consequences” (abstract).
Carbon price agreement: Pricing Carbon von Moritz A. Drupp, Frikk Nesje und Robert C. Schmidt vom 17. März 2022 (#23): “… we provide survey evidence on carbon pricing from more than 400 experts across almost 40 countries. … a majority of experts can agree on some short- and medium-term global carbon price levels, and on unilateral carbon price levels in most countries. We find little evidence for free-riding. Indeed, experts’ unilateral carbon price recommendations with border carbon adjustment are, on average, higher than global recommendations” (abstract).
Nachhaltige Investments: Umwelt bzw. Gendereffekte
Carbon-Benefits: Do Firms Benefit from Carbon Risk Management? Evidence from the Credit Default Swaps Market von Huu Nhan Duong, Petko S. Kalev, Madhu Kalimipalli und Saurabh Trivedi vom 10. Januar 2022 (#100) “… we find that better carbon risk management is associated with significantly lower credit default swap (CDS) spreads. … Firms with better carbon risk management also have enhanced future growth opportunities and cash holdings” (abstract).
Teurer Finanzgenderbias (Gendereffekte): Gender Bias in Promotions: Evidence from Financial Institutions von Ruidi Huang, Erik Mayer und Darius Miller vom 14. März 2022 (#116): “We build a nationwide panel of mortgage loan officers and branch managers covering 72,000 workers from over 1,000 firms, and document a significant gender gap in promotions: female loan officers are 15% less likely to be promoted than their male counterparts with similar experience and performance. … “in-group” tests show that female workers face bias from both male and female managers, consistent with inaccurate gender stereotypes (rather than animus). Third, firms’ bias toward overpromoting high performing salespeople relative to their managerial potential (the Peter Principle) is much stronger among men than women, which contributes to gender bias in promotions. … At the worker level, female loan officers’ productivity decreases under male supervisors. At the firm level, mortgage companies that promote fewer women see a decrease in loan volume, slower employment growth, and are less likely to survive” (S. 30/31).
VC Genderdefizite (Gendereffekte): Disrupting Venture Capital: Carrots, Sticks and Artificial Intelligence von Kimberly Houser und Kathryn Kisska-Schulze vom 8. März 2022 (#22):” Despite the massive dollars invested each year by VC firms, more than two-thirds of the companies they fund will provide zero return. More problematic, less than 3% of VC funds go to female-led startup teams, and less than 1% go to racially diverse founders. … these numbers have remained stagnant for over 30 years. This is especially perverse given that diverse startups, when funded, appreciably outperform male-only founding teams”.
Nachhaltige Investments: E, S und G Research
ESG Kritik: What’s Really Inside Equity ESG Portfolios? Any stock you can think of is on the menu von Jack Shannon von Morningstar vom 17. März 2022: “… there are few businesses that ESG managers seem to agree to not own. … 84% of the Russell 1000 Index’s stocks, or 96.6% of the index’s market cap, still appear in at least one active ESG strategy … This is not a U.S.-only phenomenon. At least one intentional ESG foreign large-blend fund owns all but two of the MSCI EAFE Index’s 807 constituents … a „buy-and-hope“ ESG strategy in which a manager buys a stock passively hoping for its ESG profile to improve is no different than a non-ESG-intentional strategy. … Investors … would be well-served to do their homework on strategies before investing”. Mein Kommentar: Ich setze nur auf die besten nach E, S und G (Best-in-Universe) und nutze vor allem konzentrierte Portfolios, siehe z.B. das Nachhaltigkeitsreporting mit Portfoliodetails auf www.futurevest.fund
ESG-Details: Deconstructing ESG Scores: How to Invest with Your own Criteria von Torsten Ehlers, Ulrike Elsenhuber, Anandakumar Jegarasasingam und Eric Jondeau vom 17. März 2022 (#71): “…. Given the methodological choice of Refinitiv to assign a negative score when firms fail to disclose ‘yes’ or ‘no’ information, these categories suffer from a high proportion of scores equal to 0, which makes it difficult to differentiate among firms … (S. 23)”. Mein Kommentar: Andere Anbieter füllen Leerstellen mit Branchenmittelwerten. Das ergibt meines Erachtens zu gute Ratings. Ich nutze bei fehlenden Daten einen 25%igen Erfüllungsgrad. Das kommt auch kleinen Unternehmen mit wenig Reportingressourcen zugute. Allerdings müssen bei E, S und G mindestens jeweils 50% nach best-in-Universeansatz erreicht werden. Die durchschnittliche Kapitalisierung in meinen Portfolios liegt deshalb oft im Midcap-Bereich und damit relativ niedrig im Vergleich zu Wettbewerbern.
