Umfeld generell
Aktuelle, breite und tiefe Risikoübersicht: The Global Risks Report 2021 16th Edition vom World Economic Forum vom Januar 2021: “Among the highest likelihood risks of the next ten years are extreme weather, climate action failure and human-led environmental damage; as well as digital power concentration, digital inequality and cybersecurity failure. Among the highest impact risks of the next decade, infectious diseases are in the top spot, followed by climate action failure and other environmental risks; as well as weapons of mass destruction, livelihood crises, debt crises and IT infrastructure breakdown. When it comes to the time-horizon within which these risks will become a critical threat to the world, the most imminent threats – those that are most likely in the next two years – include employment and livelihood crises, widespread youth disillusionment, digital inequality, economic stagnation, human-made environmental damage, erosion of societal cohesion, and terrorist attacks” (S. 7).
Tragen Steuern wenig zum Ungleichheitsausgleich bei? Predistribution vs. Redistribution: Evidence from France and the U.S. vonAntoine Bozio, Bertrand Garbinti, Jonathan Goupille-Lebret, Malka Guillot und Thomas Piketty vom 29. Oktober 2020: “ … the reason why overall inequality is much smaller in France than in the U.S. is entirely due to differences in pretax inequality” (abstract). “… findings suggest that policy discussions on inequality should in the future pay more attention to policies affecting pretax inequality and should not focus exclusively on “redistribution” (i.e., redistributive taxes and transfers, for a given level of pretax inequality)” (S. 34).
Starke Finanzlobby: Ungleiches Terrain Eine Studie zu Größe und Einfluss der Finanzlobby in Deutschland von der Bürgerbewegung Finanzwende vom 9. Dezember 2020: “Insgesamt gibt die Finanzindustrie unseren Schätzungen nach mehr als 200 Millionen Euro pro Jahr für die Lobbyarbeit in Deutschland aus und beschäftigt mehr als 1500 Mitarbeiter (S. 3). …. Vergleichen wir diese mit den Abgeordneten im Finanzausschuss des Deutschen Bundestags (derzeit 41), der neben Steuerthemen auch für den Bereich Finanzmarkt zuständig ist, dann stehen rechnerisch jeder Abgeordneten etwa 36 Mitarbeiterinnen der Finanzlobby gegenüber. Knapp 290 verschiedene Organisationen aus Finanzlobby und erweiterter Finanzlobby haben die deutsche Politik in den Jahren 2014-2020 zu beeinflussen versucht (S. 4). …. Die wahre Größe der Finanzlobby dürfte deutlich über den hier vorgelegten Zahlen liegen“ (S. 19).
Sind schlechte Datenschützer gut Insidertrader? Trading Ahead of the Disclosure: Cybersecurity Breaches and Informed Trading von Andy Naranjo und Svetlana Petrova: “… we investigate informed trading activity in equity options prior to a firm’s cybersecurity breach disclosures. For the breached companies, we document an increase in options activity, consistent with strategies that yield abnormal returns to investors with private information … We show that the more informed trading is significantly associated with breached firms that have lower quality internal controls” (S. 32).
Sandkästen können viel Geld wert sein: Inside the Regulatory Sandbox: Effects on Fintech Funding von G. Cornelli, S. Doerr, L. Gambacorta und O. Merrouche vom 15. Dezember 2020: “… firms entering the UK regulatory sandbox raise significantly more capital in the quarters after entry. Our results suggest that the sandbox reduces information asymmetries and regulatory costs. We thereby provide the first evidence that sandboxes achieve one of their key goals: to help young and innovative fintechs to raise capital. This finding suggests that sandboxes could become a crucial policy tool for harvesting the benefits of financial innovation” (S. 26). Mein Kommentar: Die BAFIN macht es Startups Lieber schwerer, vgl. Bafin erhöht die Hürden bei der Zulassung von Insurtechs von Susanne Schier vom 21. Januar 2021.
