Grüner Wachstumsschub: Building Back Better: How Big Are Green Spending Multipliers? von Nicoletta Batini, Mario Di Serio, Matteo Fragetta, Giovanni Melina und Anthony Waldron vom Internationalen Wärhungsfonds vom 4. Februar 2022 (#63): “…independently of the sector, spending on measures targeting good environmental outcomes, like investing in clean energy and ecosystem conservation, can produce more growth than environmentally detrimental measures. Specifically, we find that spending on clean energy, like solar, wind or nuclear, has an impact on GDP that is about 2 to 7 times stronger—depending on the technology and the horizon under consideration—than spending on non-eco-friendly energy sources like oil, gas and coal. From a stimulus point of view, these measures also appear economically sustainable because they end up producing more GDP than they initially demand. By contrast, spending on non-eco-friendly energy generation, is found to crowd out other forms of domestic spending to a larger extent. These findings can be rationalized by noting that, compared with fossil fuel technologies, which are typically mechanized and capital intensive, the renewable energy industry is more labor intensive. … our findings on ecosystem conservation spending show that it can return up to seven times as much that amount over the course of five years. In contrast, spending to support unsustainable land uses—in our case highly mechanized and imported-inputdependent industrial crop and animal agriculture—returns less than the initial expenditure” (S. 36).
Klimapolitik: Scaling up Climate Mitigation Policy in Germany von Simon Black, Ruo Chen, Aiko Mineshima, Victor Mylonas, Ian Parry und Dinar Prihardini vom Internationalen Währungsfonds vom 4. Februar 2022 (#27): “This paper shows the substantial variation in the price responsiveness of emissions across sectors and thus prices implied by sectoral targets. It proposes the following measures to help Germany meet emissions targets with greater certainty and cost effectiveness: (i) further strengthening carbon pricing, for example through automatically rising price floors for the national ETS after 2026; (ii) harmonizing carbon pricing to reduce cross-sector differences in marginal abatement costs; and (iii) introducing feebates (revenue neutral tax-subsidy schemes) to reinforce incentives at the sectoral level. The paper also studies the distributional impact of higher carbon pricing and suggests that reducing social security contributions can mitigate the regressive direct impact of higher carbon pricing on lower-income households. Concerns with carbon leakages and firms’ competitiveness are best addressed through agreeing on an international carbon price floor” (abstract).
Grüne Politikanalyse: The Political Consequences of Green Policies: Evidence from Italy von Italo Colantone, Livio Di Lonardo, Yotam Margalit and Marco Percoco vom 7. März 2022 (#46): “How does the introduction of green policies affect voting? We study this question in the context of a major ban on polluting cars introduced in Milan. The policy was strongly opposed by the right-wing populist party Lega, portraying it as a “radical-chic-leftist” initiative penalizing common people. We show that owners of banned vehicles—who incurred a median loss of €3,750—were significantly more likely to vote for Lega in the subsequent elections. … recipients of compensation from the local government were not more likely to switch to Lega” (abstract).
Klimamigration: Cumulative Climate Shocks and Migratory Flows: Evidence from Sub-Saharan Africa von Salvatore Di Falco, Anna B. Kis und Martina Viarengo vom 17. Februar 2022 (#23): “We find that while the effect of recent adverse weather shocks is on average modest, the cumulative effect of a persistent exposure to droughts over several years leads to a significant increase in the probability to migrate. The results show that more frequent adverse shocks can have more significant and long-lasting consequences in challenging economic environments” (abstract).
Researchmarketing: SSRN’s Impact on Citations to Legal Scholarship and How to Maximize It von Rob Willey und Melanie Knapp vom 30. März 2022 (#69) “Our data indicates that well-cited papers are more likely to be posted on SSRN. We also found that it’s better to make your SSRN posting before or shortly after publication in a journal. … SSRN postings also provide Google with an indexable copy of the article, at least initially. … Part of SSRN’s benefit may also stem from its potential to rank well in Google results ….” (S. 27). Mein Kommentar: Der Beitrag ist relevant für alle, die meine Hauptquelle SSRN besser verstehen wollen.
