Kinderkrise: The climate crisis is a child rights crisis von UNICEF vom 20. August 2021: “The climate crisis is … already having a devastating impact on the well-being of children globally. … The Children’s Climate Risk Index provides the first comprehensive view of children’s exposure and vulnerability to the impacts of climate change to help prioritize action for those most at risk and ultimately ensure today’s children inherit a liveable planet (S. 9). … Utilizing high-resolution geographical data, this report provides new global evidence on how many children are currently exposed to a variety of climate and environmental hazards, shocks and stresses (S. 10). … Globally, approximately 1 billion children (nearly half of the world’s children) live in extremely high-risk countries, according to the CCRI” (S. 13).
Klimawandel ist für arme Länder besonders kritisch: Climate Change in Developing Countries: Global Warming Effects, Transmission Channels and Adaptation Policies von Olivier de Bandt, Luc Jacolin und Thibault Lemaire von der Banque de France vom 12. August 2021 (#29): “We show that in developing countries, sustained temperature deviations from their historical norms, i.e. global warming, negatively affects the growth rate of per capita real GDP. Our central estimate indicates that in the median country, a sustained 1°C increase in temperature deviations from their historical norms reduces the real GDP per capita annual growth rate in 1.13 percentage points (0.74–1.52 percentage points, 90% confidence interval). … we show that global warming shifts a share of aggregate demand from investment to consumption … we find that the relative importance of the industrial sector declines as the importance of agriculture grows, reinforcing the „food problem“ in presence of subsistence requirements. … higher levels of development appear to be related to lower macroeconomic damages from global warming. … Overall, our results suggest that global warming threatens recent gains in the fight against poverty by making subsistence requirements more binding and represents a poverty trap, hindering further adaptation to climate change in developing countries” (S. 35/36).
Antinationaler Klimawandel: Climate change cosmopolitanism von Cass R. Sunstein vom 12. August 2021 (#103): “… climate change imposes risks to U.S. citizens and U.S. interests that go far beyond the risks associated with higher temperatures within the territorial boundaries of the United States. … On moral grounds, there is a strong argument in favor of a narrow and constrained form of cosmopolitanism: When companies and individuals in the U.S. impose harms on foreigners, those harms are real, and they should be counted. There is also a strong argument in favor of using the global figure as part of an assortment of strategies designed to ensure an effective response to the problem of climate change, one that protects U.S. citizens and interests against the harms coming from emissions from other nations. In this light, climate change cosmopolitanism, whether based on moral or strategic grounds, is the appropriate approach to the social cost of carbon” (S. 15).
Deutsches China-Klimavorbild: Measuring the Nexus Between Economic Development and Environmental Quality based on Environmental Kuznets curve: A Comparative Study between China and Germany for the period of 2000-2017 von Yu Hao, Shang Gao, Yunxia Guo, Zhiqiang Gai und Haitao Wu vom 21. April 2021 (#14): “Based on the panel data of 30 provincial administrative regions in China and 16 states in Germany from 2000 to 2017 … Empirical results demonstrate that, during the sample period of 2000-2017, the emissions of four pollutants in both countries increase initially and then decrease as the economy grows. The levels of per capita gross domestic product (GDP) that correspond to the emission peaks of sulfur dioxide, carbon dioxide, and nitrogen oxides are comparable in the two countries. Some economic and industrial policies may help to accelerate the occurrence of the turning point, including the following: decreasing the importance of a secondary industry; taking full advantage of the structural and technical effects brought about by foreign trade; reducing the reliance on non-clean energy; and carrying out more effective energy policies” (abstract).´
Grassroot-getriebene Klimafortschritte: Grassroots vs. Greenhouse: The role of Environmental Organizations in reducing Carbon Emissions von Timothy Fraser und Pinar Temocin vom 18. Mai 2021 (#14): “… this study examined variation in 14 types of carbon emissions among all 1741 municipalities between 2005 and 2017, testing the effect of environmental organization and specific types of these organizations. We found that local grassroots organizations help reduce emissions, especially co-ops, nonprofits, or public interest associations, or if they have strong volunteer participation …. We also found that multi-level network organizations active at the prefectural, regional, or national level help reduce industrial and transportation emissions …. Finally, we found limited effects of national level organizations on their locality’s emissions, but qualitative accounts of considerable diffuse effects on emissions across the country through large policy changes …” (S. 32)
Ist CO2 Steuer gut? The Macro Effects of Climate Policy Uncertainty von Stephie Fried, Kevin Novan und Davis William B. Peterman vom 30. Juni 2021 (#25): “We find that climate policy risk has reduced U.S. emissions by the same amount that would have occurred had the U.S. adopted a federal tax of $3.21/ton of CO2. … While the emissions reductions from climate policy risk have provided environmental benefits, our results reveal that climate policy risk is a very costly way to attain these benefits. The non-environmental welfare cost of climate policy risk is over twice as large as the non-environmental welfare cost from adopting the emissions-equivalent tax of $3.21/ton of CO2” (S. 36).