Klimawandel und was man dagegen tun kann/sollte
Die Willingness to Pay (WTP) für Klimawandel ist hoch: The Climate Decade: Changing Attitudes on Three Continents von Fredrik Carlsson, Mitesh Kataria, Alan Krupnick, Elina Lampi, Åsa Löfgren, Ping Qin, Thomas Sterner und Xiaojun Yang vom Januar 2021: “Interestingly, our results show an increased willingness to pay for climate mitigation in all three countries. Notably, in 2019, the willingness to pay per ton of reduced CO2 compares closely to conventional measures of the social cost of carbon in China and the United States and to carbon taxes in Sweden. … In Sweden, WTP per ton of carbon emissions reduced is comparable to the Swedish carbon tax (approximately $126/ton), and in the United States, it is below but roughly on par with EPA’s central estimates of the social cost of carbon in 2017 ($42/ton)” (S. 24). …” in both the United States and Sweden, the share of respondents with zero WTP is significantly higher among Republicans and right-wing party voters than among any other voters, and that gap has increased during the past decade” (S. 25).
Unerwartete Erkenntnisse in Bezug auf persönliche Umweltverantwortlichkeit: Economic Inequality, Corruption, and Personal Environmental Responsibility in Europe von Ryan Davis vom 30. November 2020: “While corruption was found to be negatively correlated with PER as expected, economic inequality was found to actually increase PER. … Increased economic inequality might encourage an individual to believe that they cannot rely on support from others and that they therefore must take personal responsibility. On the other hand, individuals in highly corrupt societies may become overwhelmed by the perceived futility of their individual actions in a system that is rigged to benefit a predetermined few. A mediation analysis confirmed that social trust is a significant factor in the relationships between economic inequality and corruption at the contextual level and PER at the individual level” (S. 40).
Berühmtheiten können der Umwelt effizient helfen: Celebrity Endorsement in Promoting ProEnvironmental Behavior von Thong Hoa, Zihan Nieb, Francisco Alpizarc Fredrik Carlssond und Pham Khanh Name vom 27. Oktober 2020: “Overall, our findings show promising potential of social education and marketing using celebrity endorsement in promoting pro-environmental behavior. As a policy instrument based on voluntary action, it provides an inexpensive alternative for combatting plastic pollution, in addition to popular instruments such as bans and taxes/charges(S. 24). … Although the information campaign itself did not have any effect on behavior, the celebrity endorsed campaign had a sizeable and statistically significant effect on behavior” (S. 25).
Harsche Kritik an Klimastrategien: 10 myths about net zero targets and carbon offsetting von 41 Wissenschaftlern vom 11. Dezember 2020: “In many cases, offsetting relies on capturing carbon in vegetation and soils. Such capacity is however limited and is needed to store carbon dioxide that we have already emitted. Assumptions of future technologies and targets decades ahead delay immediate action. … In practice, however, net zero targets several decades into the future shift our focus away from the immediate and unprecedented emissions reductions needed. Net zero targets are generally premised on the assumption that fossil fuel emissions can be compensated for by carbon offsetting and unproven future technologies for removing carbon dioxide from the atmosphere. But offsetting does not cancel out our emissions – yet action to do so is immediately needed. …. We must stop marketing products as being “climate neutral” or “climate positive”.”
Bringen Carbonpreise nichts? The effect of carbon pricing on technological change for full energy decarbonization: A review of empirical ex-post evidence von Johan Lilliestam, Anthony Patt und Germán Bersalli vom 30. September 2020: “In this article, we have showed that there is no empirical evidence that carbon pricing triggers technological change, in terms of either increased innovation or zero-carbon investment (S. 17). … In contrast, there are many other policies that have proven to be effective—renewable energy support schemes (e.g., in several European countries, China) above all, but also more recent schemes such as support for electric vehicle deployment and infrastructure expansion, triggering both deployment and rapid cost reductions (e.g., Norway, California)” (S. 18).
Greenpeace-Kritik an CO2 Kompensationsrechnungen: Net Expectations – Assessing the role of carbon dioxide removal in companies’ climate plans. Briefing von Greenpeace UK vom Januar 2021: “While a few companies plan to deliver CDR (carbon dioxide removal) in specific projects, many plan to simply purchase credits on carbon markets, which have been beset with integrity problems and dubious accounting, even where certified. … The IPCC (e Intergovernmental Panel on Climate Change) warns that reliance on CDR is a major risk to humanity’s ability to achieve the Paris goals. …Both afforestation/reforestation and BECCS (bioenergy with carbon capture and storage) require large land areas to deliver significant removal. If deployed on agricultural land, they are likely to increase food prices; on wild land, they may reduce biodiversity. For example, using BECCS to remove 12,000 Mt/year of CO2 (the median in 2100 in IPCC 1.5˚C pathways with low overshoot) would require a land area devoted to bioenergy equivalent to one to two times the size of India, or 25-46 percent of total world crop-growing area. DACCS is highly energy-intensive. Capturing three quarters of present CO2 emissions would require half of present global electricity generation and heat equivalent to half of final energy consumption” (S. 2).
