Pro Divestment: Besser als Engagement. Und mehr Nachhaltigkeitsresearch …

Umwelt und soziales Umfeld

Luftverdummung: Air Pollution, Cognitive Performance, and the Role of Task Proficiency von Benjamin Krebs und Simon Luechinger vom 25. Oktober 2021 (#133): “We estimate the acute effect of air pollution on cognitive performance …. using data of over 25,000 individuals and 927,000 plays of a popular online arithmetic training game. … This exogenous variation negatively affects cognitive performance of proficient players, but not of beginners.” (abtract).

Klimaungleichheit (1): Inequality and the Environment: The Economics of a Two-Headed Hydra von Moritz A. Drupp, Ulrike Kornek, Jasper N. Meya und Lutz Sager vom 8. Dezember 2021 (#20): “Our review is structured into four main blocks, describing, first, how the distribution of environmental amenities and dis-amenities is associated with income and wealth, second, how economic inequality affects environmental outcomes, third, how the cost of environmental policy is often borne unequally, and, fourth, how both the distribution of environmental quality and economic inequality shape welfare considerations underlying public policy appraisal” (abstract).

Klimaungleichheit (2): Understanding the Linkages between Climate Change and Inequality in the United States von Ruchi Avtar, Kristian Blickle, Rajashri Chakrabarti, Janavi Janakiraman und Maxim Pinkovskiy von der Federal Reserve Bank of New York vom 16. November 2021 (#17): “We conduct a review of the existing academic literature to outline possible links between climate change and inequality in the United States. First, researchers have shown that the impact of both physical and transition risks may be uneven across location, income, race, and age. This is driven by a region’s geography as well as its adaptation capabilities. Second, measures that individuals and governments take to adapt to climate change and transition to lower emissions risk increasing inequality. Finally, while federal aid and insurance coverage can mitigate the direct impact of physical risks, their structure may— inadvertently—sustain and entrench existing inequalities” (abstract).

Unsoziale Mietpreisbremse: Gentrification and Affordable Housing Policies von Rainald Borck und Niklas Gohl vom 8. Dezember 2021 (#7): “… our results document patterns of gentrification in Berlin between the years 2013 and 2019. … homeowners at the upper end of the income distribution benefit, while relatively poor renter households lose. … the rental cap does not address these issues. Instead, we find a reduction in housing prices but also a decrease in average housing consumption and rental income across the income distribution, which ultimately reduces welfare across all income groups. … prices in adjacent regions of Berlin increase as a consequence of the rental cap. … alternative affordable housing policies such as re-zoning policies and housing subsidies are better … The housing subsidy by construction directly redistributes income from households at the upper end of the income distribution to households at the lower end …. re-zoning policies … increase housing supply which reduces average housing prices across the city and across income groups …” (S. 32).

Entwaldung: Hundreds of Companies Promised to Help Save Forests. Did They? von Lucy Tompkins vom 2. Dezember 2021: „Ten years ago, some of the world’s largest companies, including Coca-Cola, Kellogg’s, Walmart and Mars, pledged to change their practices to help end deforestation by 2020. Some, like Nestle and Carrefour, went even further, saying they would eliminate deforestation from their supply chains altogether. … No company, however, could say it had eliminated forest destruction from its supply chain. Many others did not even try, said Didier Bergeret, sustainability director for the Consumer Goods Forum, an industry group of more than 400 retailers and manufacturers that organized the pledge. And annual deforestation in the tropics, where trees store the most carbon and harbor the most biodiversity, has lately been on the rise.

Plattformökopower: Ecosystems for Ecosystems- How Business Ecosystems Can Enable Collective Action Against Climate Change von David Zuluaga Martínez, Martin Reeves und Ulrich Pidun von der Boston Consulting Group vom 12. November 2021: “… Some of today’s most successful ecosystems (as in the cases of Alibaba, Amazon, Apple, Tencent, Facebook, and Yandex) … can synthesize hundreds and even thousands of contributors … turning ecosystems into active instruments for climate action can be a powerful reaffirmation of corporate purpose ….technology can here be robustly deployed for good, making sustainability pledges tangible and measurable for thousands of enterprises”.

Krisenpopulismus: Past Exposure to Macroeconomic Shocks and Populist Attitudes in Europe von Despina Gavresi und Anastasia Litina vom 8. Dezember 2021 (#6): “Individuals who grew up in countries hit by recessions between their 18 and 25 years of age, tend participate less in national elections and when they do, they tend to support populist parties. They also trust less the political institutions and manifest stronger anti-immigrant attitudes. … people who were more exposed to economic shocks in the past, are less vulnerable to populist voice in the face of current economic shocks” (S. 18/19).

