Klimaschädlicher gasbasierter Wasserstoff: How green is blue hydrogen? von Robert Howarth und Mark Jacobson vom 12. August 2021: “Currently, most hydrogen is produced by steam reforming of methane in natural gas (“gray hydrogen”), with high carbon dioxide emissions. Increasingly, many propose using carbon capture and storage to reduce these emissions, producing so-called “blue hydrogen,” …. greenhouse gas emissions from the production of blue hydrogen are quite high, particularly due to the release of fugitive methane. … the greenhouse gas footprint of blue hydrogen is more than 20% greater than burning natural gas or coal for heat and some 60% greater than burning diesel oil for heat” … (abstract).
Kritik an Holzverfeuerung: Bewertung von Flexibilitätsoptionen im deutschen Stromsystem 2021 bis 2035 unter Berücksichtigung der Holzverfeuerung von Hans Ulrich Buhl, Michael Schöpf, Paul Schott, Martin Weibelzahl und Jan Weissflog vom Fraunhofer Institut vom 2. August 2021: „Zur Deckung dieses Flexibilitätsbedarfs stehen im deutschen Stromsystem verschiedene Flexibilitätsoptionen zur Auswahl. … Die Nutzung von aufbereitetem grünem Wasserstoff und Biomethan in Gaskraftwerken sowie Biogas-Blockheizkraftwerken als Alternativen zur Holzverfeuerung sind dabei mit geringeren Emissionen verbunden. Zudem ergeben sich keine vergleichbaren Auswirkungen auf die Biodiversität, wie dies bei der Abholzung von Holz der Fall ist. Jedoch sind durch eine steigende Nachfrage von organischen Einsatzstoffen zur Fermentierung von Biogas bzw. Biomethan die Aspekte einer steigenden Flächennutzung zu berücksichtigen“ (S. 31).
Klimaschwankungen sind teuer: The macroeconomic cost of climate volatility von Piergiorgio Alessandri und Haroon Mumtaz vom 2. August 2021 (#18): “This paper shows that climate change also affects economic outcomes through a volatility channel. … First, temperature volatility increased steadily over time, even in regions that were only marginally affected by global warming. Second, temperature volatility matters for growth. … Controlling for temperature levels, a +1oC increase in volatility causes on average a -0.9 per cent decline in GDP growth and a +1.3 per cent increase in the volatility of the GDP growth rate” (S. 12).
CO2 ist nicht verboten: Liability for Climate Damage under the German Law of Torts von Gerhard Wagner und Arvid Arntz vom 22. März 2021 (#66): “As a brief survey of German law has revealed, its potential for victims of climate change is limited. In a nutshell, causation and a breach of duty cannot be established, eliminating all liabilities of potential respondents. … In the normal scenario it will be impossible to establish a causal link between certain quantities of carbon dioxide, released into the atmosphere by the operator of a power plant or other industrial facility, and the harm suffered by another party who is situated a long distance away from the source of the emissions. Furthermore … carbon emissions are not illegal …” (S. 33/34)
Effektive Carbonimportsteuer: On the competitiveness impact of the EU CBAM: An Input-Output approach von Jiarui Zhong und Jiansuo Pei vom 24. Juli 2021 (#27): “the EU has proposed a carbon border adjustment mechanism (CBAM) to encounter such potential concerns of a unilateral climate policy ..” (abstract). “Our empirical results are in line with theoretical expectations that, the import price increases resulting from the CBAM increase the EU’s demand for local supply and reduce that for trading partners. … Within our sample, Russia, China, India, and Turkey are among the relatively sensitive countries to the CBAM, which are therefore the most likely to have objections to it” (S. 25).
CO2-Preisanstieg erhöht Ungleichheit: The economic consequences of putting a price on carbon von Diego Känzig vom 1. Juni 2021: “I show that tightening the carbon pricing regime leads to a persistent fall in emissions and a significant increase in energy prices. The fall in emissions comes at the cost of temporarily lower economic activity. The results point to a strong transmission mechanism working through energy prices leading to lower consumption and investment. Importantly, these economic costs are not borne equally across society. Lower-income households lower their consumption significantly and are driving the aggregate response while richer households are hardly affected” (S. 40).