Geldanlagen generell
Ganz viele Zahlen: Stocks, Bonds, Bills, and Inflation® (SBBI®): 2020 Summary Edition von Roger G. Ibbotson und James P. Harrington vom 27. August 2020: Die Autoren stellen u.a. eine Illiquiditätsprämie für börsennotierte Werte fest (vgl. S. 119).
Hedgen mit Gold funktioniert nur bedingt: Gold as a Financial Instrument von Pedro Gomis-Porqueras, Shuping Shi und David Tan vom 21. September 2020: “In our benchmark model, we show that gold is a weak hedge to the stock market and Euro sovereign bond spreads. However, gold is a strong hedge to oil prices (a proxy for extreme movements in inflation). … Moreover, we report that gold is a near perfect hedge to the US dollar. … employing recent data that includes the Covid-19 period, we find that gold has exhibited safe haven properties during the pandemic crisis” (S. 18).
Viele Private Equity Anbieter sind schlauer als ihre Kunden: Are private equity investors fooled by IRR? von Stephannie Larocque, Sophie Shive und Jennifer Sustersic Stevens vom 16. Oktober 2020: “Private equity firms have discretion over the timing of their funds’ capital calls and distributions, making the popular internal rate of return an incomplete measure of private equity fund performance. … In our comprehensive sample of 6,945 funds, more than half of the funds’ IRR is attributable to timing, with substantial variation. The timing component persists across a private equity firm’s funds and negatively predicts future performance, but facilitates fundraising. Despite this predictability, we find little evidence that sophisticated investors avoid funds with IRRs most inflated by timing” (abstract).
Mehr Computerpower bringt nicht mehr Performance: Machine Learning and the Stock Market von Jonathan Brogaard und Abalfazl Zareei vom 13. Oktober 2020: “our results show that the technical trading could have been profitable given the availability of computational power. … we show that the technical trading was profitable. This is demonstrated in our results by positive out-of-sample abnormal returns between 1995 to 2005 …. we show that the technical trading found by our machine learning algorithm is not profitable in recent years. This is apparent in our results from the algorithm’s poor performance after 2005” (S. 30/31).
Spezialisierte ETFs sind vor allem für Anbieter attraktiv: Competition for Attention in the ETF Space von Itzhak Ben-David, Francesco Franzoni, Byungwook Kim und Rabih Moussawi vom 17. Januar 2021: “Broad-based ETFs hold diversified portfolios and charge low fees. … Specialized ETFs, in contrast, offer investors exposure to trendy themes at a high cost and low level of diversification. Although the average AUM of these funds is smaller, in the aggregate, they drive about a third of the revenues of the equity-based ETF industry. … Our results suggest that specialized ETFs fail to create value for investors. These ETFs tend to hold attention-grabbing and overvalued stocks and therefore underperform significantly: They deliver a negative alpha of about −4% a year. This underperformance persists for at least five years following launch. …. our evidence suggests that specialized ETFs are launched just after the very peak of excitement around an investment theme, on average” (S. 27).
Faktorinvestments
Warum bleiben so viele aktive Fonds hinter ihren Benchmarks zurück, obwohl viele Faktorprämien angeblich funktionieren? Global Factor Premiums von Guido Baltussen, Laurens Swinkels und Pim Van Vliet von Robeco vom 8. Januar 2021: “We examine 24 global factor premiums across equity, bond, commodity and currency markets via replication and out-of-sample evidence between 1800 and 2016. … Out-of-sample tests reveal strong and robust presence of the large majority of global factor premiums, with limited out-of-sample decay of the premiums. We find global factor premiums to be generally unrelated to market, downside, or macroeconomic risks in the 217 years of data. These results reveal significant global factor premiums that present a challenge to traditional asset pricing theories”.
