Umfeld und Umwelt
Kinderarbeit nimmt zu: Child Labor – Global estimates 2020, Trends and the Road Forward von der International Labor Organization und den UN Children`s Fund vom 9. Juni 2021: “Global progress against child labour has stalled for the first time since we began producing global estimates two decades ago. In addition, without urgent mitigation measures, the COVID-19 crisis is likely to push millions more children into child labour. … The latest global estimates indicate that 160 million children – 63 million girls and 97 million boys – were in child labour globally at the beginning of 2020, accounting for almost 1 in 10 of all children worldwide. Seventy-nine million children – nearly half of all those in child labour – were in hazardous work that directly endangers their health, safety and moral development” (S. 8).
Metastudie zu Klimawandel und Ungleichheit: Equity in adaptation: A systematic global review (#510) von Malcolm Araos et al. vom 9. Februar 2021: “Climate change disproportionately affects marginalized groups in society. … Using data from a systematic review of peer-reviewed empirical research on adaptation responses to climate change (n=1682), we present a large-n assessment of how social equity is integrated into adaptation across regions, sectors, and social groups. Roughly 60% of peer-reviewed literature on adaptation responses addressed social equity by documenting how historically marginalized groups were involved in planning, or targeted in implementation. … Ethnic and racial minorities, migrants, and people with disabilities were rarely considered“ (abstract).
Immenser sozialer Klimaimpact: The Impact of Climate Change (#55, Geo Economics Chapter 9) von Joachim Klement vom 18. März 2021: “The economic cost of weather extremes such as cyclones is high and, even in the long run, comparable to the effects of a currency crisis or civil war. Thus, unsurprisingly, climate risks should command a risk premium in asset markets, and we have seen some indication that rising global temperatures and rising temperature volatility do command a small but non-negligible risk premium for equities. But extreme climatic events are localized phenomena and thus create significant economic damage in small areas. On a global scale, the direct economic damage from climate change is estimated to be relatively small. … Climate change’s main geopolitical risk is thus not necessarily triggered by economic damages but instead by its social impact. … In the event of dramatic warming or flooding in vulnerable areas, increased violence, famines, and rising poverty would all conspire to create large migrant flows from the poor countries of the global south to the rich countries in the north. Even within rich countries such as the United States, migration from the South to the North is likely to materialize as climate change intensifies” (S. 38).
Klimapositive Entwicklungshilfe: Socioeconomic and Ecological Controls of Nature-based 2 Solutions across Developing Economies (#109) von Ernest Asamoah und Joseph Maina vom 16. Mai 2021: “Restoring, protecting, and managing land … Nature-based solutions (NbS) are recognised avenues for implementing internationally agreed commitments on climate change mitigation. … we used data on potential carbon sink outcomes from implementing eight NbS across 126 developing countries …. NbS’ potential for climate change mitigation decreased with population growth. Moreover, we found a positive association between development aid and NbS potential, albeit attenuated for regions with poor governance structures and higher food insecurity” (S. 1/2).
Große Klimafinanzlücke in Entwicklungsländern: Trade-climate readiness for developing countries – Trade and Environment Review 2021 (#16) von der United Nations Conference on Trade and Development UNCTAD vom 23. April 2021: “The aggregate cost of adapting to climate change in developing countries has recently been estimated to range between $140–300 billion annually in 2030. Developed countries committed to jointly mobilize $100 billion per year in climate finance to address the climate change mitigation and adaptation needs of developing countries in the form of the Green Climate Fund. However, from such finances, only $50 billion annually would be available for adaptation, falling short of estimated needs of $140–300 billion annually and resulting in an ‘adaptation gap’ (S. vii).
Komplexe Abhängigkeiten von SDGs: Complex interlinkages, key objectives and nexuses amongst the Sustainable Development Goals and climate change (#173) von Felix Laumanna, Julius von Kügelgen, Thiago Hector, Kanashiro Ueharad und Mauricio Barahona vom 16. Februar 2021: “We analysed the data of 35 groupings of countries reflecting various geographic and socio-economic criteria. We find that the significant interlinkages, their centralities, and the nexuses of objectives vary greatly across country groupings, yet partnerships for the goals (sdg 17) and annual temperatures are highly central across many country groupings. Especially in country groupings likely to be worst affected by climate breakdown, e.g., Africa, temperature shows a particularly strong inter-dependence with urbanisation, air pollution, and slum expansion (sdg 11). In many groupings encompassing developing countries, a consistent nexus of objectives is formed by poverty reduction (sdg 1), education (sdg 4), and economic growth (sdg 8), sometimes incorporating gender equality (sdg 5), and peace and justice (sdg 16)” (S. 2).