ESG-Probleme: The Determinants of ESG Ratings: Rater Ownership Matters von Dragon Yongjun Tang, Jiali Yan und Chelsea Yaqiong Yao vom 24. Februar 2022 (#431): “… we find that rater ownership plays a significant role in the determination of ESG ratings. Specifically, the rater tends to give higher ESG ratings to sister firms owned by the same large shareholders” (S. 30).
ESG-Tansparenzrelevanz: The Effect of ESG Disclosure on Corporate Investment Efficiency von Elsa Allman und Joonsung Won vom 29. November 2021 (#487): “… increased quality of ESG disclosure affects firms’ issuance of new debt. We conclude that enhanced ESG disclosure plays a role in reducing information asymmetries that reside in the corporate debt market that led to capital rationing by investors. … Our findings suggest that non-financial reporting plays a role in improving investment efficiency, which can in turn have significant consequences on the real economy” (S. 31). Mein Kommentar: Vgl. Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Geringe SRI-Fondseffekte: Does Socially Responsible Investing Change Firm Behavior? von Davidson Heath, Daniele Macciocchi, Roni Michaely und Matthew C. Ringgenberg vom 6. Februar 2022 (#1062): “… we find little evidence that SRI funds succeed in changing corporate behavior. In particular, we find no evidence that SRI contributes in reducing firms’ pollution, improving employee satisfaction, improve workplace safety, or racial diversity on corporate boards. We do find some evidence that SRI funds improve gender diversity on corporate boards” (S. 32).
SRI-Kritik: Socially Responsible Investing in a Free and Democratic Society von Ruoke Yang vom 24. Februar 2022 (#20): “When socially minded investors are confronted with firms like Amazon and Exxon Mobil that are neither perfectly good nor bad, their investment decisions can go awry if they apply their individual tastes to decide whether Amazon’s lackluster social performance sufficiently outweighs its better environmental performance. Instead, each investor should take into account of the tastes of every individual and assign equal weight to them. To do otherwise would lead to socially responsible investors achieving outcomes that are inconsistent with the aims of a free and democratic society”. Mein Kommentar: Berechtigte Kritik, aber schwierige Umsetzung. Ich nutze seit Jahren anspruchsvolle Mindestscores für E, S und G, das sollte diese negativen Effekte stark reduzieren, vgl. Nachhaltige Portfolios: Warum Best-in-Class schlecht sein kann, aber Best-in-Universe selten genutzt wird (wertpapiertreuhand.de)
Impactfonds: The Risk and Return of Impact Investing Funds von Jessica Jeffers, Tianshu Lyu und Kelly Posenau vom 11. November 2022 (#355): “… the market beta of impact funds is statistically significantly lower than the market beta of VC funds. When accounting for market risk exposure, impact funds underperform the market but do not perform worse than comparable private market strategies. … Our finding that impact underperforms both the S&P 500 and a public sustainability index is consistent with impact investing as a constrained strategy that necessarily leads to lower returns. We find a similar effect for VC and matched benchmark funds” (S. 26). Mein Kommentar: Meine SDG-aligned ETF- und Aktienstrategien haben seit Start (t.w. 2017) keine Performancenachteile, vgl. www.soehnholzesg.com.
Fintech-SDG-Kritik: A Critical Look at Using FinTech Policy to Promote the SDGs von Bryane Michael vom 2. März 2022 (#23): “… international and regional organizations have promoted FinTech as a way of financing the sustainable development goals (SDGs). FinTech-related apps allowing for micro-finance, the tokenization of assets, peer-to-peer lending, and a host of other web-based apps promise to give the poorest access to resources. With access to these resources (so the story goes), the massive funding of social/public goods will help countries achieve their SDG targets. Yet, even by 2022, these efforts seem still-born. COVID-19 has delayed these activities by at least 5-10 years” (S. 20).
Momentum-Enttäuschung: A Look Under the Hood of Momentum Funds von Ayelen Banegas und Carlo Rosa vom 4. Februar 2022 (#499): “Momentum investing has surged over the past few years, with assets growing at three times the rate of conventional funds. Using a comprehensive dataset of US equity funds … we find that risk-adjusted returns of momentum funds are, on average, negative, and most of the time series variation of those returns is explained by exposure to the market factor”.
Experten-Bubbles: Experience Does not Eliminate Bubbles: Experimental Evidence vom 12. Januar 2022 (#88)sowie Investor Experience and Information Do Not Discourage Asset Price Bubbles von Anita Kopányi-Peuker und Matthias Weber vom 15. März 2022 (#15): “It is often believed that markets with more experienced investors exhibit fewer bubbles. The same is believed of markets where investors have additional information about fundamentals. We provide evidence that both is not necessarily true. In contrast, bubbles may rise faster in markets with more experienced investors” (abstract).