Bild zur Heideblüte als Illustration für Responsible Investing Limits

Responsible investing limits (Researchblog #94)

Pro carbon tax: Climate change mitigation: How effective is green quantitative easing? by Raphael Abiry, Marien Ferdinandusse, Alexander Ludwig, and Carolin Nerlich of the European Central bank as of August 9th (#44): “Green QE leads to a partial crowding out of private capital in the green sector and to a modest reduction of the global temperature by 0.04 degrees of Celsius until 2100. A moderate global carbon tax of 50 USD per tonne of carbon is 4 times more effective” (abstract).

Biodiversity offsets: When profitability meets conservation objectives through biodiversity offsets by Celine Huber, Luc Doyen, and Sylvie Ferrari as of August 16th (#1):“Biodiversity Offsets (BOs) are increasingly used as economic instruments to manage biodiversity and ecosystem services … we focus on an offset marginal price, called Offset Sustainability Value (osv), … We .. show that this osv can be very high compared to the project rate of return, particularly when the biodiversity loss is high. … a numerical application related to mangroves and aquaculture in Madagascar illustrates the analytical findings. For this case study, we argue that the current BO price is underestimated” (abstract).

Is Piketty wrong? Is the financial market driving income distribution? – An analysis of the linkage between income and wealth in Europe by Ilja Kristian Kavonius, Veli-Matti Törmälehto of the European Central Bank as of August 15ht (#13): “Piketty argues that wealth is increasingly accumulating in wealthy households, and this wealth is playing an increasingly important role in the generation of income, which will lead to increased income dispersion. In our framework, this process should entail a structural shift in the ratio between capital and labour income in highest income deciles. … In fact, the share of labour income in the highest income deciles is actually increasing rather than decreasing” (p. 34).

Social NGO advantage: Social Capital and Nonprofits Financial Performance by Scott Dell, Meena Subedi, Maxwell Hsu, and Ali Farazmand as of June 1st (#26): “This study predicts and finds that a higher level of community social capital enhances the financial sustainability of NPOs. … This research concludes that communities having increased levels of interaction, communication, and knowledge exchange, as found in areas with higher social capital, show a positive impact on financial performance for NPOs located in these areas” (p. 23).

Responsible investing limits

Lasting greenium: The Price of Being Green by Christian Koziol, Juliane Proelss, Philipp Roßmann, and Denis Schweizer as of July 7th (#85): “… green bonds offer significant financing savings to companies. …. Incorporating the liquidity disadvantage of green government bonds leads to a greenium ranging from 41.2 bp to 50.6 bp, and thus far above the observed yield difference of 2.8 bp to 5.3 bp. After deducting the highest possible certification costs, we find an average financing advantage of EUR 27.6 million per EUR 500 million nominal amount for a green, compared to a conventional corporate bond with identical assumed liquidity … The willingness to forgo part of the bond yield increases during times of higher interest rates, and decreases with growing market uncertainty. Moreover, heightened sustainability awareness also positively affects the greenium” (p. 10)

Unexpected ESG cost: Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms by Javier Rojo-Suáreza and Ana B. Alonso-Conde as of July 29th (#62): “Although the effects of ESG policies are small and show little significance in the short-run, for longer time intervals, ESG performance is inversely related to the difference between the market value and the book value, and generally implies a higher cost of capital for most of the sectors and countries under study. Conversely, the effects of the ESG strategies on ROE are almost negligible for all horizons” (p. 17).

CSR dividends: Opportunity Costs and the Value of Corporate Social Responsibility: Evidence from Firm Dividend Policy by Kevin Krieger and Nathan Mauck as of July 30th (#16): “we find that, rather than hindering CSR, dividend payers actually have higher CSR scores. Further, 52.5% of firms with positive CSR scores pay dividends while only 38.3% of firms with negative scores pay dividends. … while CSR is positively related to value for both dividend payers and non-payers, the magnitude of the relation is more than double for non-payers” (p. 21/22).