Faktoreffekte sind sehr sensibel: Factor Hunting: Are Factor Exposures Created Equal? von Shaojun Zhang von Vanguard vom 29. Dezember 2020: factor funds with combinations of various portfolio construction decisions can generate similar target factor exposures, but deliver substantially different factor returns, premium, and comovement. Portfolio construction decisions have profound impact on the performance and risk of factor funds …Non-linearity is an important aspect of the association between factor exposures and factor premium” (S. 16/17).
Der Momentum Moment ist weg: Momentum? What Momentum? Von Erik Theissen und Can Yilanci vom 24. Oktober 2020: “… we find no significant momentum effect in the full sample or in sub-samples of large, small and micro caps. When we consider sub-periods, we find a significant momentum effect for 1963-1979 (albeit with a t-statistic that does not exceed the adjusted 5% critical value as proposed by Harvey et al. (2015)), but not thereafter. …. Our results imply that the momentum effect may actually be much weaker than previously thought, and that the returns to momentum strategies may, to a large extent, be a compensation for risk” (S. 25).
Konzeptionell interessanter neuer Faktor: Beta Uncertainty von Fabian Hollstein, Marcel Prokopczuk und Chardin Wese Simen vom 14. Januar 2021: “ … we document an economically and statistically significant negative premium for beta uncertainty. … We find that the pricing patterns of beta uncertainty are consistent with mispricing. In particular, stocks characterized by high beta uncertainty, as well as high short-selling costs, appear overpriced” (S. 28).
Klimawandel: ESG und Impactreporting & Rating
Renommierte Kritiker von Intentionalitäts- und Additionalitätsanforderungen : Impact investments: a call for (re)orientation von Timo Busch , Peter Bruce-Clark, Jeroen Derwall, Robert Eccles, Tessa Hebb, Andreas Hoepner, Christian Klein, Philipp Krueger, Falko Paetzold, Bert Scholtens und Olaf Weber vom 11. Januar 2021: “In the impact investment literature (Brest and Born 2013; Findlay and Moran 2019), two other determinants of impact investments are discussed: intentionality and additionality. We omit both from our typology since their implementation and documentation appear to be difficult to specify and questionable from both an investment and social– environmental perspective. Moreover, both determinants may be the source of many issues and confusion that have confronted the impact investment market in the past. ….To be impact-aligned, no (further) investment-induced change in the real world needs to be a prerequisite”.
Hohes ESG Risiko macht Top-Jobs unsicherer: ESG and CEO turnover von Gonul Colaka, Timo Korkeamäki und Niclas Oskar Meyer vom 14. Oktober 2020: “… both nonfinancial stakeholder (E and S) issues and G issues have a significant impact on their own on CEO turnover. … We show that in shareholder oriented common-law countries, negative investor reactions to ESG issues (“market discipline”) lead to increased odds of CEO turnover, while in stakeholder-oriented civil-law countries, both the “market discipline” effect and the level of media exposure (“shaming effect”) drive CEO turnover following ESG incidences” (S. 38).
ESG-Befragungen von Investmentprofis neu arrangiert: Future of Sustainability in Investment Management – From Ideas to Reality vom CFA Institute vom Januar 2021: “The report is informed by the views of more than 7,000 industry participants, including 3,500+ retail investors, 920+ asset owners, and 3,050+ investment practitioners. Research was conducted via surveys and virtual roundtables across 31 markets globally” (S. 6). … “An analysis of approximately 1 million investment professionals on LinkedIn found that less than 1% had disclosed sustainability-related skills in their profile” (S. 47). Mein Kommentar: Den Befragungen zufolge wird schon sehr viel für ESG gemacht. Seltsam, dass es dann so wenig ESG Erwähnungen in den LinkedIn Profilen gibt.
Großes deutsches ESG Reportingdefizit: Evaluierung und Weiterentwicklung der CSR-Berichterstattung – Nichtfinanzielle Berichterstattung zu Umweltthemen in Deutschland: Ergebnisse einer Forschungsstudie von Christian Lautermann vom Institut für ökologische Wirtschaftsforschung vom 18.12.2020: „Verwendung von Rahmenwerken: • große Vielfalt+Lücken • Empfehlungen zu Klima-Reporting: Befolgung kaum erkennbar (z.B. TCFD, EU-Leitlinien)“ (S. 24) … „Biodiversität als wesentliches Thema kommt fast nicht vor“ (S. 25). „Große Unterschiede in Qualität, Breite, Tiefe und Darstellung“ (S. 27).