Greenwash-Update: Resposible Investing Research
Ethikvorteile: Do ethics outpace sins? von Sitara Karim, Muhammad Abubakr Naeem und Brian M. Lucey vom 19. März 2022 (#30): “We identified the dependence between sin stocks, ethical investments, and conventional stock markets. … We report safe-haven features of SPGB against sin stocks during short-term while similar features are manifested in pre- and post-COVID periods. Subsequently, medium and long-run frequencies highlighted diversification and hedging potentials of SPGB against sin stocks and conventional stocks … Our findings stressed that despite generating higher returns, sin stocks and conventional investments are outpaced by ethical investments. … green investments … they bear diversification, safe-haven, and hedging features. … They continue to outperform traditional investments even in the long-run due to their lower vulnerability to external shocks under extreme and stable market conditions” (S. 4/5). Mein Kommentar: Das ist auch meine Erfahrung, vgl. Soehnholz ESG und z.B. Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Waffenkontroverse: A third of Europe’s Article 8 and 9 funds have controversial weapons exposure, data suggests von Siri Christiansen vom 21. März 2022: “Morningstar Direct data indicates 1,625 of Article 8 or 9 funds in Europe already had exposure to controversial weapons in December 2021. … A BlackRock spokesperson said all holdings of the fund – which includes Booz Allen Hamilton, Moog, Rolls-Royce and Science Applications International Corporation – are not in breach of the firm’s exclusion policies for controversial weapons. … ‘There may be disagreements over a company that manufactures a component, and whether the component is critical to a controversial weapon, or whether the component has broader industry usage,’ said Jim Whittington, head of responsible investment at Dimensional … We also exclude parent companies if its subsidiary is involved in products specially designed for controversial weapons,’ Pia Gisgård, head of sustainability and governance at Swedbank, told Citywire Selector “. Mein Kommentar: Ich versuche seit 2016 alle Waffenanteile aus meinen direkten Aktienportfolios konsequent auszuschließen
Klimatoolcheck: Taming the Green Swan: a criteria-based analysis to improve the understanding of climate-related financial risk assessment tools von Julia Anna Bingler und Chiara Colesanti Senni vom 22. März 2022 (#224): “… we conducted a descriptive analysis … to understand the general setup, coverage and modules of individual climate risk assessment tools currently available. We found that it would be beneficial to extend the coverage of risk sources in order to cover policy, market upstream, market downstream and technology developments, and to capture what risk sources could reinforce each other. Also, the unlisted financial assets need to be included in the analysis coverage. … we analysed 16 state-of-the-art climate risk tools … The main issue for accountability is the current low transparency of the tools’ specific setup, combined with a lack of peer-reviews of the individual tools. We also found that the depth of risk analysis varies considerably amongst tools. … In terms of usability, we found that that tools do not sufficiently account for uncertainty in the output (i.e. by providing probability distributions and confidence intervals instead of point estimates). … scenario-neutrality (or at least a certain extent of scenario flexibility) would also increase usability of the tools” (S. 367/368).
CO2-EK-Risiken: Do investors consider greenhouse gas emissions in their equity risk assessments von Alix Auzepy, Yannik Bofinger und Björn Rock vom 16. Februar 2022 (#71): “Based on 8,023 firm-year observations from a sample of European firms over the period from 2010 to 2020, our results imply that GHG emissions are relevant for investors’ equity risk assessments. First, we find that firms with higher levels of scope 1 and scope 2 GHG emissions are associated with higher standard and downside equity risks. However, we cannot find any clear influence of scope 3 GHG emissions on firm equity risks. Second, our findings indicate that the mere disclosure of GHG information is in contrast linked to lower equity risks” (abstract).
Grüner Faktor? The role of a green factor in stock prices. When Fama @ French go green von Ricardo Gimeno und Clara I. González von der Banco de Espana vom 24. März 2022 (#29): “… we extend the framework of the factor models that explain the expected return of stock models to include a climate change exposure factor. To do so, we built a portfolio that is long on companies with low carbon emissions, and short on companies with high carbon emissions. We show that this factor is relevant in the market and allows for an approximation of the climate change exposure of firms with poor disclosure of their green performance” (abstract).
