Herdenverhalten

Herdenverhalten und mehr neues Investmentresearch

Umfeld

Ungleichheiten haben zugenommen: Monetary policy and inequality von Maarten Dossche, Jiří Slačálek und Guido Wolswijk im ECB Economic Bulletin 2/2021: “In many advanced economies, inequality has been on the rise for several decades. …While some drivers of rising inequality are common to most countries (e.g. globalisation), policies other than monetary policy have been key in explaining those cross-country differences. …the easing of monetary policy clearly has an inequality-reducing impact via its indirect effects, resulting in increased employment for lower-income households in particular. … While recent improvements to models and data have contributed to a better understanding of this part of the monetary transmission channel, several puzzles remain …”

Werden steigende Zinsen Ungleichheiten weiter erhöhen? Financial and Total Wealth Inequality with Declining Interest Rates von Daniel Greenwald, Matteo Leombroni, Hanno Lustig, Stijn Van Nieuwerburgh vom 9. März 2021: “a 30-year old with many more years left in the labor market is partially hedged against this real interest rate change. The market value of the 30-year old’s human wealth in 2019 is much larger than that of the 30-year old in 1982 as the valuation reflects the lower interest rates. … We quantify the effect of declining rates on inequality by adding rich heterogeneity by age, race, gender, and education. … the model with declining interest rates explains all of the increase in financial wealth inequality. Human wealth inequality is much lower than financial wealth inequality, and increases by much less when rates decline. Since human wealth represents a majority of total wealth, the effect of lower rates on total wealth inequality is small, and even reverses at the top of the total wealth distribution. While most households have been made worse off by the decline in interest rates, the costs have fallen disproportionally on the young and the low-wealth households” (S. 36/37).

Die Bundesbank kann (vor allem Frauen) ängstigen: Toothless Tiger With Claws? Financial Stability Communication, Expectations, and Risk-taking von Johannes Beutel, Norbert Metiu und Valentin Stockerl von der Deutschen Bundesbank vom 19. März 2021: “If the central bank asserts that risks to financial stability have risen, respondents believe that a crisis is more likely to happen in the near future. …an exogenous increase in their perceived crisis … significantly reduces their demand for the risky asset … lower their share of deposits at riskier banks ….Interestingly, female respondents .. tend to display stronger updating behavior than male respondents” (S. 35).

Deutsche Private Equity Chauvis? Gender Gap: Women Investment Professionals in German-Speaking Europe von Daniela Nienstedt und Nadine Mensdorf von Russell Reynolds Associates vom 15. März 2021: In German-speaking Europe—Germany, Austria, Switzerland—women are underrepresented in multiple industries. One of the most extreme instances of this gender gap occurs in private equity. To learn more, Russell Reynolds Associates (RRA) analyzed the profiles of more than 1350 private equity professionals at over 100 funds and found that only 8 percent of the German-speaking investment professionals are women. This compares to 13 percent representation among private equity professionals globally, according to recent Preqin data” (S. 2).

Die Kraft von Mitarbeitern für ESG nutzen: Protests from within Engaging with Employee Activists von Stephen Miles, David Larcker und Brian Tayan vom 9. März 2021: “Data from Marketing Scenario Analytica (MSA) demonstrates the sudden emergence of employees as a source of ESG activism. Taking a two-month measurement period (May and June), MSA finds a 50 percent increase in employee activism events between 2018 and 2020, and a near tripling of events from 2019 to 2020. Furthermore, the issues involved in employee activism have become more diverse: in 2018, employee activism focused more exclusively on the treatment of women in the workplace, whereas more recently it has included a broader set of social, political, and environmental issues” (S. 1).

Banken mit (zu) viel Geld für Öl: Banking on climate chaos – Fossil fuel finance report 2021 von Reclaim Finance vom 25. März 2021: “This report analyzes fossil fuel financing from the world’s 60 largest commercial and investment banks — aggregating their leading roles in lending and underwriting of debt and equity issuances — and finds that these banks poured a total of $3.8 trillion into fossil fuels from 2016–2020. … 2020 levels remained higher than in 2016, the year immediately following the adoption of the Paris Agreement … UniCredit has the strongest policy overall, though it only earned about half of the available points — underscoring that the banking sector remains far from committing to a complete exit from fossil fuel financing” (S. 4). Mein Kommentar: Vgl. Divestmentkritik: Populäre aber falsche Kritik an verantwortungsvollen Geldanlagen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Herdenverhalten und traditionelle Investments

Corona hat die Risiken von Bankaktien stark erhöht: Why Did Bank Stocks Crash During COVID-19? Von Viral Acharya, Robert Engle III und Sascha Steffen vom 9. März 2021: “We document that the balance-sheet liquidity risk of banks is an explanation for the significant and persistent underperformance of bank stocks relative to other financial and non-financial firms during the COVID-19 pandemic. … This episodic impact of balance-sheet liquidity risk on bank stock returns is not unique to the COVID-19 crisis, and was also seen during the global financial crisis … total debt on firms’ balance sheet has substantially increased  … In other words, ex-ante aggregate drawdown risk of banks is again high (e.g., in case of another wave of the pandemic or due to another aggregate shock) (S. 35/36).