Look under the hood: 713 Fonds ändern den SFDR-Status im 2. Quartal by Hortense Bioy from Morningstar as of August 10, 2022: Aktuell sind ca. 5% aller europäischen Fonds nach Artikel 9 klassifiziert, davon werden 77% aktiv gemanagt. „Der größere Marktanteil passiver Artikel-9-Fonds (Sö: gegenüber Artikel 8 Fonds) mag kontraintuitiv erscheinen, ist aber teilweise auf die wachsende Zahl beträchtlicher Indexfonds und börsengehandelter Fonds (ETFs) zurückzuführen, die EU-Klima-Benchmarks (auf Paris ausgerichtete und Klimawandel-Benchmarks) nachbilden … Fast drei Viertel der Artikel-9-Fonds tragen Morningstar-Nachhaltigkeitsratings von entweder 4 oder 5 Globen, verglichen mit etwas mehr als der Hälfte der Artikel-8-Fonds … Weniger als ein Viertel der Artikel-8-Fonds und Artikel-9-Fonds haben jedoch keine Beteiligung an fossilen Brennstoffen … das liegt vor allem daran, dass viele dieser Fonds in sogenannte Übergangsunternehmen investieren. Dazu gehören Öl- und Gas- oder Versorgungsunternehmen, die ihr Engagement in erneuerbare Energien erhöhen, aber immer noch ihre alten Geschäfte mit fossilen Brennstoffen betreiben“.  Mein Kommentar: Interessenten sollten prüfen, ob die Wertpapiere der Fonds mit ihren Vorstellungen vereinbar sind. Artikel 8 Fonds investieren oft nur zu einem relativ geringen Teil in nachhaltige Emittenten. Insgesamt haben nur ca. 1-2% aller Fonds Artikel 9 Fonds mit 5 Globen von Morningstar. Mein Fonds gehört dazu, vgl. ESG plus SDG-Alignment mit guter Performance: FutureVest ESG SDG – Responsible Investment Research Blog (

Limited shareholder activism: H1 2022 Review of Shareholder Activism by Lazard Capital Markets Advisory Group as of July 12th: “Campaigns continued to climb in Europe, reaching 20 in Q2 (up 33% from Q1 2022) and a record 35 for H1 (up 67% vs. H1 2021)” (p. 2). My comment: About 200 campaigns worldwide – including only a few ESG topics – per year for more than forty thousand stock listed companies is not much, compare Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink and 30 stocks, if responsible, are all I need – Responsible Investment Research Blog (

Traditional and alternative investments (Responsible investing limits)

Dividend delay: Reinvesting Dividends by Jan Müller-Dethard, Niklas Reinhardt, and Martin Weber as of July 27th (#112): “Contrary to the current state of research, we show that dividends are almost fully reinvested and rarely withdrawn by retail investors in our sample. … Initially, dividend proceeds remain parked in investors’ brokerage cash accounts. Delayed reinvestment then mostly occurs as an add-on to investors’ usual trading activity. When dividends are not paid to investors’ brokerage cash accounts but directly to their checking accounts, dividends are not reinvested at all. … we find a high rate of reinvestment in securities in general but almost no reinvestment in the dividend-paying asset” (p. 26/27).

Disappointing alternatives: Asset Management and Alternative Risk Premia: Are Fees Justified? by Francesc Naya, Jahja Rrustemi and Nils S. Tuchschmid as of August 3rd (#21): “ … when setting the same target volatility, all optimized allocation strategies did perform better than the naïve strategy. However, the latter does not hold without constraints. A naïve, diversified, equally-weighted portfolio does better. … we analyze the performance of ARP funds of funds by comparing them to three different benchmarks. Their average annualized alpha is close to zero and even negative” (p. 13).

Venture Capital Persistence: Has Persistence Persisted in Private Equity? Evidence from Buyout and Venture Capital Funds by Robert S. Harris, Tim Jenkinson, Steven N. Kaplan, and Ruediger Stucke as of March 31st (#6156): “This paper presents new evidence on the persistence of U.S. private equity (buyout and venture capital) funds using cash-flow data sourced from a large sample of institutional investors. … VC performance remains remarkably persistent across funds … When we consider the information an investor would actually have – previous fund performance at the time of fundraising rather than final performance – we find little evidence of persistence, for buyouts, both overall and post-2000. The conventional wisdom of an advantage to investing in funds that are, at the time of fundraising, reporting top quartile returns does not hold for buyouts. In contrast, we do find persistence for VC funds using the performance of the previous fund (and indeed the second previous fund) at fundraising. … returns for buyout funds in all previous fund quartiles as well as first-time funds exceed those of public markets as measured by the S&P 500” (p. 22/23).

ESG = crypto lovers? Environmental-Social-Governance Preferences and Investments in Crypto-Assets by Pavel Ciaian, Andrej Cupak, Pirmin Fessler and d’Artis Kancs as of July 22nd (#14): “Controversies surrounding the ESG footprint of certain crypto-assets – mainly on grounds of their energy-intensive crypto mining – offer a potentially informative object of inquiry. … The ESG-conscious investor attention is higher for crypto-assets compared to traditional asset classes such as bonds and shares” (abstract).