Klimawandel: ESG Investments
In eigener Sache: Aktuelle Infos zu meinen Portfolios siehe Impact ETF Portfolio +18% in 2020 – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) und SDG ETF-Portfolio: Innovativer Megatrendansatz mit guter Performance – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com) und 12 Impact- und ESG Portfolios online – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
DWS sieht Outperformancepotential für ESG: ESG outperformance: Not about one factor von Olivier Souliac, Lukas Ahnert, Timur Shaymardanov und Zohaib Saeed von der DWS vom Januar 2021: “… so-called “dark green” ESG indices have displayed outperformance across regions and over time. These indices have also exhibited clear signs of risk reduction in volatile market conditions. … Looking at “dark green” ESG index rules, there are two main construction pillars: exclusions, based on activity involvement and controversies and inclusions, based on ESG rating classification criteria. We consider these two pillars as complementary generators of potential excess returns. This view is also widely supported by academic research. The exclusion approach provides more macroeconomic and single-stock stability thanks to structural shifts in the benchmark while the inclusion pillar generates financial outperformance, notably on the back of shifts in the style footprint” (S. 1).
Grünes Sentiment beeinflusst Aktienkurse: Green Sentiment in Financial Markets: A Global Warning von Marie Bessec und Julien Fouquau vom 20. April 2020: “Our estimation results suggest that environmental media sentiment accounts for part of the variation in stock returns. The index is significant for approximately 25% of the S&P500 constituents. The response varies across different sectors. The impact is negative in energy and materials. Conversely, stock returns are strongly positively related to the sentiment index in real estate and utilities. An assessment of the results at company level shows that the impact is related to their environmental footprint” (S. 22).
Klimarisiken erhöhen Finanzierungskosten: The Impact of Climate Change on the Cost of Bank Loans von Abdullah Al Masum und Siamak Javadi vom 3. Februar 2020: “We present evidence that the exposure of a firm’s customers to climate risk adversely affects that firm’s cost of borrowing. Our subsample analyses show that the effect of climate risk is predominantly driven by a subsample of loans that are long-term, issued to poorly rated firms that have relatively high exposure to climate risk.” (S. 28).
Gut schweizer Übersicht nachhaltiger Themenfonds: Sustainable Investments Studie 2020 Nachhaltige Themenfonds von Manfred Stüttgen und Brian Mattmann vom Institut für Finanzdienstleistungen Zug IFZ vom 18. November 2020:„Aus der Marktsicht fällt auf, dass Themenfonds auf dem Schweizer Fondsmarkt sich häufig auf einem «nachhaltigen» Thema positionieren. In dem von uns analysierten Fondsuniversum zählen wir beispielsweise 184 nachhaltige Themenfonds, der Markt aller Themenfonds beläuft sich in der Schweiz auf 355 Themenfonds (S. 81). … thematische nachhaltige, aktiv gemanagte Aktienfonds gemessen an den «laufenden Kosten» spürbar höhere Gebühren tragen als nicht-thematische nachhaltige, aktiv gemanagte Aktienfonds (S. 82) … die Konzentration des Portfolios als auch die tendenziell geringere Liquidität der investierten Unternehmen – können sich als risikoreich für den Investor herausstellen“ (S. 83).
Privatmarktimpact: Impact Investing Decision-Making: Insights on Financial Performance von Dean Hand, Sophia Sunderji, Noshin Nova und Indrani De vom Global Impact Investing Network vom 14. Januar 2021: “ this report strives to enable well-informed capital allocation decisions and to allow new players to enter the market armed with credible information. It aspires to enhance transparency on impact investment performance and provide additional insights for impact investors to strengthen their own processes of setting objectives and making decisions. While impact investors that seek market-rate returns can indeed achieve them, financial performance naturally varies with asset class, targeted financial and impact goals, and the diverse strategies they pursue. Given widespread dispersion in financial returns across funds, asset manager selection, along with varying investment strategies and other drivers of performance, clearly play important roles in achieving strong financial performance” (S. 44).