Vom historischen Amsterdam lernen? Reaching for Yield: How Investors Amplify Housing Booms and Busts von Matthijs Korevaar vom 17. März 2021: “Using the setting of historical Amsterdam, this paper shows that low interest rate environments cause investors to reach for yield and that this behavior is most prevalent among investors who are heavily reliant on capital returns as a source of income, such as rentiers. As a result of this behavior, asset price growth is exacerbated in periods of low interest rates but reverts when interest rates increase again. … large investors searching for yield bid up prices and crowd-out regular home-buyers. In Amsterdam, this behavior resulted in a persistent increase in housing wealth inequality” (S. 34).

Morningstar Ratings haben einen riesigen Einfluß: Discontinued Positive Feedback Trading and the Decline in Asset Pricing Factor Profitability von Itzhak Ben-David, Jiacui Li, Andrea Rossi und Yang Song vom 22. März 2021: “In recent decades, factor investing also became increasingly popular in the investment industry … However, factor profitability has declined over time. Adding to the puzzle, many factors suffered a sharp and persistent profitability drop starting in mid 2002. … We estimate that the Morningstar rating reform accounts for approximately 25% to 50% of the post-2002 decline of momentum profits” (S. 35).

Sind viele High Yield Fondskäufer blöd? Beware of Chasing Yield: Bond Fund Yield, Flows and Performance von Hao Jiang, Yuanzhi Li und Lu Zheng vom 21. März 2021: we find that investors tend to chase bond funds with higher yields … Although bond funds with higher yields achieve higher average total returns, the return spread is less than one half of the yield spread, and is attributable to higher fund risk … We find evidence that high yield bond funds are hit hard by this shock exogenous to the financial system; the tumbling fund performance is associated with investor panic and heavy redemptions. These results indicate that many investors in high yield bond funds are not fully prepared for the inherent riskiness of the funds and do not capture the higher average …” (S. 18/19).

Sind Aktienfondskäufer auch nicht viel besser? Crowding and Factor Returns von Wenjin Kang, K. Geert Rouwenhorst, Ke Tang vom 15. März 2021: “This paper shows that crowding affects the expected return to popular factor strategies such as value, momentum, and carry. … We find that our crowding measure negatively predicts subsequent factor returns – factor expected returns tend to be lower when these strategies becomes more crowded. The impact of crowding is economically significant. We show that during our sample period from 1993 to 2019, the factor premiums are accumulated primarily during periods of low crowding”.

Große (alte) Fonds können schlechter sein: Adverse Scale Effect and Managerial Skill in Mutual Funds: Evidence from Corporate Bond Mutual Funds von Mehdi Khorram vom 23. November 2020: “Initial results show that on average, fund performance decreases by 13.85 basis points per year when the fund size increases by one standard deviation. … Further results show that the negative effect of scale on performance is related to illiquidity effects, since performance of mutual funds that hold high yield bonds – the least liquid bonds – decreases by a factor of ten times the performance of other funds as size increases. … Unlike the common belief that fund managers are not skilled on average, our results indicate that corporate bond mutual fund managers are skilled” (abstract).

Vernebeln ETF-Anbieter? Exchange-Traded Confusion: How Industry Practices Undermine Product Comparisons in Exchange Traded Funds von Ryan Clements vom 24. August 2020: “The ETF industry engages in wide operational, financial, marketing and management discretion, and this creates incredible challenges when investors attempt to compare products. … Also, the ETF “model portfolio” industry is an emerging concern which needs to be studied (and standardized) to reduce informational opacity and improve comparisons. … Finally, the growing influence of BlackRock on U.S. and global governments, 562 and the global financial system through its integrated “Aladdin” risk management and modelling “financial operating system,” 563 is worthy of much deeper investigation.564 This is especially warranted given widespread failure of “risk management systems” and models to effectively predict or guard against prior crises, operational failures, or disruptive market events” (S. 66/67).