Erneuerbare und Tesla mit ESG Risiken: Hidden ESG Risks May Lurk in Your Portfolio? Examining Morningstar’s equity index range highlights unexpected pockets of ESG risk and carbon intensity von Dan Lefkowitz von Morningstar vom August 2021: “Value and size may possess long-term performance advantages, but they carry higher ESG risk and carbon intensity than growth and large caps. × Strategies that tend to overweight utilities or industrials, such as high dividend yield, minimum volatility, and infrastructure, can lead investors to carbon-intensive, high-ESG-risk sections of the market. × Dividend growth strategies are designed differently than dividend yield strategies, so they do not have the same levels of ESG risk. × High-quality companies tend to carry lower ESG risk and less carbon intensity, as do many thematic strategies focused on transformative technologies. × Renewable energy investing is not the same as low carbon or low ESG risk. Companies are involved with both clean energy and fossil fuels, can have carbon-intensive operations, or carry other ESG risks” (S. 1). “How can a portfolio of companies focused on climate change solutions carry more ESG risk and carbon intensity than the overall market? Several factors are at play. First, many companies are involved in both fossil fuels and green solutions. The large slug of utilities stocks in the index includes such carbon-intensive companies as China Power, RWE, and AES. Second, a company can be focused on products and services that are climate-friendly but have carbon-intensive operations. … Then there’s Tesla—unsurprisingly a constituent of Morningstar’s renewable energy indexes. Though Tesla’s electric cars are emissions-free, the company faces other ESG-related risks. Its factory workforce presents a labor-relations challenge, and product governance is an issue, especially in the autonomous realm. Corporate governance is also a concern, as CEO Elon Musk, who owns more than 20% of Tesla stock, has made problematic public statements and has used his equity as collateral for personal loans” (S. 7/8). Mein Kommentar: Es gibt gute Gründe, warum ich meine Aktien (fast) nur nach ESG-Ratings selektiere und für die Impact/SDG Portfolios möglichst fokussierte „Pure Plays“ auswähle, die nur sehr geringe derartige Risiken haben sollten, vgl. ESG SDG: Sehr konsequente Aktienportfolios – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Attraktives UK Low-ESG-Risiko: Wie sich ESG-Risiken auf die Rendite auswirken von Sunniva Kolostyak von Morningstar vom 11. August 2021: „Vor der Coronavirus-Pandemie hatten die Aktien mit dem geringsten ESG-Risiko auch die niedrigsten Renditen erzielt. … Dies änderte sich 2020. Während jede andere Kategorie unter 0 % fiel, waren Aktien mit vernachlässigbarem ESG-Risiko die einzige Gruppe, die mit einem durchschnittlichen Wachstum von 3,3 % im positiven Bereich blieb. Seitdem hat diese Gruppe in diesem Jahr ein durchschnittliches Wachstum von 25,2 % erzielt, während Aktien mit geringem Risiko mit 18,6 % am zweitbesten abschnitten“.
Grüne Kommunalkredite? Sustainable Finance in Kommunen: Kann der grüne Kommunalkredit das Eis brechen? von Stephan Brand und Johannes Steinbrecher von KfW Research vom 29. Juli 2021: „Mit Green (City) Bonds gibt es ein bekanntes Finanzierungsinstrument, das Kommunen speziell für ökologische Zwecke Fremdkapital zur Verfügung stellt. Allerdings kommen Anleihen in Deutschland bislang nur für wenige Kommunen infrage. Deutlich verbreiteter ist der Kommunalkredit, den es aber noch nicht als grüne Variante gibt. Obwohl der grüne Kommunalkredit einige Vorteile verspricht, wird er sich unter den aktuellen Rahmenbedingungen kaum etablieren können. Mit den richtigen Weichenstellungen und der Bereitschaft einiger Vorreiter könnte dieses Instrument aber in Zukunft eine nachhaltige Ergänzung im Finanzierungsmix deutscher Kommunen darstellen“ (abstract).