Votingdefizite: Recycling targets – soda pressing von Planet Tracker vom 17. März 2022: Coca-Cola and PepsiCo are the world’s top plastic polluting brands and therefore their recycling targets deserve scrutiny. We believe that investors should have little confidence in these goals and financial institutions should share the blame for this … By analysing voting data provided by Insight Proxies, it shows that the top 20 investors in Coca-Cola and PepsiCo do not view such sustainability issues as a priority. For both companies, there has only ever been one proxy vote to create an environmental report. This was on a tangential proxy vote in 2019 regarding whether PepsiCo should create a report on pesticide management. Among the top 17 shareholders of PepsiCo at the time of the 2019 vote, 15 voted against the introduction of this report …”. Mein Kommentar: Vergleiche Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink
Blackrock-Greenwash? Do Institutional Investors Vote Responsibly? von Anne Lafarre vom 1. März 2022 (#111): “Dutch and European institutional investors are significantly more socially responsible than US investors. … we also find that US asset owners including pension funds and universities have a more responsible ideology than US asset managers. … CSR preferences of the Big Three: We document that these index funds, including BlackRock SRI funds, are significantly less socially responsible than most institutional investors in our sample. While BlackRock claims climate change is the most pressing issue and promises to back more CSR-related shareholder proposals, we find no evidence for either claim, relegating this promise to greenwashing. Our Follow This Shell 2021 case study perhaps suggests that a Say on Climate may induce greenwashing as well, leading to the adverse effect that a management proposal receives more support from institutional investors than more ambitious proposals by activists, but more research is welcomed” (S. 35).
Greenwash-Update: A Comprehensive Climate Assessment of the World’s Largest Financial Institutions von Influence Map vom März 2022: “All major financial groups retain core memberships in industry associations opposing evolving climate finance policies in the EU, UK, and US. Their banking and asset management arms remain highly active in fossil fuel production financing, in direct contrast to science-based guidance. The climate plans the sector does have remain focused on 2050 targets with little evidence of shortterm action plans” (S. 2).
Traditional Investing Research
Anleihepuzzle: The Credit Spread Puzzle – Evidence from a Quasi-Natural Experiment von Catharina Claußen, Johannes Kriebel und Andreas Pfingsten vom 19. Oktober 2021 (#115): “Extensive prior research … mainly finding credit spreads to be insufficiently explained by credit risk. … Building on an extensive dataset of monthly German bond price data from 2005 to 2015, we find a difference in spreads of guaranteed and non-guaranteed bonds of on average 16.3 basis points. In our sample, these 16.3 basis points account for 18.3% of the average total credit spread leaving 81.7% (72.8 basis points) unexplained” (S. 17/18).
Passiv-Aktiv-Effekte: Indexing and the Performance-Flow Relation of Actively Managed Mutual Funds von Simon Lesmeister, Peter Limbach, P. Raghavendra Rau und Florian Sonnenburg vom 18. März 2022 (#32): “We find that the introductions of ETFs (is) … associated with a significantly lower sensitivity of flows to past performance …” (S. 21). “The increased competition from index funds is also associated with a higher fund performance-liquidation sensitivity, suggesting real economic consequences for active fund managers and fund management companies” (abstract).
ETF-Probleme: A Tale of Two Index Funds: Full Replication vs. Representative Sampling von Travis Dyer und Nicholas Guest vom 28. MÄrz 2022 (#36): “Full replicators hold index constituents in proportion to their index weights, with few exceptions. In contrast, representative samplers select a subset of stocks from the index using variables such as size, dividends, and P/E ratios. … we compare the performance of the two approaches and find that samplers have higher turnover and expenses while earning worse returns. Furthermore, this result does not appear to be driven by niche indices, as we find similar results in the subsample of funds following the S&P 500 and other market-cap-based indices. … our findings suggest that almost half of index funds use a sampling approach that strays from the passive ideal and results in worse performance on average” (S. 31/32).
