UN PRI Kritik und neues (ESG Investment) Research

Umwelt und Soziales generell

Pro Klimasteuer: Gathering Support for Green Tax Reform: Evidence from German Household Surveys von Frederick van der Ploeg, Armon Rezai und Miguel Tovar vom 12. November 2021 (#7): “If the revenue from a carbon tax is recycled via a lump-sum transfer to all households, this gives more equitable albeit less efficient outcomes, yet 70% of households are worse off. If the revenue is recycled via lower income taxes, there is more efficiency at the expense of more inequality, and about half of households benefit. With a recycling mix of lump-sum transfers and lower income taxes, popular support can be mustered without hurting equity too much” (abstract).

Frauenfeindlicher Klimawandel: Why Climate Action Needs a Gender Focus von Zineb Sqalli, Shalini Unnikrishnan, Nour Mejri, Patrick Dupoux, Robin George und Younès Zrikem von der Boston Consulting Group vom 29. Oktober 2021: “It is no secret that climate change is likely to have a disproportionate impact on women. For example, women are more at risk in climate-induced disasters. Research also suggests that women’s livelihoods and education will take a harder hit than men’s as the planet warms. Less widely recognized, however, is the fact that the current approach to combating climate change could leave women behind, too. If current trends in areas such as education and employment continue, BCG analysis indicates, climate mitigation and adaptation strategies as designed today could delay the attainment of gender equity by 15 to 20 years. This is largely because women are underrepresented in the fast-growth green economy and therefore are at a disadvantage in garnering new jobs, participating in reskilling, and gaining access to funding for green tech startups”.

Klimamigration: A Real-Options Analysis of Climate Change and International Migration von Marius Braun vom 10. November 2021 (#14): “… the current paper presents an application of the real-options framework in which individuals may decide to postpone their migration response to climate change due to the fixed cost of migration as well as the option value of waiting. This framework implies that individuals choose a threshold level of quality of climatic conditions and migrate only once climatic conditions have deteriorated past this critical point. … For low-income countries, I find a hump-shaped relationship between temperature anomalies and migration rates; this effect appears to be primarily driven by migration to other low- and middle-income countries. For middle-income countries, no effects of temperature and precipitation anomalies on migration rates can be observed. I generally find no evidence of the threshold effects suggested by the real-options framework. … the findings suggest that in low-income countries, individuals’ migration response is hampered by the existence of liquidity constraints. These are likely to become more binding due to climate change-induced decreases in agricultural productivity” (S. 23/24).

Klimakrankheit: Managing the financial risks of climate change and pandemics: What we know (and don’t know) von Nicola Ranger, Olivier Mahul und Irene Monasterolo vom 22. Oktober 2021: “… we propose a framework for assessing the economic losses associated with compounding climate, economic, and pandemic shocks. We propose a new metric, the compound risk multiplier, to measure the scale of the amplification effect and find that this can peak at over 150%; that is, the GDP impacts of the compound shock can be 50% larger than the sum of the individual shocks” (summary).

Klimaboni: A New Yardstick for Pay: Environmental & Social Factors von ISS Governance vom 12. November 2021: “The inclusion of E&S-related (Sö: Umwelt- und sozialbezogene) performance metrics in U.S. compensation programs has increased significantly, although most US companies are still not using them. And when E&S metrics are used, they tend to be included in STIPs rather than LTIPs (Sö: Kurz- und Langfristige Bonuspläne). The LTIP typically is the portion from which executives derive the most value“ (S. 12). Mein Kommentar: Bisher hat Voting und Engagement offenbar wenig gebracht (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).

UN PRI Kritik: Nachhaltige Investments

Geringe Investor-CO2-Effekte: Institutional Investors and Corporate Carbon Footprint: Global Evidence vom EDHEC Risk Institute vom 28. Oktober 2021: “This study analyses panel data of 6392 firms from 68 countries from the period between 2007 and 2018 on the impact of shareholders on their investees’ carbon-sales intensity. Across full sample, we find that institutional shareholders do not reduce in a meaningful way their investees’ carbon footprint but they contribute to the carbon emission reduction for the most polluting companies. However, even for the highest emitting companies in our sample the reduction of carbon footprint has a limited magnitude” (S. 19).

ESG-positive institutionelle Effekte? Do sustainable institutional investors contribute to firms’ environmental performance? Empirical evidence from Europe von Othar Kordsachia, Maximilian Focke und Patrick Velte vom 26. Juli 2021 (#1143): “… we specifcally focus on a cross-national European sample consisting of 7384 firm-year observations between 2008 and 2017. In line with our three hypotheses, both socially responsible investors and long-term institutional investors are significantly positively related to various dimensions of firms’ environmental performance. In more detail, sustainable institutional ownership leads to increased total environmental performance, including its three sub-pillars, and to increased carbon awareness“ (S. 24).

ESG-Allokationseinfluss: Can capital markets save the planet von KPMG und CAIA von Amin Rajan, Anthony Cowell und William J. Kelly für KPMG und CAIA vom 29. Oktober 2021: “So far, a green portfolio does not equate to a green planet. There is currently no clear line of sight between climate investing and its impacts. — The combination of the climate agenda of the new administration in the US and COP26 is starting to provide the policy clarity that markets need to assess the risks and opportunities associated with climate change. — As a result, the pricing process of capital markets is braced for stronger tailwinds from progress in three areas of public policy: carbon pricing, innovation in alternative energy and mandatory data reporting. — Success will also require the enhancement of current practices in the investment value chain in line with the new belief. Stewardship is the new linchpin that is as essential as asset allocation decisions, if not more so“ (S. 6).