Pro Divestment: Liquide nachhaltige Investments

ESG Vorhersagen: 2022 ESG Trends to watch von Lind-Eling Lee und Meggin Thwing Eastman von MSCI Research vom 7. Dezember 2021: “1. The New ‘Amazon Effect’: Corporates Pushing Corporates for Net-Zero Supply Chains … 2. Private-Company Emissions Under Public Scrutiny  … 3. The Coal Conundrum: Rethinking Divestment … 4. No Planet B: Financing Climate Adaptation … 5. Greenwashing Recedes as Common ESG Language Emerges … 6. Regulation at a Crossroads: Convergence or Fragmentation? … 7. Putting ESG Ratings in Their Rightful Place …. 8. Coffee vs. Burgers: Biodiversity and the Future of Food … 9. Bacteria Rising: Another Health Crisis Looms … 10. Just Transition: Finding the Nexus of Need and Investability” (S. 3-5).

Größe verpflichtet: Pensions and ESG: An Institutional and Historical Perspective von Brett Hammond und Amy O’Brien vom 5. Oktober 2021 (#70): “With growing asset size, funded pensions, sovereign wealth funds and other large institutional investors became ‘universal owners’ and, along with thought leaders and regulators, drove the evolution of sustainable investing toward the more systematic set of tools and policies we see today. Looking forward, questions remain, such as who will be most influential in determining the future of sustainable investing—pensions and other institutional investors, governments, shareholders and companies– as well as what it will look like. As such, sustainability remains a work in progress and pensions are in a strong position to shape its evolution” (abstract).

Große Nachzügler: Global Pensions and ESG: Is There A Better Way? von Luba Nikulina vom 2. September 2021 (#104): “… that aside from government spending, global pension assets represent the largest pool of capital on the planet, with the longest time horizon and multiple stakeholders across different generations. Many challenges facing our society are global in nature, and they can only be solved with a global and intergenerational mindset. Global pensions appear to have great potential to address these critical issues, yet the global investment value chain has mostly not heard a ‘voice from the top.’ … pension funds as investment organizations need to go through a transformational change requiring strengthened governance, greater system-wide collaboration, and substantive innovation” (S. 13).

 Viel zu langsamer Riese? How the Norwegian SWF Balances Ethics, ESG Risks, and Returns: Can this Approach Work for Other Institutional Investors? von Anita Margrethe Halvorssen vom 8. September 2021 (#47): “The Norwegian GPFG is considered a responsible investor … There is no doubt that the Fund has taken steps to support sustainable development, yet there is still more to be done. … With a successful transition, by 2050, the GPFG will be a major player in the effort to reach the goal of net zero emissions. This will be critical in limiting global warming to 1.5 degrees Celsius and avoiding the worst impacts of climate change” (S. 14).

Sündenaktien: European Sin Stocks von Siri Tronslien Sagbakken und Dan Zhang vom 10. November 2021 (#44): This article studies sin stocks on the European market over the period 2006-2020. In addition to stocks in alcohol, tobacco, gambling, and defense sectors that are traditionally considered sin stocks, we analyze stocks in carbon-intensive sectors that have newly evolved as sin stocks, such as oil and gas, metals and mining, uranium, and coal. … Our results suggest that there is no robust sin premium for new sin stocks or traditional sin stocks …. While new sin stocks are popular among institutional investors, traditional sin stocks are less held by norm-constrained investors”.

Divestments wirken: Divestments von Aktienportfolios führen zu sinkenden CO2-Emissionen von Christian Klein, Martin Rohleder, Marco Wilkens und Jonas Zink im Sustainable Finance Policy Brief 10/2021: „Eine jüngst erschienene Studie analysiert nun erstmals empirisch die Auswirkungen von Divestments europäischer und US-amerikanischer Aktienfonds auf die Aktienkurse und CO2-Emissionen von Unternehmen. Das Ergebnis ist, dass umfangreiche Divestments von Fonds die Aktienkurse klimaschädlicher Unternehmen um durchschnittlich ca. 7 % reduziert haben. Diese Kursverluste führten schließlich dazu, dass die betroffenen Unternehmen ihre CO2-Emissionen im Vergleich zu anderen Unternehmen um durchschnittlich ca. 10 % reduzierten“ (S. 1). Mein Kommentar: Vgl. Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

