Umwelt (Genderforschung)

CO2-Inflation: Effects of Carbon Pricing on Inflation von Richhild Moessner vom 15. Februar 2022 (#21) “Our findings are relevant for future climate policies. They suggest that higher carbon taxes and prices of permits in ETS have not led to large increases in headline CPI inflation” (S. 7).

CO2-Steuer: Evaluating Carbon Tax Policy: A Methodological Reassessment of a Natural Experiment von Andres Arcila und J.D. Baker vom 5. November 2021 (#41): “… the Canadian province of British Columbia was on the forefront of North American environmental policy when it implemented a carbon tax in 2008. … new data suggests that CO2 emissions and fossil fuel consumption have in fact risen in recent years. … However, we do find there to be a reduced share of economic activity in the energy industry following the policy change” (abstract).

Pharmadreck: Pharmaceutical pollution of the world’s rivers von John L. Wilkinson e al. vom Februar 2022: “… active pharmaceutical ingredients (APIs) … we present a global-scale study of API pollution in 258 of the world’s rivers, representing the environmental influence of 471.4 million people across 137 geographic regions. … The most contaminated sites were in low- to middle-income countries and were associated with areas with poor wastewater and waste management infrastructure and pharmaceutical manufacturing. … Concentrations of at least one API at 25.7% of the sampling sites were greater than concentrations considered safe for aquatic organisms … Therefore, pharmaceutical pollution poses a global threat to environmental and human health” (abstract).

Soziales (Genderforschung)

Gefährliche Altenheime: Nursing Homes and Mortality in Europe: Uncertain Causality von Xavier Flawinne, Mathieu Lefebvre, Sergio Perelman, Pierre Pestieau und Jerome Schoenmaeckers vom 17. Februar 2022 (#21): “… overall, residing in nursing homes increases the probability to die earlier than staying at home. This hides important differences across countries with Germany, Switzerland, Belgium and France showing “deadlier” nursing homes than the other countries. … It appears that countries in which the mortality in nursing homes is higher are also the countries in which the public spending and the resources devoted to long term care are low” (S. 16).

Facebookspion: Facebook Shadow Profiles von Luis Aguiar, Christian Peukert, Maximilian Schaefer und Hannes Ullrich vom 17. Februar 2022 (#27): “We quantify the extent to which Facebook can track web behavior outside of their own platform. The network of engagement buttons, placed on third-party websites, lets Facebook follow users as they browse the web. Tracking users outside its core platform enables Facebook to build shadow profiles. For a representative sample of US internet users, 52 percent of websites visited, accounting for 40 percent of browsing time, employ Facebook’s tracking technology. … The extent of shadow profiling Facebook … is … documenting the possibility for indiscriminate tracking” (abstract).

Genderforschung und Ambitionen: Gender Differences in Private and Public Goal Setting von Jordi Brandts, Sabrine El Baroudi,  Stefanie Huber und Christina Rott vom 30. Januar 2022 (#9): “… study gender differences in self-set performance goals and their effects on performance in a real-effort task. We distinguish between public and private goals, performance being public and identifiable in both cases. Participants set significantly more ambitious goals when these are public. Women choose lower goals than men in both treatments. Men perform better than women under private and public goals as well as in the absence of goal setting, consistent with the identifiability of performance causing gender differences, as found in other studies. Compared to private goal setting, public goal setting does not affect men’s performance at all but it leads to women’s performance being significantly lower. Comparing self-set goals with actual performance we find that under private goal setting women’s performance is on average 67% of goals, whereas for men it is 57%. Under public goal setting the corresponding percentages are 43% and 39%, respectively” (abstract).

Genderforschung und Versicherungen: LGBT-supportive corporate policies, risk aversion and mitigation, and economic policy uncertainty (EPU) von Chaiyuth Padungsaksawasdi, Sirimon Treepongkaruna und Pornsit Jiraporn vom 11. Februar 2022 (#20): “… companies significantly raise their investments in LGBT-supportive policies in times of greater uncertainty, reinforcing the risk mitigation view where LGBT-supportive policies create moral capital with an insurance-like effect that mitigates adverse consequences during uncertain times” (abstract).

Genderforschung und Aktivismus: Gender Differences in Shareholder Activism: Evidence from Shareholder Proposals von Yenn-Ru Chen, Chia-Hsien Lina und Angie Low vom 3. Februar 2022 (#29): “Firms with female CEOs receive more shareholder proposals, especially lower-quality proposals, than firms with male CEOs. Institutional investors are more likely to sponsor environmental/social proposals that are ultimately withdrawn after private negotiations, while individual investors sponsor more governance proposals, targeting female CEOs’ performance. These results indicate individual investors tend to perceive female CEOs as less competent, while institutional investors target their more democratic leadership style. Further results suggest the differential treatment toward female CEOs is mitigated when they outperform their peers and when female CEO representation is greater ….” (abstract).