Portfolios von reichen Alten performen besser: What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns? Von Sebastien Betermier, Laurent Calvet, Samuli Knüpfer und Jens Kvaerner vom 1. März 2021: “the stocks held by more mature and wealthier investors deliver significantly higher abnormal returns than the stocks owned by other investors when the CAPM is used as benchmark. Furthermore, the age and wealth factors have negative CAPM betas, which is also consistent with theory” (S. 4). …. “investor wealth, indebtedness, macroeconomic exposure, age, gender, education, and investment experience explain investor portfolio tilts toward the new factors” (S. 3).

Herdenverhalten und alternative Investments

Altersversorger sollten besser in Listed als Unlisted Real Estate investieren: Three Decades of Global Institutional Investment in Real Estate von Alexander Carlo, Piet Eichholtz und Nils Kok vom 22. März 2021: “… the overall average costs of real estate investment have stayed more or less stable over the last three decades, at about 114.2 basis points for private real estate investments and 16.7 basis points for listed real estate exposure … we observe that the net return achieved by global pension plans was highly dependent on the investment approach chosen, with more external approaches resulting in lower net returns, especially so for funds-of-funds … public real estate offers a low-cost alternative, with the possibility of global diversification, at higher returns than private real estate. However, rather than going the “public” route, most pension plans invest in private real estate, often through multiple layers of intermediation … Pension funds should consider the full spectrum of investment approaches, including listed real assets firm as an alternative to private equity real assets funds …” (S. 14/15). Mein Kommentar: Vgl. Erstes konsequent verantwortungsvolles ESG-Portfolio aus Immobilienaktien – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Gegenwind für Real Estate Private Equity? Wem gehört die Stadt? Analyse der Eigentümerstrukturen und ihrer Geschäftspraktiken auf dem Berliner Immobilienmarkt von Christoph Trautvetter von der Rosa Luxemburg Stiftung vom Oktober 2020: „Weil es bisher weder offizielle Eigentümerlisten noch Mietenkataster gibt, bleiben diese Fragen bisher unbeantwortet … Darunter findet sich eine Reihe in der Öffentlichkeit bisher kaum bekannter Eigentümer mit mehr als 1.000, teilweise auch mehr als 3.000 Wohnungen in Berlin: vom US-amerikanischen Private-Equity-Unternehmen Blackstone über den Investmentfonds Phoenix Spree aus Jersey bis hin zur Familienstiftung Becker & Kries oder den Erben von Harry Gerlach … Als besonders problematisch erweisen sich die großen Private-Equity-Gesellschaften“ (S. 5).

Genderthemen und viele andere deutsche VC Details: Growth by diversity: German Tech start-ups defy the pandemic – Venture capital and start-ups in Germany 2020 von Ernst & Young von 2021 umfaßt Trends inclusive Sustainability, Top Startups, Exits und Investoren mit Focus auf Gender Equality.

40% unredliche Hedgefonds und „Profis“ ist das egal? Inconsistent Disclosures von Yichang Liu, Joshua Madsen und  Frank Zhou vom 13. März 2021: “We compare information contained in hedge fund advisers’ brochures, a mandatory SEC filing, with other mandatory disclosures (i.e., what else the adviser has said) and the adviser’s own history (i.e., what the adviser has done). We find that each year, approximately 40% of hedge fund advisers file brochures that contain inconsistencies. Disclosure inconsistency is associated with lower current and future fund performance and a higher likelihood of fund failure. However, inconsistency does not affect investors’ tendency to chase returns or actions by lenders, equity investors, reputable auditors, or clients, suggesting that many sophisticated market participants either lack information regarding disclosure inconsistency or regard it as immaterial, despite these funds’ poorer performance and higher failure rates” (S. 30/31).

Verantwortungsvolle Investments

ESG Aktivismus wird stark steigen: Activist Investing in Europe 2021 von Skadden, Arps, Slate, Meagher & Flom LLP vom März 2021: “Companies in Europe should, over the next 12 months, be most mindful of becoming targets from North American activists. All activists surveyed agree that companies should be very concerned about that possibility, as do 97% of corporate respondents. … Corporates remain sceptical with respect to activists ‘prioritising ESG issues in their campaign demands’  …. But activists are firmly in the a’rmative: all activists surveyed agree with that statement, including 67% who strongly agree” (S. 5). Mein Kommentar: Vgl. meinen Beitrag „Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement“ aus dem Buch „Nachhaltige Finanzen – Durch aktives Aktionärstum und Engagement Wandel bewirken“ (kostenpflichtig) von CRIC – Verein zur Förderung von Ethik und Nachhaltigkeit in der Geldanlage vom Dezember 2020

Viele Infos für das ESG-Voting 2021: Helping Shareholders Vote Their Values: Proxy Preview ® 2021 con As you Sow 2021: Proponents have filed at least 435 shareholder resolutions on environmental, social and sustainability issues for the 2021 proxy season” (S. 5).