Impacttools und ESG Investments
Impactoolvergleich: Assessing Portfolio Impacts – Tools to Measure Biodiversity and SDG Footprints of Financial Portfolios, von Hilton, S. and Lee, JM J. vom WWF vom 24. Juni 2021: “The results of the case studies clearly demonstrate that the tools can be used by investors to inform their portfolio construction and rebalancing processes. They provide investors with visibility into the footprints of their portfolios (e.g., water usage per US$ million invested) and help them identify those companies that can be prioritized for active time-bound engagement or, if this proves ineffective, exclusion. As the outputs of these tools can be used to disclose environmental or biodiversity-related footprints, they can complement existing sustainability reporting. Using such impact information, investors can cross-check sustainability claims made by investment funds (including those not labelled with a sustainable theme), and fund managers can use the results to report the impact data associated with their funds. As the policy environment evolves, such impact disclosure may also help funds meet regulatory or certification requirements” (S. 9). Mein Kommentar: ESG Ratingstools wurde nicht berücksichtigt. Solche Tools haben aber bereits einen ähnlichen Funktionsumfang bzw. werden ihn künftig anbieten (Zu Impactinvestments vgl. Drittes SDG ETF-Portfolio: Konform mit Art. 9 SFDR – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) und ESG SDG: Sehr konsequente Aktienportfolios – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)).
Messung von grünem Sentiment: Green Sentiment, Stock Returns, and Corporate Behavior (#108) von Marie Brière und Stefano Ramelli vom 24. Mai 2021: “By estimating the monthly abnormal flows into environment-friendly ETFs, we construct a Green Sentiment Index capturing shifts in investors’ appetite for environmental responsibility not yet priced in the value of the underlying assets. Our measure of green sentiment differs significantly from the climate-related news and attention indexes proposed by the extant literature, and it has additional explanatory power on both stock returns and corporate decisions. Over the period 2010-2020, changes in green sentiment anticipate a lasting stock out-performance by more environmentally responsible firms (of approximately 60 basis points over six months for a one-standard-deviation higher green sentiment), as well as an increase in their capital investments and cash holdings” (abstract).
Green Bond Researchüberblick: A Multidisciplinary Literature Review of Academic Research on the Green Bond Market (#107) von Aneil Tripathy, Lionel Mok und Grégoire Lunven de Chanrond vom 10. November 2020: “… we have outlined academic research on the green bond market with a focus on current climate finance, green bond market perspectives, and research in anthropology, policy, and law” (S. 115).
Dauerhafte grüne Outperformance? Dissecting Green Returns (#51) von Lubos Pástor, Robert Stambaugh und Lucian Taylor vom 18. Juni 2021: “We show that green assets’ high recent returns are unexpected, reflecting news about environmental concerns rather than high expected returns. After constructing a theoretically motivated green factor from U.S. stock data, we show that the factor’s recent outperformance vanishes after removing the effects of climate-concern shocks. … We also find that a two-factor asset pricing model featuring the green factor absorbs much of the historic underperformance of value stocks in the 2010s. … We find that green stocks typically outperform brown when climate concerns increase. … one could infer that stocks providing better climate hedging have higher expected returns, not lower as theory predicts” (S. 22/23). Mein Kommentar: Zu ESG Renditen vgl. Q1 ESG: Pure globale Aktien ESG Portfolios mit besonders guter Performance – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Geringes ESG Risiko: The Devil in in the Details – The divergence in ESG data and implications for sustainable investing von Franklin Templeton vom 29. April 2021: “Our analysis shows that there is less risk among companies that scored higher on ESG metrics. As it becomes evident that the market is starting to price in company-specific ESG risks, we expect to see further integration of ESG considerations alongside traditional financial analysis. However, as always, the devil is in the details. Therefore, it is critical for investors interested in sustainable data to educate themselves on the vast amount of information available, the varying methodologies and nuanced processes used by ratings agencies, as well as on the best way of embedding these considerations within the investment process” (S. 11).