Beurteilungen durch Mitarbeiter sind ernst zu nehmen: Tone at the Bottom: Measuring Corporate Misconduct Risk from the Text of Employee Reviews von Dennis Campbell und Ruidi Shang von 29. Juli 2021 (#208): “This paper examines whether information extracted via text-based statistical methods applied to employee reviews … can be used to develop indicators of corporate misconduct risk. … Our results show that information extracted from such text can be used to develop measures with useful properties for measuring misconduct risk. Specifically, the measures we develop clearly discriminate between high and low misconduct risk firms” (abstract).
Coins sind nicht ESG konform: Kryptowährungen und ESG: ein Widerspruch in sich? von Lucia Meloni und Vincent Compiègne von Candriam vom Juli 2021: „Bis es einen ernsthaften Schritt zur Lösung der in unserem Papier genannten Problembereiche gibt, kann eine bedeutende Anlage in Kryptowährungen den Ruf und die Glaubwürdigkeit eines Vermögensverwalters oder großen institutionellen Anlegers in puncto ESG erheblich schädigen. Erstens, weil Kryptowährungen nicht reguliert sind und von Kriminellen dazu genutzt werden, um Geldwäsche, Schattenbankgeschäfte oder Steuerhinterziehung zu betreiben oder Geld durch betrügerische Kryptogeschäfte von Anlegern zu stehlen. Ein weiteres großes Anliegen sind die Auswirkungen von Kryptowährungen auf die Umwelt. Bitcoins enormer Energiebedarf für das Mining resultiert aus der Strukturierung dieser speziellen Kryptowährung, bei der ein sparsamer Energieverbrauch offensichtlich kein großes Anliegen war. Es gibt zwar Kryptowährungen, die nicht ganz so viel Energie benötigen, doch ist Bitcoin ein Riese unter ihnen“ (S. 22).
Werden Divestments vernachlässigt? How Asset Owners Can Go from Net Zero to Climate Leadership von Vinay Shandal, Chris McIntyre, Patrick Herhold, Nili Gilbert, Arie-Willem Van Doorne und Tariq Nanji von der Boston Consulting Group vom 21. Juli 2021: “A net-zero portfolio can be engineered by steering capital to low-emissions sectors (like technology) and divesting high-emissions sectors (such as energy, agriculture, © 2021 Boston Consulting Group 2 and manufacturing), where climate action and capital are most needed. But these moves are not enough. What is needed is climate leadership—the kind that can generate real-world climate impact while also delivering investment returns. Asset owners can be climate leaders by deploying long-term capital and strong governance to steer sectors and companies toward a lower-carbon future” (S. 1/2). Mein Kommentar: Divestments werden stark unterschätzt, vgl. Divestmentkritik: Populäre aber falsche Kritik an verantwortungsvollen Geldanlagen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Die 3 ETF-Marktführer können Änderungen/Diversity erreichen: The Big Three and Board Gender Diversity: The Effectiveness of Shareholder Voice von Todd A. Gormley, Vishal K. Gupta, David A. Matsa, Sandra C. Mortal und Lukai Yange vom 2. August 2021: “Starting in 2017, The Big Three launched public influence campaigns to encourage companies to increase the gender diversity of their boards. As part of the campaign, The Big Three voted against the reelection of directors at hundreds of companies they deemed to be making insufficient progress. We find that these campaigns had a large effect: they led firms to add at least 2.5 times as many female directors in 2019 as they did in 2016. The percentage of all publiccompany board seats held by women increased by almost 50% between 2016 and 2019, and our estimates imply that The Big Three’s campaigns explain a third to two-thirds of this increase. … We find that firms’ male dominated leadership and their emphasis on past executive experience, rather than a shortage of female candidates, limit the number of women directors on corporate boards. The Big Three’s campaigns were effective because they got boards to consider female candidates with non-executive experience and from outside of the professional networks that current board members typically rely on. … Even after the large gains from The Big Three’s campaigns, women still hold fewer than 1 in 5 board seats” (S. 31/32).