Klima-KI beeinflusst Juristen: How Algorithm Assisted Decision Making Is Influencing Environmental Law and Climate Adaptation von Sonya Ziaja vom 9. August 2021 (#16): “Algorithm-based decision tools in environmental law appear policy neutral but embody bias and hidden values that affect equity and democracy. … Algorithm-based tools are needed to make sense of possible future scenarios in an unstable climate. However, dependence on these tools brings with it a conflict between technocracy (and the need to rapidly adapt and respond to climate change) and democratic participation … This Article …. compares two algorithm-assisted, decision-making tools currently in use for adapting water and energy systems to climate change. … The comparisons indicate that how law and policy are incorporated into the underlying code of models influences the development and regulation of climate adaptation, while inclusiveness and collaboration during the model’s development influences the model’s perceived usefulness and adoption” (abstract).
Biodiversitäts-Einsatz kann sich auszahlen: The Biodiversity Crisis Is a Business Crisis von Torsten Kurth, Gerd Wübbels, Adrien Portafaix, Alexander Meyer zum Felde und Sophie Zielke von der Boston Consulting Group vom 2. März 2021: “Already, biodiversity loss is reducing annual global GDP by $5 trillion. Fundamental changes are necessary to reverse biodiversity loss and preserve the ecosystem services that provide the foundations of our economic systems and societal wellbeing. Business must play a central role in accomplishing that mission, owing to its control over many activities that destroy biodiversity and its ability to drive change and innovation at scale. …Those that take action will not only mitigate major risks, but also seize new opportunities, including tapping into growing markets, delivering on growing consumer and investor expectations, and boosting their attractiveness as employers. … Sooner or later, all stakeholders will need to act. Companies that move first and take action in a collaborative way will build sustainable, competitive advantage and contribute significantly to preserving the natural balance of life on Earth” (S. 42/43).
Teures ESG und SDG
Viel Freiheit bei CO2 Schätzungen: Comparison Between the IPCC Reporting Framework and Country Practice von Jiarui Chen und Martin Dietrich Brauch vom Columbia Center on Sustainable Finance und von Comet vom 9. August 2021 (#14): “Even if all four countries follow the IPCC decision tree to determine methodologies used for each category, the methodologies used by each country are country-specific. … results generated by two approaches are significantly different … The Germany Iron and Steel Industry case study reveals that emissions calculated by different tier methods and the country-specific method are different for the same categories. In turn, Non-Annex I countries like China have not fully applied IPCC Guidelines when reporting emissions …” (S. 23)
Auch externe ESG Daten sind wichtig: Accounting for Product Impact in the Oil and Gas Industry von Katie Panella, George Serafeim und Katie Trinh vom 2. Juli 2021 (#20): “… we provide a sample application of the product impact framework to the oil and gas industry. We use publicly disclosed data and industry-wide assumptions to derive monetary estimates of a product’s reach, accessibility, quality, optionality, environmental use emissions and end of life recyclability. While publicly disclosed data can provide meaningful insights, use of internal company data can further enable precision and support internal decision-making” (S. 18).