Schlechter Aktionärseinfluss: Executive Compensation: The Trend Toward One Size Fits All von Felipe Cabezon vom 1. November 2021 (#359): “… the structure of executive compensation in public firms is converging. Moreover, it shows that the influence of shareholders on compensation packages’ design has an important role in explaining this convergence … The more similar a firm’s compensation structure becomes to the others, the CEO gets higher pay, and this payment is less sensitive to the firm performance and the risk taken. Simultaneously, the management is more likely to manipulate accounting statements and the firm reduces its market value” (S. 31/32). Mein Kommentar: Vgl. Pay Gap, ESG-Boni und Engagement: Radikale Änderungen erforderlich – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Kurzzeitliebe: The Short-Termism Trap: Competition for Informed Investors under Stock-Based CEO Compensation von James Dow, Jungsuk Han und Francesco Sangiorgi vom 2. Dezember 2021 (#50): “Firms compete for informed investors by reducing project maturities because informed investors are short-horizoned. … Therefore, a short-termism trap arises in equilibrium; firms reduce their maturity excessively, thereby reducing shareholder value” (S. 25).

Diversityfeindliches Assetmanagement: Closing the gender and race gaps in North American financial services von Kweillin Ellingrud, Alexis Krivkovich, Marie-Claude Nadeau und Jill Zucker von McKinsey vom 21. Oktober 2021: “At the beginning of 2021, women in North America remained dramatically underrepresented in the financial-services workforce—particularly at the level of senior management and above. … The asset-management industry lags behind financial services in the representation of women across most levels. Of particular concern is that the representation of women of color has not meaningfully changed since 2018—and has actually gone down at critical levels of the pipeline. For example, the share of women of color in entry-level roles has decreased slightly in the past three years. … Senior-level women are 57 percent more likely than senior-level men to have a spouse who works full time. Of those who live with a spouse, senior-level women in financial services are seven and a half times more likely than their male peers to say they are responsible for all or most of household responsibilities. This figure has jumped significantly since 2018, when it was four times more likely”.

Pro Divestment: Illiquide nachhaltige Investments

Grüne Immobilienprämie (1): Impact of Environmental Investments on Corporate Financial Performance: Decomposing Valuation and Cash Flow Effects von Avis Devine und Erkan Yönder vom 18. November 2021 (#16): “… we find that U.S. REITs with a more environmentally-sustainable portfolio attract premiums to their market valuation beyond operating benefits, carry lower systematic risk, and are subject to less uninformed trading (for office and retail portfolios). Such firms also experience both higher asset-level rental revenues and net operating income, and lower interest costs. Importantly, the equity market premium exceeds the property market premium, which is partially explained by reputational effects” (abstract).

Grüne Immobilienprämie (2): The Impact of Environmental Certificates on Office Prices in London von Julian Zehner vom 18. November 2021 (#5): “…. this study uses the Greater London market to investigate the impact of BREEAM certifications of commercial office buildings on sales and rental prices between 2010 and 2021. … Based on 2,537 sales and 2,907 rental transactions obtained from the EG radius database … The results indicate that green certificates have a positive marginal effect on sales and rental prices and vary depending on the model specification, between 8 – 26 and 8 – 37 percent, respectively. However, the premium of BREEAM certified buildings decreases when adjusting for hedonic characteristics, and it was found that the super trophy features negatively affect the premium” (abstract).

Impact-Ventures: Impact Investing and Venture Capital Industry: Experimental Evidence von Ye Zhang vom 30. November 2021 (#28): “Results show that aiming for ESG impact causally lowers investors’ evaluations of the startup’s quality, which is consistent with the lower financial returns of impact VC funds documented in the previous literature. … impact (profit-driven) investors expect impact ventures to be more (less) likely to collaborate with them in this two-sided matching fund-raising process. … the belief that impact ventures underperform profit-driven ventures mainly hurt white male founders and founders graduating from common universities. Well-educated founders and minority founders suffer much less from this expectation. … Results show that between 2020/07/31-2021/07/31, social ventures are correlated with higher probability of obtaining another rounds of funding and less likely to go out of business” (S. 32).