ErbInnen: The (Un)Importance of Inheritance von Sandra E. Black, Paul J. Devereux, Fanny Landaud und Kjell G. Salvanes vom Januar 2022: “We find that while gifts and inheritances constitute a small overall proportion of Total Inflows (about 3% to 6% depending on age); their contribution is dominated by labor income and government transfers. … the ratio of gifts and inheritances to Total Inflows (the GI ratio) is larger for people who are in the top 1% of total wealth or income. The GI ratio is low on average at all points in the distribution of labor income” (S. 18).

Nachhaltigkeitstransparenz: Sustainability disclosure channels and firm risk: Evidence from initiated and continued social disclosure between SEC filings, sustainability reports, and financial reports von Andreas G. F. Hoepner und Frank Schiemann vom 8. Februar 2022 (#45): “Firms can disclose social information via different channels such as SEC filings, stand-alone sustainability reports, or financial reports. … Studying S&P 1,500 constituents between 2011 and 2015, we distinguish between initiated and continued disclosure along each of the three disclosure channels. We find initiated disclosure of social issues via SEC filings to increase idiosyncratic firm risk. Initial disclosures on the other two channels do not significantly alter risk, while we find continuous disclosure of sustainability to be risk reductive in line with previous literature” (abstract). Mein Kommentar: Ich versuche möglichst viel Transparenz sicher zu stellen, vgl. Nachhaltigkeitsreporting und Nachhaltikgeitsinvestmentpolitik für meinen Fonds bzw. hier

Nachhaltige Investments

Viel Kohle: Neue Recherche enthüllt Banken und Investoren hinter globaler Kohleindustrie von urgewald vom 15. Februar 2022:  Kommerzielle Banken haben in den vergangenen drei Jahren die globale Kohleindustrie mit über 1,5 Billionen US-Dollar in Form von Krediten und Underwriting-Mandaten unterstützt. Zudem hielten institutionelle Investoren mit Stand November 2021 – dem Monat, als die COP26 in Glasgow stattfand – Aktien und Anleihen der globalen Kohleindustrie im Wert von über 1,2 Billionen US-Dollar. … Mit Blick auf deutsche Finanzinstitute schafft es die Deutsche Bank bei Krediten und Underwriting-Mandaten im internationalen Ranking auf Platz 40 (von 705) und wegen ihrer Tochter DWS bei den Investoren auf Platz 28 (von über 4.900). Die Allianz-Gruppe belegt sogar Platz 20 im internationalen Investorenranking. Insgesamt leiteten deutsche Finanzinstitute in den vergangenen drei Jahren rund 18,2 Milliarden US-Dollar in Form von Krediten und Underwriting-Mandaten an die globale Kohleindustrie. Deutsche institutionelle Investoren hielten mit Stand November 2021 rund 23 Milliarden US-Dollar an Aktien und Anleihen der globalen Kohleindustrie“. Mein Kommentar: Vgl. Neues SDG Sozialportfolio und noch strengere ESG Anforderungen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

CO2-Indizes: Carbon Bias in Index Investing von Mathijs Cosemans und Dirk Schoenmaker vom 28. Januar 2022 (#103): „We show that the carbon intensity of two major U.S. and European market indices is 70% to 90% higher than that of the U.S. and European economy, respectively. … We show that carbon-intensive sectors such as mining, manufacturing, and electricity are strongly overweighted in value-weighted stock market indices relative to their share in the gross value added of the economy. Firms in high-carbon sectors form a disproportionate share of the index because they tend to be capital intensive and are more likely to be publicly listed than firms in low-carbon sectors such as education, health, and consultancy” (S. 15).

CO2-Definition: Scope 3 emissions and their impact on green portfolios von Théophile Anquetin, Guillaume Coqueret, Bertrand Tavin und Lou Welgryn vom 27. Januar 2022 (#182): “The aim of this paper is to study the performance of carbon-based portfolios when all emissions scopes are accounted for. … we resort to total emissions (Scopes 1-2-3). Our results show that it is possible to cut emission intensities in half at least with virtually no loss in Sharpe ratio, across various choices of risk aversions, and irrespective of emissions data provider” (abstract).

CO2-Kreditrisiko: The low-carbon transition, climate commitments and firm credit risk von Sante Carbone, Margherita Giuzio, Sujit Kapadia, Johannes Sebastian Krämer, Ken Nyholm und Katia Vozian vom 22. Dezember 2021 (#83):  “High emissions tend to be associated with higher credit risk. But disclosing emissions and setting a forward-looking target to cut emissions are both associated with lower credit risk, with the effect of climate commitments tending to be stronger for more ambitious targets. After the Paris agreement, firms most exposed to climate transition risk also saw their ratings deteriorate whereas other comparable firms did not, with the effect larger for European than US firms, probably reflecting differential expectations around climate policy” (abstract).