Versicherungen gegen (ESG) Underperformance? The Cost of Insuring Against Underperformance in ESG Screened Index Funds (#167) von Peter Løchte Jørgensen und Mathias Danielsen Plovst vom 23. April 2021: “we have developed a simple way to quantify sustainable and ESG screened investment products’ underperformance risk relative to the unrestricted market portfolio investments. The risk measure that we propose basically expresses the fair price of insuring against underperformance of a given sustainable index relative to a broad and unrestricted market index. We show that this insurance premium can be determined as the price of an option to exchange one asset for another, and we provide a simple formula that expresses this price on an annual basis and as a fraction of initial invested capital. To evaluate the formula only a single parameter – a relative index volatility – needs to be estimated. … we estimate that for a range of highly popular and liquid sustainable index funds the insurance against underpermance should cost between 42 and 272 basis points on an annual basis” (S. 17). Mein Kommentar: Vergleichbare Kosten gelten m.E. grundsätzlich für jedes Portfolio mit weniger Bestandteilen als ein Vergleichsindex. Die Analyse berücksichtigt m.E. die Prognoseschwierigkeiten von Volatilitäten und potenzielle Outperformancegewinne nicht ausreichend.
Problematische soziale Unternehmensaktivitäten: Corporate Activism and Corporate Identity (#362) von Lambert Zixin Li und Sarah A. Soule vom 11. März 2021: “Research shows that corporate engagement in social issues often backfires. We suggest this may be because the corporate organizational form is viewed as inappropriate for social activism in general and/or because a particular campaign or organizational action is viewed as hypocritical. … show that subjects support campaigns that involve nonprofit or public organizations, which are of an appropriate organizational form, and penalize campaigns that are inconsistent with the firm business practices … We show that benefit corporations (B Corps) do not suffer from the same hypocrisy penalty in donation and recruitment as do other for-profit corporations … we show that firm collaboration with a social movement organization (SMO) reduces the inappropriateness penalty, while collaboration with an SMO that has organizational practices consistent with the campaign issue reduces the hypocrisy penalty” (abstract).
Zalando und viele Luxusmarken schlecht und Adidas gut: 2021 Apparel and Footwear Benchmark Report von KnowTheChain vom Juni 2021: “KnowTheChain’s third apparel and footwear sector ranking found that the 37 largest global companies fail to stand up for workers who face exploitation and are struggling to survive. On average, companies fail even to hit the 50% mark in the benchmark when it comes to addressing the worst forms of exploitation in their supply chains. Luxury apparel companies score particularly poorly, averaging 31/100 (S. 3). … US asset managers Invesco and Vanguard are the largest investors in Prada (5/100) and Foot Locker (13/100), respectively, two companies that have continuously underperformed across different human rights benchmarks … Lululemon (89/100) and Adidas (86/100) again topped the benchmark” (S. 4).
Unternehmensspenden erhöhen die Produktivität: Is Labor Productivity More Sensitive to Corporate Philanthropy Towards Welfare Shocks or Chronic Conditions? (#15) von Luis Ballesteros und Vontrese Dees Pamphile vom 4. Mai 2021: “In showing that firms which engage in philanthropy, compared to firms that do not, experience greater productivity, our findings provide evidence with longitudinal administrative data that echo existing experimental research … We also expand upon existing work by providing initial evidence that corporate philanthropy yields greater employee productivity when it targets welfare shocks compared to chronic conditions ….” (S. 14). Mein Kommentar: Hier ist eine Idee von mir Gemeinnütziges Projekt Wohnteilen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Traditionelle und alternative Investments
Verschleierungen durch Fondsanbieter: Obfuscation in Mutual Funds (#526) von Ed deHaan, Yang Song, Chloe Xie und Christina Zhu vom 22. März 2021: “… we find that funds with higher fees have greater narrative complexity (i.e., less readable disclosures) and structural complexity (i.e., more complicated fee structures), both of which increase investors’ processing costs. These findings are consistent with funds attempting to use complexity to obfuscate high fees and extract rents from retail investors. That we find obfuscation and excessive fees among homogeneous S&P 500 index funds is especially striking because their disclosures are heavily regulated, and because conventional wisdom is that index funds are a cheap way to obtain a diverse portfolio” (S. 32). Mein Kommentar: Vgl. Haben Fondsanbieter Angst vor ESG-Reportingtransparenz? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Underperformance von SPACs: Comprehensive Study of Special-Purpose Acquisition Company (SPAC): An Investment Perspective (#95) von Eason Chong, Emily Zhong, Fannie Li, Qianyi Li, Saharsh Agrawal und Qingquan Zhang vom 11. Juni 2021: “This paper provided a general overview of SPACs, their capital structure, market participants, characteristics of management team and the factors leading to their rise in the market, to enhance readers’ understanding to this new investment option. The paper also looked into the abnormal returns of SPACs in different sectors with CAPM and Three Factor models. Most of the sectors have negative abnormal returns and Sharpe ratio lower than that of the SP 500 index” (S. 26/27). Mein Kommentar: Die zusätzlich vorgestellte Investmentstrategie ist m.E. Wunschdenken.