Fehlende Transparenz erschwert aber hohe Konzentration erleichtert Engagement: Shining a Spotlight – A critical assessment of food and beverage companies’ delivery of sustainability commitments von Oxfam von 2021: “In 2020, more than 270 million people experienced acute hunger, a staggering increase of 82% from before the pandemic. …. yet food and beverage companies’ revenues continue to skyrocket … Companies largely treat transparency as a reporting requirement, rather than an opportunity to drive innovation and improvements and become more resilient through sharing and learning with peers and stakeholders. … Without transparency, companies cannot hope to meet their human rights due diligence obligations” (S. 5/6). “Three conglomerates dominate nearly 60% of global turnover for commercial seed and agricultural chemicals … Four companies account for 70% of trade in agricultural commodities globally by revenue … 50 food manufacturers account for half of all global food sales … In the European Union just ten supermarkets account for over half of all food retail sales” (S. 32).

Herdenverhalten, Fintech und Behavioral Finance

Ist „relativ ok“ gut genug? Economic Preferences and Personality Traits Among Finance Professionals and the General Population von Martin Holmén, Felix Holzmeister, Michael Kirchler, Matthias Stefan und Erik Wengström vom ….: “finance professionals are indeed different from the “average working adults” employed in other industries, inasmuch as they are significantly less risk-averse, more selfish, less trustworthy, more competitive, and show higher levels of narcissism, psychopathy, and Machiavellianism … after adjusting for socio-economic background variables, finance professionals are not so different from a random sample of the general population employed in other industries sharing a similar background: Finance professionals “only” tend to be slightly less risk averse, less trustworthy, show a slightly increased level of psychopathy, and are more competitive than comparable participants from other industries” (S. 23).

Human Touch kann sehr wichtig sein: Financial Service Providers, AI, Satisficing, and the Human Touch In the Market for Financial Nudges and Boosts von Hersh Shefrin vom 18. März 2021: “Advances in artificial intelligence (AI) … have resulted in lower fees and borrowing costs, increased access to financial services, and greater customization. In this paper, I discuss how the need for the human touch impacts the potential for digital technologies to lower the cost of providing mass customization and personalization to the broad market for wealth management” (abstract). Financial Engines’, Learnvest und Chase Credit CARD Beispiele: “There is an important lesson about the human touch. It varies across the consumer landscape. Digital interfaces are improving when it comes to mimicking human voices facial expressions, and engaging in communication. These advances will help advance the prospects for mixed human-robo financial planning models, especially in a post-Covid world where people have become more comfortable with digital interfaces for services such as tele-medicine. However, empirical evidence … suggest that the need for a real human touch remains strong in a broad segment of the population, including millennials” (S. 22). Mein Kommentar: Vgl. Hybridmodelle: Worauf traditionelle Finanzdienstleister bei Robo-Advisors achten sollten – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Vor- und Nachteile der Natural Language Nutzung von Robos: Do Robo-Advisors Make Us Better Investors? Camila Back, Stefan Morana, and Martin Spann vom 10. März 2021: ”Investors increasingly can obtain assistance from “robo-advisors,” artificial intelligence–enabled digitalized service agents imbued with anthropomorphic design elements that can communicate using natural language. … We study the well-documented disposition effect, which reflects investors’ greater propensity to realize past gains than past losses. In two induced-value laboratory experiments, the availability of a robo-advisor reduces (i.e., mitigates) investors’ disposition effect. … Anthropomorphic design elements alone are not sufficient to reduce the disposition effect, but they decrease investors’ propensity to seek advice, which offsets the positive (indirect) effect of perceived socialness” (abstract).

Wann kommt die BigTech Finanzdienstleistungsregulierung?  The Next Generation of Financial Conglomerates: BigTech and Beyond von Elisabeth Noble von der European Banking Authority vom 6. November 2020: “The structure of the EU financial sector is changing as a result of regulatory reforms and firms, including so-called BigTechs, increasingly leveraging data access, analytical capability and innovative delivery mechanisms to market and distribute new bundles of financial and non-financial services. This paper considers the implications for supervision, reflecting on the rationale for, and scope of, Directive 2002/87/EC (the financial conglomerates directive – FICOD). It concludes that an urgent review of FICOD is needed taking account of the emergence of increasingly significant mixed activity groups: the next generation of financial conglomerates” (abstract).

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