Noch viele SDG Todos: Corporate uptake of the Sustainable Development Goals: Mere greenwashing or an advent of institutional change? von Addisu A. Lashitew vom 26. März 2021 (#52): “In an ideal world, corporations would regularly produce audited, integrated reports pertaining to their performance along financial, social and environmental dimensions. Regulation would ensure that they bear the full cost of the negative externalities they create through policies like carbon pricing, while also (partially) compensating them for their positive externalities to incentivize prosocial corporate behavior (e.g., through tax incentives). … It is particularly striking that regulatory measures that are technically feasible (such as carbon pricing and/or cap-and-trade mechanisms) are yet to be introduced in most parts of the world in spite of significant voluntary effort in other quarters (e.g., reductions in carbon emissions). …a lot of work remains to be done in several domains, including creating rigorous non-financial measurement and disclosure standards, and introducing corporate laws and regulations that incentivize corporations to internalize their social and environmental externalities” (12/13). Mein Kommentar: Vgl. Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Mehr SDG-Ambitionen nötig: A sustainable development pathway for climate action within the UN 2030 Agenda von Bjoern Soergel et al vom 2. August 2021: “Ambitious climate policies, as well as economic development, education, technological progress and less resource-intensive lifestyles, are crucial elements for progress towards the UN Sustainable Development Goals (SDGs). However, using an integrated modelling framework covering 56 indicators or proxies across all 17 SDGs, we show that they are insufficient to reach the targets. An additional sustainable development package, including international climate finance, progressive redistribution of carbon pricing revenues, sufficient and healthy nutrition and improved access to modern energy, enables a more comprehensive sustainable development pathway. We quantify climate and SDG outcomes, showing that these interventions substantially boost progress towards many aspects of the UN Agenda 2030 and simultaneously facilitate reaching ambitious climate targets. Nonetheless, several important gaps remain; for example, with respect to the eradication of extreme poverty (180 million people remaining in 2030)” (S. 1).
Pseudo-Optimierer: Traditionelle Investments
ETF Handelsrisiko: What Can Liquidity Tell Us About ETF Prices? Von Laszlo Hollo von MSCI Research vom 9. Juli 2021: „The gap between an ETF’s price and the net asset value (NAV) of the fund can be an important source of risk for investors. For many equity ETFs that hold a large fraction of their constituents’ shares, the maximum price-NAV difference is close to transaction-cost estimates …. Transaction costs may provide a forward-looking view of price-NAV risk, which may enable investors to more effectively manage this source of risk”.
Länderrisiken: Country Risk: Determinants, Measures and Implications – The 2021 Edition Updated von Aswath Damodaran vom 6. Juli 2021 (#840): „While it is true that globally diversified investors can eliminate some country risk by diversifying across equities in many countries, the increasing correlation across markets suggests that country risk cannot be entirely diversified away. To estimate the country risk premium, we consider three measures: the default spread on a government bond issued by that country, a premium obtained by scaling up the equity risk premium in the United States by the volatility of the country equity market relative to the US equity market and a melded premium where the default spread on the country bond is adjusted for the higher volatility of the equity market. We also estimated an implied equity premium from stock prices and expected cash flows” (S. 103/104).
Fama French Kritik: Is the Value Premium Smaller Than We Thought? von Mathias Hasler vom 11. August 2021 (#270): “The construction of the original HML portfolio (Fama and French, 1993) includes six seemingly innocuous decisions that could easily have been replaced with alternatives that are just as reasonable. I propose such alternatives and construct alternative HML portfolios. In sample, the average estimate of the value premium is dramatically smaller than the original estimate of the value premium. … The results suggest that the original value premium estimate is upward biased because of a chance result in the original research decisions”.