Traditionelle Investments

Diversifikationsrisiken: The Long-Horizon Returns of Stocks, Bonds, and Bills: Evidence from a Broad Sample of Developed Markets von Aizhan Anarkulova, Scott Cederburg und Michael S. O’Doherty vom 19. November 2021 (#56): “Perhaps the most striking feature of our results is the substantial uncertainty about investment performance in each asset class over long horizons. Each asset class generates real wealth on average and carries strong upside potential. However, investors with a 30-year horizon also face non-trivial chances of losing relative to inflation in domestic stocks (12.6%), bonds (26.8%), and bills (36.9%). International stocks appear to provide a safer haven with a lower risk of loss (4.1%). We also find evidence of correlated losses and joint tail risk, such that investors could be hit with real losses in multiple asset classes during their savings period. These potential losses are even more pronounced for investors who begin saving in periods of high asset values (as measured by low dividend-price ratios and low interest rates)” (S. 31).

Indexmanipulationen: Is stock index membership for sale? von Kun Li, Xin Liu und Shang-Jin Wei vom National Bureau of Economic Research vom 18. November 2021 (#19): “The S&P 500 index is the single most tracked stock index by institutional investors via both mutual funds and ETFs. It is also commonly used as a benchmark in CEO performance evaluations and compensation packages. … S&P has likely exercised a non-trivial amount of discretion in deciding which firms to add to the index. … a firm’s rating purchases from S&P tend to increase its likelihood of entering the index outside of the published selection rules (but purchases of ratings from Moody’s do not help).  .. firms tend to purchase more ratings from S&P when there is an opening in the index membership. …a case study of a sudden rule change in 2002 that made foreign firms no longer eligible for S&P 500 index membership also confirms that firms’ purchase of S&P ratings is motivated, in part, by a belief that rating purchases affect S&P’s decisions on adding firms to the index. Firms that enter the S&P 500 index via discretion often exhibit a relative decline in profitability or ROA when compared to either firms that enter by the rules or firms that should enter the index but are excluded by discretion“ (S. 32/33).

Gamifikationsrisiken: Does gamified trading stimulate risk taking? von Philipp Chapkovski, Mariana Khapko und Marius Zoican vom 2. Dezember 2021 (#104): “The U.S. Securities and Exchange Commission (SEC) expressed concern in mid-2021 that “gamified applications” using visual graphics to reward trading behaviour might be ultimately detrimental for investors. … We contribute to the debate and document that trading platform gamification increases retail investors’ risk tolerance. To establish this result, we build a randomized experiment with more than 600 participants representative of the retail trader population. … We also find that the gamification effect on risk tolerance is particularly strong in assets that are risky to begin with. … anecdotal evidence suggests that self-directed retail trading platforms derive a large share of their income from options rather than stocks. We also document that the impact of gamified trading is stronger for arguably the most vulnerable groups: inexperienced traders with low levels of financial literacy (S. 21/22).

In eigener Sache: Plötzlicher Herdentrieb bei Fonds wirft Fragen auf von Susanne Bergius im Handelsblatt Business Briefing vom 10. Dezember 2021: … „Manch einer wählt Artikel 9, selbst wenn die konkrete Wirkung nicht eindeutig ist. So legte Soehnholz Asset Management im September einen derart klassifizierten weltweiten Aktienfonds auf, der dem strengen „Best-in-Universe”-Prinzip folge. „Wir selektieren nur Unternehmen, die ganz überwiegend in Marktsegmenten tätig sind, die möglichst kompatibel mit den SDGs sind“, erklärte Dirk Soehnholz auf Anfrage. Es gehe um Gesundheit, erneuerbare Energien und grüne Infrastruktur. Er betonte: „Wir orientieren uns an der SDI Asset Owner Platform“ (siehe Kontext). Nach der Wirkung befragt, räumte er ein, eine genaue Messung sei schwierig. Soehnholz kritisierte den Ansatz, Wirkung zeigen zu müssen. Firmen, die wenig für eine bessere Ressourcennutzung getan hätten, könnten wohl mit vergleichsweise geringen Investitionen relativ schnell nennenswerte Verbesserungen erzielen. „Sollten Anleger, die viel Impactverbesserung erreichen wollen, deshalb in ‚schlechte‘ Unternehmen investieren?“ Sollten sie dafür Geld aus „guten“ Unternehmen abziehen? „Wir verfolgen explizit einen anderen Ansatz“, sagte Soehnholz. Anleger sollten ihr Geld lieber in besonders gute Firmen anlegen. Das sollte für „schlechte“ Unternehmen genug Anreiz sein, um besser zu werden“ (S. 5/6).

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