Börsengang-Rückgang: Finding an alternative to IPOs: Direct Listing and SPACS von Maria Lucia Passador vom 28. März 2022 (#49): “This chapter highlights the relentless decline of listed companies in European markets and, at the same time, the increase in the number of alternative tools. Among all of them, direct listing and SPACs … In relation to SPACs, their historical evolution is described thoroughly, including from a comparative perspective, and so their dominant role in the markets, especially in 2020. …. a special attention is paid to the litigation aspects that the latest developments deriving from their greater diffusion generated” (abstract).
Korrelationskorrekturen: Shrinking beta von David Blitz, Laurens Swinkels, Kristina Ūsaitė und Pim van Vliet von Robeco vom 23. Februar 2022 (#478): “Betas are used in many applications ranging from asset pricing tests, cost of capital estimation, investment management and risk management. Beta needs to be estimated, and to reduce estimation error, shrinkage to its cross-sectional average value of one is often applied. Since beta is the product of the return correlation of a security with the market and its relative return volatility to that of the market, we shrink correlation and volatility separately and evaluate its predictive power. We find economically and statistically significant gains from shrinking correlations more than volatilities” (abstract). Mein Kommentar: Mehr Anlagesegmente erfordern mehr Korrelationsprognosen. Prognosen über mehr als eine Anlageperiode erhöhen das Prognoseproblem. Ich nutze lieber die gut funktionierende “most-passive” prognosefreie Allokation, siehe Das-Soehnholz-ESG-und-SDG-Portfoliobuch.pdf (soehnholzesg.com) oder – kürzer – Das „most-passive“ Anlageportfolio der Welt ist sehr attraktiv – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Quantkritik: Where’s the Beef? von Rob Arnott, Amie Ko und Lillian Wu von Research Affiliates vom 9. März 2022 (#65): “Investors frequently buy into historical simulations or backtests, often supported by compelling studies by respected academics, suggesting wonderful performance with remarkable consistency, only to earn no alpha once they invest. The only winners typically are the asset managers and brokers through their fees and commissions. The problem is data mining and performance chasing, the nemeses of all investors” (abstract). … “Quants and Academic Researchers Quants and academic researchers play a crucial role in setting appropriate investor expectations. When conducting backtests for either investment strategies or academic empirical work, they should impose a higher hurdle for declaring a backtest result, and they should willingly disclose their “negative” findings so that investors are fully aware of what has been tested and what did not work” (S. 13). Mein Kommentar: Ich habe 2016 Backtests durchgeführt und gute und schlechte dokumentiert (vgl. 161230 Diversifikator Test von Risikomanagement-Modellen.pdf (soehnholzesg.com). Ich nutze Backtests nur zur Plausibilisierung und verlange keine Outperformance für neue Portfolios, vgl. Konzeptionell-regelbasierte Small-Data Portfolios statt Evidence-Based Investing – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com). Trotzdem – oder deswegen – laufen die Portfolios meist ziemlich gut, vgl. www.soehnholzesg.com.
Engelinvestments: Angels and Demons: The Negative Effect of Employees’ Angel Investments on Corporate Innovation von Santanu Kundu und Clemens Mueller vom 22. November 2021 (#14): “… we find that angel investors negatively impact innovation of their corporate employer. … However, we also find that such angel employees seem to have a positive impact on startup success. … our analysis suggests that agency conflicts are a driver of the negative relationship between angel employees and future firm innovation. Employees divert time and effort from their employers to their personal start-up investments” (S. 30/31).
Irrationale Immopreise? Housing Yields von Stefano Colonnello, Roberto Marfè und Qizhou Xiong vom 7. Dezember 2021 (#100): “Relying on sale and rental prices for flats from a major German online real estate platform, we study the distribution and the drivers of rent-to-price ratios (or housing yields). … much of the variation of rent-to-price ratios remains unexplained. … we show that rent-to-price ratios … display significant and economically meaningful ability to predict returns and rent growth” (S. 29).
Portfoliotransparenz: Does Portfolio Disclosure Make Money Smarter? von Byoung Uk Kang, Andrew J. Sinclair und Stig J. Xeno vom 26. Oktober 2021 (#51): “We take advantage of the unique features of the hedge fund market to quantify the causal effect of mandatory portfolio disclosure. We document that mandatory disclosure increases investors’ selection ability, and find that this is due to the informational value of disclosure” (S. 26).