Impacttools: Behavioral Finance und Fintechs
Chancen und Risiken von tiefem Lernen: Deep learning in finance and banking: A literature review and classification Jian Huang, Junyi Chai und Stella Cho vom 8. Juni 2020: “This paper provides a comprehensive survey of the literature on the application of DL in F&B. We carefully review 40 articles refined from a collection of 150 articles published between 2014 and 2018. … This paper first recognizes seven core F&B domains and establish the relationships between the domains and their frequently-used DL models. … we summarize three important aspects, including data preprocessing, data inputs, and evaluation rules. We further analyze the unfavorable impacts of overfitting and sustainability when applying DL models and provide several possible solutions“ (S. 19/20).
Gender investment bias: The impact of product markets and gender on investment behavior (#14) von Daniel Bradley, Kyre Dane Lahtinen und Stephan Shipe vom 27. Januar 2021: “… we question if females (males) are more likely to buy and/or trade firms that have products targeted to their gender and, if so, does this have implications for performance? … Females (males) tend to significantly overweight gender specific firms. We find that female investment performance outperforms males, but we find females underperform on their female-related holdings. In terms of trading frequency, females trade less than males, but trade similarly to males in female focused firms” (S. 25/26).
Asymetrischer US Risikoeinfluß: Risk Aversion Propagation: Evidence from Financial Markets and Controlled Experiments (#42) von Xing Huang und Nancy R. Xu vom 28. Mai 2021: “Our paper studies how non-US risk aversion (RA) responds to US risk aversion events … We find that, from 2000 to 2017, international pass-through of US high RA shocks (61%) is significantly higher than that of US low RA shocks (43%). … the foreign nature of high RA or negative shocks may change emotions – positive emotion decreases and negative emotion increases – more than that of low RA or positive shocks, hence resulting in asymmetric risk aversion propagation” (S. 27/28).
Risikoaverse Anlageberater: Measuring Financial Advice: aligning client elicited and revealed risk (#32) von John Thompson et al. vom 24. Mai 2021: “This paper found that advisors at the dealership generally similarly under-risk their clients’ portfolios relative to their stated risk preferences across the board, regardless of the profile risk. Advisors tend to put clients into medium or higher profile risks, but consistently medium or lower portfolios. … regardless of the cluster, profile VaRs increased over time, portfolio VaRs remained consistent except for the active traders, and discrepancies were similarly underrisked and decreasing over time. …. Discretionary advisors tended to take lower portfolio risks with their older investors, but higher risks with all other clusters when compared to non-discretionary advisors.” (S. 32/33)
Anlageprofis sind nicht immer hilfreich: Disposition effect across distinct investor categories in a tax-free context: are team dynamics and cognitive dissonance behind it? (#16) von Alexander de Groot, Laura Núñez Letamendia und Olivier de Groot vom 12. April 2021: “Using a long dataset (2001-2014) from the Belgium market … we examine the propensity to the disposition effect, i.e. selling winning stocks too early and keeping losing stocks too long (S. 2). … While professional managers of institutional and fund portfolios do not suffer from the disposition effect at all …, professionals managing retail accounts exhibit a strong disposition effect, even higher than that suffered by retail investors, that is also important. Our second, and also surprising result is that we do not find differences in the disposition effect of advised retail investors and non-advised ones” (S. 49/50).