Teures ESG? Do Financial Advisors Exploit Responsible Investment Preferences? von Marten Laudi, Paul Smeets und Utz Weitzel vom 19. Juli 2021 (#96): “… it shows that financial advisors exploit clients with a socially responsible mandate by charging them higher fees that are not justified by costly effort. … Second, switching financial advisors is costly to consumers, for example, as new advisors tend to restructure clients’ portfolios, which leads to transaction costs. The majority of regulators in our second survey believes that our findings require attention from policymakers. As suggested policy interventions, they mention transparency, standardization of fees, and consumer education” (S. 30/31). Mein Kommentar: Vgl. ESG-Investments: Warum weder aktive Fonds noch ETFs ideal sind – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Divestment wirkt: Politically Polarized Depositors von Jinoug Jeung vom 2. August 2021 (#119): “Exploiting a shock drawing public attention to banks’ financial relationships with the firearms industry – Antigun activism following the 2018 Parkland shooting – I find that non-antigun banks experienced significant decreases in deposit growth. These antigun depositor movements were stronger in counties with higher Democrat shares and for more Republican-leaning banks. Antigun policy banks also experienced substantial reductions in deposit growth, but these pro-gun depositor movements were stronger in counties with higher Republican shares. … non-antigun banks cut deposit spreads in favor of depositors in response to antigun depositor movements. … Finally, antigun depositor movements contracted the firearms industry by imposing higher financial constraints on their business“ (S. 26). Mein Kommentar: Vgl. Söhnholz, D. (2020): „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.
Seltsame Argumente für braune Investments: Brown Assets for the Prudent Investor von Alon Brav und J.B. Heaton vom 17. August 2021 (#73): „ We argue that it may be imprudent for institutional investors to avoid investment in brown assets so long as there is considerable uncertainty about a transition to a low-carbon economy. If the transition to a low-carbon economy fails, then brown assets may be more valuable than green assets” (abstract).
Grünes Renditeplus: Climate Alpha with Predictors also Improving Firm Efficiency von Joshua Kazdin, Katharina Schwaiger, Viktoria-Sophie Wendt und Andrew Ang vom 16. August 2021 (#61): “We show that two characteristics of companies that affect carbon emissions—carbon emission intensities defined by Scope 1&2 emissions divided by sales and LEED certified buildings—positively predict firm excess returns. These variables are sustainable in the sense that they directly measure how companies affect the environment. At the same time, the variables have historically predicted returns. …. Our analysis shows that carbon emission intensities and LEED buildings are both correlated with variables measuring firm efficiency, like gross profitability and return on assets” (S. 13/14).
Viel CO2 in Artikel 9 Fonds: SFDR vier Monate später von Hortense Bioy von Morningstar vom 20. August 2021: „Zum 10. Juli stellten wir … fest, dass 30,3 % und 3,7 % jeweils unter Artikel 8 bzw. 9 … Auf passive Fonds entfallen nur 11 % des Vermögens der Fonds nach Artikel 8 und 9 …Artikel 9 Fonds … haben aber auch einen hohen Geschäftsanteil an Kraftwerkskohle. Letzteres lässt sich durch die relativ hohe Zahl von Klimafonds in der Kategorie Artikel 9 erklären, die in traditionelle Versorgungsunternehmen investieren, die große Anlagen für erneuerbare Energien aufgebaut haben, aber immer noch ihre hochintensive Kohleverstromung betreiben”. Mein Kommentar: Vgl. Stiftungsgeeignete Fonds oder die Frage nach dem WIE und WAS – FondsFibel für Stiftungen & NPOs
ESG und Währungen: Pricing Ethics in the Foreign Exchange Market: Environmental, Social and Governance Ratings and Currency Premia von Ilias Filippou und Mark Taylor vom 24. Juli 2021 (#32): “The research reported in this paper is the first to examine the cross-sectional predictive power of ESG ratings for currency returns. …. we find that ESG is a strong negative predictor of currency returns at the country level. Specifically, currencies of high ESG countries tend to offer lower returns on average and are less risky while low ESG currencies are riskier and investors require a premium in order to finance long positions in these currencies. …. We also investigate the pricing ability of the Environmental, Social and Governance pillars individually, and find that only the environmental component of ESG exhibits strong predictive ability of currency returns” (S. 17).