Überflüssige Faktorprognosen? Using, Taming or Avoiding the Factor Zoo? A Double-Shrinkage Estimator for Covariance Matrices von Gianluca De Nard und Zhao Zhao vom 30. Juli 2021 (#30): “… as exact factor models are consistently and markedly outperformed by approximate factor models, and as approximate factor models do not profit from a large number of factors, there is no need for laboriously taking into account the entire factor zoo. On the contrary, we argue that it is enough to use the Fama-French factors, or even only the market factor, in an approximate factor model based …” (S. 25).
Pseudo-Optimierer: Finance is not excused: Why finance should not flout basic principles of statistics von David H. Bailey und Marcos López de Prado vom 29. Juli 2021 (#1353): “Researchers publish thousands of academic articles that promote dubious investment strategies, without controlling for multiple testing. In some cases, such methodological error could be attributed to negligence, but in other cases it responds to conflicts of interest. First, tenure-seeking authors have a strong incentive to engage in uncontrolled multiple testing. Second, asset managers commercialize some of the ideas promoted in academic papers. Third, when those products fail to perform, the same asset managers have an incentive to selectively publish evidence supportive of those false discoveries, in the hope that investors will continue to pay fees for a little longer. … Unlike finance, medical journals today impose strict controls for multiple testing” (S. 9). Mein Kommentar: Pseudo-optimierte besser durch robuste Geldanlagen ersetzen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com), vergleiche auch Kann institutionelles Investment Consulting digitalisiert werden? Beispiele. – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Markowitz-Kritik: Skew-risk portfolio theory von Matthew W. Sherwood vom 3. Juni 2021 (#56): „Skew-Risk Portfolio Theory (SRPT) is an innovation to the economic sciences … Unlike many other widely adopted portfolio theories, SRPT is non-mean reverting and does not make assumptions of future distributions on the basis of historical pricing. … SRPT presents a sophisticated risk management process embedded within portfolio construction as the calculation of forward-looking risk-relative probability distribution is inherently measured [via the sentiment of the options market for financial performance measurement and triangulated research for non-financial performance measurement]”. Mein Kommentar: Vergleiche auch diese kostenpflichtige Publikation: Schuhmacher, F. / Auer, B. (2014): Sufficient conditions under which SSD- and MR-efficient sets are identical, in: European Journal of Operational Research, Vol. 239, S. 756-763
Gute Fondsmanager: Yes, Virginia, there are Superstar Money Managers von Valentin Dimitrov und Prem C. Jain vom 14. Juli 2021 (#49): “By focusing on individual money managers’ recommendations … we present strong evidence of stock-picking skill among prominent money managers who are selected by Barron’s. … skill among the top money managers has not diminished over the last five decades despite technical, financial and regulatory changes in money management industry … It appears that by the time the recommendations are published, all of the excess returns are already impounded in the stock prices” (S. 16/17).
Größere Anleger sind nicht besser: Separate Accounts and Mutual Funds in Asset Management von Howard Jones, Jose Vicente Martinez und Alexander Montag vom 22. Juli 2021 (#35): “… we find that separate account investments perform at the same level as mutual fund investments, gross of fees, and slightly below them, net of fees. In other words, separate account investors choose products that, once adjusted for structural differences, have the same underlying performance as those chosen by mutual fund investors but are marginally more expensive. This lack of underlying outperformance may seem surprising, given that separate account investors are typically larger and more sophisticated than mutual fund investors” (S. 26).
Parteiische Finanzprofs? Even Finance Professors Lean Left von Emre Kuvvet vom 28. Juni 2021 (#29): “The faculty at the top twenty finance departments and the editorial boards at the top finance journals are heavily left-leaning. There is little political diversity in the upper echelon of finance academia. This should be a concern for everybody in finance academia, as the faculty at those top departments not only produce most of the research in these top journals, but as members of the editorial boards of the top three finance journals, they also decide what type of research gets published in these journals. … Financial research, by its nature, is political. Scholarly papers in finance have public policy implications” (S. 16).