Grüne Anleihen: Who pays for sustainability? An analysis of sustainability-linked bonds von Julian F. Kölbel und Adrien-Paul Lambillon vom 9. Februar 2022 (1046): “We examine the novel phenomenon of sustainability-linked bonds (SLBs). These bonds’ coupon is linked to the issuer achieving a predetermined sustainability performance target. … Our results show that in most cases investors pay for the improvement in sustainability, while issuers benefit from a sustainability premium. Our analysis suggests that the sustainability premium is larger for bonds with a higher coupon step-up and for callable bonds. We also show that there is a ‘free lunch’ for some SLB issuers, as their financial savings are higher than the potential penalty, and they have a call option to reduce this penalty. While our findings suggest that most SLBs incentivize sustainability improvements by offering a lower cost of capital, some companies that do not benefit from a sustainability premium seem to issue SLBs to signal their commitment to sustainability targets. The ‘free lunch’ however suggests that SLBs can also be a form of greenwashing, when they are issued purely for financial optimization without a real commitment to carry out sustainability improvements” (abstract).

ESG Newseffekte: ESG news, future cash flows, and firm value von François Derrien, Philipp Krueger, Augustin Landier und Tianhao Yao vom 29. Dezember 2021 (633): “We find that after learning about negative ESG news, analysts significantly downgrade their earnings forecasts over all horizons, including long-term horizons. Negative ESG incidents affect earnings forecasts at longer horizons than other types of corporate incidents. The negative revisions of earnings forecasts reflect expectations of lower future sales (rather than higher future costs). Forecast revisions explain most of the negative impacts of ESG incidents on firm value. In Europe, analysts who exhibit greater sensitivity to ESG news provide significantly more precise forecasts than their peers” (abstract).

Gute ESG Performance: ESG Challenges in the Construction of UK Balanced Portfolios for Private Investors: An Analysis of the Availability and Performance of ESG Funds Across Various Asset Classes von Jacob H. Schmidt und Charlie McCann vom 30. Januar 2022 (#26): “… Sharpe ratios and quartile analyses underline the strong outperformance of ESG equity and multi-asset funds …” (S. 138). Mein Kommentar: Vgl. Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Investmenttalent: How easy is it for investment managers to deploy their talent in green and brown stocks? von David Ardia, Keven Bluteau und Thien Duy Tran vom 17. Januar 2022 (#43): “We explore the realized alpha-performance heterogeneity in green and brown stocks’ universes … Focusing on S&P 500 index firms over 2014–2020 and defining peer groups in terms of firms’ greenhouse gas emission levels, we find that, on average, about 20% of the stocks differentiate themselves from their peers in terms of future performance. We see a much higher time-variation in this opportunity set within brown stocks. Furthermore, the performance heterogeneity has decreased over time, especially for green stocks, implying that it is now more difficult for investment managers to deploy their skills when choosing among low-GHG intensity stocks” (abstract).

Traditionelle Investments

Genderforschung und Alte: Delegating Financial Decisions to Spouse: Evidence from an Experiment with Older Couples von Sylvain Hohna, Anup K. Basua und Uwe Dulleck vom 25. Januar 2022 (#16): “We examine the delegation behavior among Australian heterosexual couples aged 60 years and above … There is evidence of a strong desire to retain agency over financial decisions as 70% of the participants do not delegate a single task to their spouse. Men show extremely low likelihood of delegation. The odds of women delegating to their husbands are nearly 25 times higher than that of men delegating to their wives. This gender difference in delegation behavior is not explained by the difference in the financial competence of the spouses …” (abstract).

Unintuitive Statistik? Statistics and common sense von Nobuyuki Hanaki, Jan R. Magnus und Donghoon Yoo vom 11. Februar 2022 (#26): “… statistics and common sense often diverge. We have seen that “easy” probabilistic questions can now be solved even by students without any background in probability and statistics. … but … Even properly trained quantitative students don’t understand some of the basic ideas of estimation and testing theory, and their intuition is often contrary to statistical theory” (S. 21).

Finanzforschungsansätze: The Complementarity of Experimental and Archival Finance Research von Lucy F. Ackert und Hong Qu vom 8. Februar 2022 (#20): “We provide side-by-side comparisons of research studies that use archival and experimental methods to examine important behavioral finance topics such as the disposition effect, CEO overconfidence, post-earnings announcement drift in stock returns (PEAD), and investor attention. In addition, we contrast the application of archival and experimental methods for a traditional finance topic by discussing a pair of market microstructure studies. The side-by-side examples give the reader a sense of the complementarities between the contributions provided by research using different empirical methods in different research paradigms” (abstract).