Teures ESG? Traditionelle Investments
Faktorabhängige thematische ETFs? Betting Against Quant: Examining the Factor Exposures of Thematic Indices von David Blitz von Robeco vom 9. August 2021 (#822): “We regressed the returns of recently introduced thematic indices on standard asset pricing factors. We found that thematic indices generally have strong negative exposures towards the profitability and value factors, indicating that they hold growth stocks that invest now for future profitability. As such, investors in thematic indices are effectively trading against quant investors, who prefer stocks that are currently cheap and profitable. From an asset pricing perspective, the negative factor exposures of thematic indices imply low expected returns. … Since our analysis is based on the thematic indices of two index providers, the conclusions should not be generalized to thematic investing in general” (S. 8). Mein Kommentar: Vgl. Faktorallokation ist konzeptionell und operationell schwierig, Faktoranalysen sind aber wichtig – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Intangible Wertsteigerungen: Equity Investing in the Age of Intangibles von Amitabh Dugar und Jacob Pozharny von Bridgeway Capital vom 24. Februar 2021 (#272): “We construct a composite measure of intangible intensity based on intangible assets capitalized on the balance sheet, research and development expenditures, and sales, general & administrative expenditures to classify industries by intangible intensity. We show that the value relevance of book value and earnings has declined for high intangible intensity companies in USA and abroad, but for the low intangible intensity group it has remained stable in USA and increased internationally” (abstract).
Anleiheratings mit Klimadefiziten: Pricing Climate Change Risk in Corporate Bonds von Elsa Allman vom 8. April 2021 (#209): “I find that investors require a premium for bonds issued by firms exposed to sea level rise, especially those with activities identified as vulnerable to floods and extreme weather events (e.g. Energy sector), less geographically diversified across the U.S., and which issue bonds with maturities ranging from 0 to 10 years. … I find no evidence that sea level rise exposure is accounted for in credit ratings at issuance”. (S. 23).
Unattraktive Unternehmensanleihen: A risk not worth taking – The corporate bond liquidity factor von Fabian Dienemann vom 19. Juli 2021 (#30): “The cost of illiquidity, particularly for sellers, is shown to depend crucially on financial market sentiment. The degree of autocorrelation in corporate bond liquidity is similarly high as the persistence of stock market liquidity documented in the equity literature and shocks to liquidity have predictive power for corporate bond market returns. The asset pricing implications of systematic liquidity shocks are twofold: In the time series of corporate bond portfolio excess returns, shocks to aggregate liquidity make up a material fraction of the overall risk. The economic magnitude of exposure to liquidity risk trumps the exposure to credit and equity risk. However, over long periods of time, corporate bond portfolios do not earn a constant positive risk premium as compensation for exposure to the liquidity risk factor” (S. 30).
Big Tech Akquisitionsvorbilder? Effects of Big Tech Acquisitions on Start-up Funding and Innovation von Tiago S. Prado und Johannes M. Bauer vom 25. August 2021 (#98): “… we found an average increase of 30.7% in the total amount of VC funding of U.S.-based start-ups in the four quarters following a big tech start-up acquisition. For deals targeting European start-ups, we found a causal, statistically significant increase of 32.1% in the level of VC funding in the treated industry segments in the first quarter after the treatment. Our findings show that when such positive effects of big tech start-up acquisitions on VC activity exist, they persist for a few months only” (S. 37)
Problematische Private Equity Externalitäten: The Pace of Change: Socially Responsible Investing in Private Markets von Deeksha Gupta, Alexandr Kopytov und Jan Starmans vom 2- August 2021 (#38): “We study the pace at which socially responsible investors can induce firms to reduce negative externalities in private capital markets. Investors with broad preferences, who care about firm externalities independent of their ownership in the firm, value acquiring firms with high production externalities since they can reform these firms. The anticipation of trading gains for firms with high externalities decreases the incentive of current firm owners to reduce externalities, causing a potential delay in reform. Investment mandates through which investors can commit to paying a premium for firms with low production externalities can incentivize reform in a timely manner” (abstract).