Klimawandel: Voting/Engagement
In eigener Sache: Dirk Söhnholz: „Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement“ in „Nachhaltige Finanzen – Durch aktives Aktionärstum und Engagement Wandel bewirken“ von CRIC (Corporate Responsibility Interface Center), Springer Gabler Dezember 2020
Grosse (US-) Assetmanager weiterhin mit großen ESG-Defiziten: Asset Managers and Climate Change 2021 – How thee sector performs on portfolios, engagement and resolutions – An InfluenceMap Report vom Januar 2021: “The portfolios managed by the top global firms continue to be misaligned with Paris climate goals in key climate-risk sectors of automotive, oil/gas/coal production, and electric power. … efforts to accelerate the transition of these companies through engagement and shareholder resolutions by the large asset managers remain mixed and nowhere near forceful enough to drive the necessary changes. Large US managers continue to lag their smaller European peers in this respect. … Fidelity Investments and Vanguard remain out of the Climate Action 100+ process and their transparency on the climate engagement process is poor with minimal references to transitioning companies in line with Paris goals or governance of lobbying practices. … big US players, namely BlackRock, Vanguard, Capital Group, and Fidelity Investments, still declined support for 75% or more of climate-relevant resolutions” (S. 2/3).
Theorie versus Praxis von Investoren: “Climate Action 100+ is an investor-led initiative to ensure the world’s largest corporate greenhouse gas emitters take necessary action on climate change” (About Climate Action 100+ | Climate Action 100+) versus Climate Action 100+ alliance is bigger than Big Oil von Mark van Baal und Mark Ashurst von Follow This vom 12. Januar 2021: “In 2020, Follow This again filed resolutions at Equinor and Shell, while a group of institutional investors filed a similar resolution at Total. One after another, their boards advised shareholders to vote against the emissions targets detailed in our climate resolutions. Each one cited support from CA100+ for their revised “ambitions” to argue that concrete targets are “unnecessary””.
Dabei können die Große durchaus etwas bewirken: The Big Three and Corporate Carbon Emissions Around the World von José Azar, Miguel Duro, Igor Kadach und Gaizka Ormazabal vom 16. Dezember 2020: “This paper examines the role of the Big Three (i.e., BlackRock, Vanguard, and State Street Global Advisors) on the reduction of corporate carbon emissions around the world. …We also find that higher ownership by the Big Three is followed by lower carbon emissions” (S. 31).
Voting über/durch Medien? The Role of the Media in Corporate Governance: Evidence from Shareholder Proposals Alberta Di Giuli und Arthur Petit-Romec vom 13. Oktober 2020: “We find that the media influence the shareholder proposal process: media coverage influences both the probability of being targeted by governance-related shareholder proposals and the number of governance-related shareholder proposals. … Moreover, we find that negative media coverage also makes shareholder proposals more likely to change corporate governance.“ (S. 28).
Leerverkäufe können positiv sein: Short Selling Efficiency von Yong Chen, Zhi Da und Dayong Huang vom 13. Oktober 2020: “Short selling efficiency (SSE) … significantly and negatively predicts stock market returns both in-sample and out-of-sample, suggesting that mispricing gets corrected after short sales are executed on the right stocks. The predictive power is stronger in the presence of large short interest and during periods of recession, high volatility, and less public information. … Overall, our evidence highlights the importance of the disposition of short sales in stock markets” (abstract).
Klimawandel: Behavioral Finance
Innovative Prognosemethode für Länderkreditratings: Universal time preference von Marc Oliver Rieger, Mei Wang und Thorsten Hens vom 5. Januar 2021: “We have seen that different measurements of time preferences on the country level have a unique underlying factor, a “temporal fingerprint” …. This resonates with John Rae’s conjecture that countries differ in their “effective desire of accumulation,” a sociological and psychological factor, which in turn influences the production activity and national wealth. Combining those previous measurements, this factor can be estimated for a large number of countries. The factor has good external validity and can predict various variables connected to time preferences, making it highly useful as a foundation for future studies in this field.” (S. 21).