Ist Cash King? The Black Swan Problem: The Role of Capital, Liquidity and Operating Flexibility von Nick Christie, Håkan Jankensgård und Nicoletta Marinelli vom 14. Juni 2021 (#69): “The Black Swan-problem that motivates this paper is that committing resources to risk capital in order to deal with tail risk reduces return on equity in the vast number of scenarios in which such risks do not materialize … Out of the elements of risk capital investigated in this study, cash reserves stand out in terms of their ability to buffer against Black Swans. … Contrary to expectations, the equity ratio did not prove, in any of the tests conducted, to be a reliable indicator of resilience to Black Swans” (S. 20/21).
Cash ist King: They still want to have cash – A case of psychological ownership von Theo Lieven vom 17. Juli 2021 (#52): “This study supports the thesis that cash means a psychological sense of possession. The perception of real ownership of $1,000 is greatest when you have $1,000 of your own cash. The use of cashless means of payment is not a substitute but a complementary one. Accordingly, the path to a cashless era will take longer. … In Scandinavia, minor cash usage could be found. … Surprisingly, they are still cash-centric. Outweighed only by the Central European countries with 81.7%, in Scandinavia, 66.3% prefer a world where one can also pay with cash. … due to the strong opposition that the cash ban faces, regulators have suggested the implementation of an upper limit for cash transactions. Such upper limits were opposed by most individuals (about 80% worldwide). The only concession that individuals would be willing to make is the removal of several very high denomination bills” (S. 23).
Pseudo-Optimierer: Behavioral Finance und mehr
Hedgefonds-Millionäre: Private Hedge Fund Firms’ Incentives and Performance Evidence from Audited Filings von Mark C. Hutchinson, Quang Minh Nhi Nguyen und Mark Mulcahy vom 8. Juli 2021 (#15): “… we are able to use audited compensation data to provide new evidence on the conflict of interest between hedge fund managers and their investors. … We find significant evidence of diseconomies of scale — that is, as AUM increase, performance deteriorates. Nonetheless, our evidence suggests that managers have an incentive to grow assets at the cost of performance, because their compensation, after accounting for all costs, increases with AUM”.
Gute Gier? A Culture of Greed: Bubble Formation in Experimental Asset Markets with Greedy and Non-Greedy Traders von Karlijn Hoyer, Stefan Zeisberger, Seger M. Breugelmans und Marcel Zeelenberg vom 9. August 2021 (#80): “… we run experiments in which we are able to measure individuals’ greed and create markets populated with greedy and markets with non-greedy investors. High-greed markets exhibited less frequent and smaller price bubbles than markets with less greedy traders. As for trading activity, we find only small evidence of greedier individuals showing higher trading activity. If our findings translate to actual markets, our findings suggest that, contrary to common suggestions, greed might not contribute negatively to the emergence of financial crises“ (abstract).
Intelligente Lügner: Understanding the Link between Intelligence and Lying von Michalis Drouvelis und Graeme Pearce vom 3. August 2021 (#8): “We report evidence that individuals with higher intelligence (or cognitive ability) behave more honestly than those with a lower cognitive ability when lying benefits themselves. However, we find that higher intelligence individuals increase the extent of their dishonesty, and behave identically to those with low intelligence, when lying benefits a third party. In our case, the third party is a well known international wildlife protection charity” (S. 14).
Vielfältige Finanz-KI: AI in Finance: A Review von Longbing Cao vom 7. Juli 2021 (#925): “This review presents a comprehensive picture of AIDS-enabled smart economy and finance. The new generation of AIDS, in particular data science, machine learning, and deep learning, is driving the era of data and intelligence-driven economics and finance, which present tremendous opportunities of translating conventional economic-financial theories, research and tools and promoting smart and intelligent economic-financial practice, which also further advances AIDS to better tackle real-life significant economic-financial challenges and complexities and deliver actionable intelligence driven economy and finance”.
In eigener Sache: Verantwortungsbewusst investieren – Mein Weg zur nachhaltigen Geldanlage (wertpapiertreuhand.de) vom 10. August 2021