Private Equity kann Banken stabilisieren: Private Equity and Financial Stability: Evidence from Failed Bank Resolution in the Crisis von Emily Johnston-Ross, Song Ma und Manju Puri vom 11. August 2021 (#90): “We find that PE investors acquired failed banks that were generally underperforming and riskier than bank-acquired banks were. PE investors also acquired failed banks when the neighboring banks were also in distress and therefore had a lower ability to make failed bank acquisitions. Thus, our findings suggest that PE investors fill the capital gap in scenarios where the natural local bank buyers are themselves distressed or capital constrained. Using a quasi-random empirical design, we find that PE-acquired failed banks recovered as well as those acquired by banks despite being underperforming ex ante, and we show some evidence of them outperforming other distressed banks in various dimensions. Our quasi-random empirical design further shows positive real effects on the local economy of PE failed bank acquisitions” (S. 30).
Kunst als Anlage: Pricing Art and the Art of Pricing: On Returns and Risks in Art Auction Markets von Yuexin Li, Marshall X. Ma und Luc Renneboog vom 22. Juli 2021 (#25): “We split our sample into two three-decade periods and find much higher annual real (nominal) returns of 6.23% (11.05%) and unsmoothed volatility of 24.62% over the first 3 decades (starting in 1957), than for the most recent ones (starting in 1987) that yield a real (nominal) return of -1.38% (1.26%) and unsmoothed volatility of 17.41%. The high-end art market experiences higher returns than the low-end market, but also has a higher volatility. The returns vary significantly across schools of art. … paintings sold in the UK generate higher returns than those sold in the US or Continental Europe. … investing in paintings outperforms alternative investments in sculptures, but is outperformed by investments in other types of collectibles or passion goods such as investment-grade white diamonds, classic cars, premier cru Bordeaux wines, stamps and fine violins. Compared to traditional financial assets (stocks, bonds, gold, commodities, and real estate) held over the (very) long run, the paintings’ Sharpe ratio (return by unit of risk) is below that of stocks, and government bonds, and gold, but higher than commodities and real estate” (S. 27/28)
Teures ESG? Behavioral Finance und Wealthtech
Problematische Fondsmanagerselektion: Delegated asset management and performance when some investors are unsophisticated von Steven Malliaris und A. G. Malliaris vom 9. August 2021 (#24): “… when enough investors cannot distinguish good managers from bad, entry by new bad managers becomes attractive. So naifs, by unknowingly delegating to bad managers, not only experience poor performance for their investments but also make it difficult for other agents to find good managers among the bad ones”. (S. 33/34)
Fondsmanager mit Pollution-Bias: Does a mutual fund’s exposure to pollution influence its environmental engagements? von Pouyan Foroughi, Alan Marcus und Vinh Nguyen vom 9. August 2021 (#27): “ … we examine the relationship between a mutual fund’s direct air-pollution exposure and its engagements with portfolio companies on environmental issues, using the level of air pollution at a mutual fund’s headquarter county as the main proxy for the fund’s air-pollution exposure. … First, higher air pollution in a mutual fund’s headquarter county increases the tendency of the fund to vote in support of shareholders’ environmental proposals. Second, a mutual fund exposed to higher air pollution is more likely to sell the majority of its holdings of portfolio companies with lower environmental ratings. And, third, higher air pollution exposure of a mutual fund predicts better environmental performance of its portfolio companies” (S. 23/24).