Wie unabhängig sind Investmentberater? Bribing the Self von Uri Gneezy, Silvia Saccardo, Marta Serra-Garcia und Roel van Veldhuizen vom 8. Februar 2020: “In experiments where advisors recommend one of two investments to a client and receive a commission that depends on their recommendation, we vary the timing at which advisors learn about their own incentives. When advisors learn about their incentives before evaluating the available investments, they are more likely to be biased than when they learn about their incentives only after privately evaluating the investments.” (abstract).
Fördern CEO-Bonussysteme Betrug? Equity Incentives and Financial Misreporting: Evidence from the Personal Wealth Pursuit Motive of CEOs von Wenjiao Cao, Yuping Jia und Yachang Zeng vom 13. Janaur 2021: “ … we find that the instances of misreporting driven by CEO motive for pursuing personal wealth are substantial (41%) … Our findings suggest a high potential cost inherent in equity incentives because using high-delta incentives to compensate managers might lead to a higher probability of wealth-pursuing misreporting” (S. 29).
Es gibt kein perfektes Risikomanagement: Learning about Risk Management: Insights from Unconventional Risk-Takers von Allison Schrager von 5. Oktober 2020: “Risk models are in many ways a parable, an abstraction to assist us in understanding a complex, ever-changing world so we can make decisions. Parables are also often simplified and incomplete, but they too help us learn and make decisions” (S. 17).
Dialektik ist gut für Kapitalisten: Taking a disagreeing perspective improves the accuracy of people’s quantitative estimates von Philippe Van de Calseyde und Emir Efendic vom Oktober 2020: “Many decisions rest upon people’s ability to make estimates of some unknown quantities. In these judgments, the aggregate estimate of the group is often more accurate than most individual estimates. Remarkably, similar principles apply when aggregating multiple estimates made by the same person – a phenomenon known as the “wisdom of the inner crowd”. … we propose the following strategy: combine people’s first estimate with their second estimate made from the perspective of a person they often disagree with. In five pre-registered experiments (total N = 6425, with more than 53,000 estimates), we find that such a strategy produces highly accurate inner crowds (as compared to when people simply make a second guess, or when a second estimate is made from the perspective of someone they often agree with). In explaining its accuracy, we find that taking a disagreeing perspective prompts people to consider and adopt second estimates they normally would not consider as viable option, resulting in first- and second estimates that are highly diverse (and by extension more accurate when aggregated).” (abstract).
Präferenzen aus Investments ableiten: Recovering Heterogeneous Beliefs and Preferences from Asset Prices von Anisha Ghosh, Arthur Korteweg und Qing Xu vom 20. Juli 2020: “insights that investors with dierent beliefs and/or risk preferences optimally choose dierent portfolio holdings and that asset prices reect the beliefs and preferences of the investors who trade in them. Based on these insights, we use observed asset prices to recover the beliefs and preferences of these heterogeneous investors (S. 35) … Investors like the ones who primarily invest in large cap equities are more risk averse and believe that the expected stock market return is strongly countercyclical. On the other hand, investors of the type that invest heavily in small-growth equities (often regarded as the public market counterpart of venture capital backed start-up companies) are substantially less risk averse …. Our ndings oer a potential reconciliation of the seemingly contradictory evidence of procyclical beliefs about the market return in survey data on investors‘ expectations about the stock market versus the countercyclical expected market returns implied by rational expectations representative agent models” (S. 36).
Für Buchautoren sind Fundamentaldaten unwichtig: Investor behavior under growing financial market uncertainty von Vladimir Milovidov vom 9. Januar 2021: “Analysis of the frequency of appearance of the terms indicating investment choice and behavior in English literature from Google book collections indicates the shift of scholars‘ attention to the technologically backed speculative transactions without trading securities‘ fundamental research” (S. 10). … “In a long-run perspective, this may generate the growth of market instability, risks, and uncertainty” (abstract).
Auch das ist mit klassischen Modellen nicht erklärbar: Do Contented Customers Make Shareholders Wealthy? – Implications of Intangibles for Security Pricing von Erik Theissen und Lukas Zimmermann von 9. Januar 2021: “This paper considers the link between intangible assets and security returns by documenting that firms with higher levels of customer satisfaction (as measured by the American Customer Satisfaction Index, ACSI) have higher risk-adjusted stock returns. …standard asset pricing models cannot explain the customer satisfaction premium” (S. 34)