Weniger Schlechtes wichtiger als mehr Gutes: The Moral Investor: Sin Stock Aversion and Virtue Stock Affinity von Chew Soo Hong und Li King King vom 9. August 2021 (#84): “We investigate moral stock preference experimentally in terms of sin stock aversion (SSA) and virtue stock affinity (VSA) and arrive at three main findings: (1) SSA and VSA are both observed, with the effect of SSA being stronger, (2) SSA/VSA is positively correlated with social preference, with the effect of altruistic giving being stronger than that of trust or trustworthiness, and (3) SSA/VSA is correlated with belief bias, the effect of which is stronger than that of social preference. The asymmetry between SSA and VSA – avoiding “bad” matters more than doing “good” – points to moral loss aversion based on a disproportionate avoidance of sin stocks compared to favoring virtue stocks” (abstract).
Wichtiges relatives Vermögen: Perceived Relative Wealth and Risk Taking von Dietmar Fehr und Yannick Reichlin vom 19. August 2021 (#8): “We show that perceptions of relative rank in the wealth distribution shape individuals’ willingness to take risks. Using a representative large-scale survey, we manipulate perceptions of relative standing by randomly varying response categories when asking respondents about their wealth level. Respondents who are induced to perceive their relative position as low display more tolerance towards risk in a subsequent incentivized lottery task. This effect is mainly driven by individuals who more firmly believe that life outcomes are beyond their control. This interaction between risk preferences and underlying beliefs spotlights the benefits of incorporating personality traits into economic analysis” (abstract).
Gute Panik? When Do Investors Freak Out? Machine Learning Predictions of Panic Selling von Daniel Elkind, Kathryn Kaminski, Andrew W. Lo, Kien Wei Siah und Chi Heem Wong vom 9. August 2021 (#95): “Panic selling and freakouts often have negative connotations. We show that this negativity may not always be warranted. While panic selling in normal market conditions is indeed harmful to the median retail investor, freaking out in environments of sustained market decline prevents further losses and protects one’s capital. Panic sales are not random events. Specific types of investor, such as those with less than $20000 in portfolio value, tend to liquidate more frequently than others. Subtle patterns in portfolio history, past market movements, and demographic profile can be exploited by deep neural networks to accurately predict if an investor will panic sell in the near future. Unfortunately, the problem of causation cannot be addressed with the data we have” (S. 27).
In eigener Sache
Überdiversifikation: Nachhaltige Investments: Geht saubere Geldanlage nur mit Dreck? (paymentandbanking.com) von Arne Gottschalck vom 19. August 2021: „Börsennotierte Socially Responsible Investment Indexfonds (SRI ETFs) meist weniger Wertpapiere als andere nachhaltige ETFs“, so Söhnholz. „Ihre Rendite ist trotzdem oft besser als die von breiter diversifizierten ETFs.“ Mit anderen Worten: die Streuung ist dennoch gewährleistet. Trotzdem, so Söhnholz, scheuen viele Anleger das Risiko, von breit gestreuten Indizes abzuweichen. Vermutlich auch, weil sie damit vom Verhalten der Mehrheit abweichen und sich damit angreifbar machen, sollte sich das Investment nicht wie erwartet entwickeln. Hinzu kommt: „Und Anbieter, die viel Anlegergeld verwalten, wollen meist auch sehr breit diversifizieren.“
Unzureichende Offenlegung: Stiftungsgeeignete Fonds oder die Frage nach dem WIE und WAS – FondsFibel für Stiftungen & NPOs von Dirk Söhnholz vom 18. August 2021: Offenlegungsverordnung liefert bislang begrenzten Nutzen für Stiftungen: „Die Offenlegungsverordnung sortieren Stiftungen am besten in der Sprache der Mathematik ein: Demnach ist die Erfüllung der Artikel 8 oder 9 der Offenlegungsverordnung ein notwendiges aber kein hinreichendes Investmentkriterium – und erst recht keines, das eine Stiftungseignung eines Fonds zusätzlich untermauert“.
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