Keine ESG Lemminge: Herding and Anti-Herding Across ESG Funds von Rocco Ciciretti, Ambrogio Dalò und Giovanni Ferri vom 11. November 2021 (#28): “Using a dataset of 10, 456 unique ESG funds investing worldwide from 2012 to 2018, enriched by detailed monthly information for 37,181 holdings, we find that ESG funds exhibit an anti-herding behavior. Moreover, we show that, after a catching up-phase, ESG funds become able to generate higher risk-adjusted returns and that such an enhanced performance does not come at the cost of higher systematic risk exposure” (S. 20).

Gute Bubble-Folgen: „Salvation and Profit“: Deconstructing the Clean-Tech Bubble von Vincent Giorgis, Tobias A. Huber und Didier Sornette vom 26. Mail 2021 (#168)“… we have synthesized the history and provided a quantitative analysis of the clean-tech bubble. We identified the possible causes that led to the bursting of the bubble in 2008, … adoption, for example, of wind energy or solar photovoltaic has increased in the aftermath of the bubble’s burst. We argued that, while the bursting of the bubble resulted in massive losses for investors, the cost decreases that the bubble has catalyzed are now starting to make the clean or climate technologies viable alternative energy sources. We showed that the self-reinforcing feedback loops between technologies, capital, and startups are essential for innovation-accelerating and socially transformative bubbles. Given that the clean-tech bubble was largely driven by government funding, and markets for the technologies were mostly lacking, we have argued that these self-reinforcing and reflexive dynamics were absent in the first iteration of the clean tech bubble, but are now starting to emerge in a new wave of clean or climate tech investing, which is harnessing some of the technologies and cost-reductions that the first bubble has enabled” (S. 22).

Blackrockkritik: Climate in the boardroom – How asst manager voting shaped corporate climate action in 2020 von Majority Action vom 7. Oktober 2021: “BlackRock and Vanguard, the world’s largest asset managers and largest shareholders of the vast majority of S&P 500 companies, continue to undermine global investor efforts to promote responsible climate action at these critical companies–even as they publicly tout their commitment to addressing the climate crisis (S. 4) …. BlackRock and Vanguard voted overwhelmingly against the climate-critical resolutions reviewed in this report, with BlackRock supporting just 3 of the 36, and Vanguard only 4. At least 15 of these critical climate votes would have received majority support of voting shareholders if these two largest asset managers had voted in favor of them” (S. 5).

Auch künftig unnachhaltige Bundesanlagen? Beitrag der Kapitalanlagen des Bundes zur Einhaltung der Pariser Klimaziele – Antwort der Bundesregierung auf die Kleine Anfrage der Abgeordneten Lisa Paus, Stefan Schmidt, Dr. Wolfgang Strengmann-Kuhn, weiterer Abgeordneter und der Fraktion BÜNDNIS 90/DIE GRÜNEN vom 13. September 2021: „Die zehn größten Unternehmen im S&P Eurozone Bund/SV Climate Transition ESG Select Index (Stand: 31. August 2021) sind: ASML Holding NV; LVMH; Moet Vuitton; SAP SE, Siemens AG, Sanofi-Aventis, Schneider Electric SE, Allianz SE, TotalEnergies, BASF SE, BNP Paribas. Die zehn größten Unternehmen im Euronext V.E ESG-World-Select 75 Bund/ SV Index (Stand: 27. August 2021) sind: Microsoft Corp, Amazon, Nvidia Corp, Bank of America, PayPal Holdings Inc, Johnson & Johnson, Adobe Inc, Nestle SA, Procter & Gamble Co, Salesforce.com” (S. 5/6). Mein Kommentar: Es geht auch anders, siehe Nachhaltigster Aktienfonds? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Schweizer Nachhaltigkeitsfondsmarkt: IFZ Sustainable Investments Studie 2021 – Nachhaltige Fonds und Klimarisiken von Manfred Stüttgen und Brian Mattmann vom 18. November 2021: „Per 30. Juni 2021 zählen wir in der Schweiz 1’289 nachhaltige Publikumsfonds mit einem Vermögen von 775 Milliarden Franken (2020: 777 Fonds mit 316 Milliarden Franken). … Rund 15 Prozent aller nachhaltigen Fonds verfolgen erkennbar eine Klimastrategie. … Wir zeigen auf, welche Trends für nachhaltige Fonds in Zeiten des Klimawandels von Bedeutung sind. Zweitens gehen wir der Frage nach, welche Klimastrategien im Anlageprozess zum Einsatz gelangen können. … Anschliessend diskutieren wir die Leistungsfähigkeit von Klimastrategien hinsichtlich der angestrebten Klimaziele und deren Messung – angefangen vom Divestment fossiler Energieträger bis hin zu wirkungsorientierten Anlagen mit Klimafokus (Impact). … Wir stellen dar, in welchen Segmenten die Akteure sich differenzieren und wer im Wettbewerb die Nase vorn hat“ (S. 1). Mein Kommentar: Vgl. Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

UN PRI Kritik: ‘Looking for something that isn’t there’: a case study of an early attempt at ESG integration in investment decision making von Anna Young-Ferris und John Roberts vom 27. Oktober 2021 (#32): “In relation to feasibility, the case points to the ambiguity of ESG issues in terms of their possible value relevance, to how ESG data quantification and aggregation readily occludes its significance, and to the difficulty of attaching a monetary value to ESG data in either an aggregated or disaggregated form. Consideration of ESG issues is then further constrained by the spatial boundary of the ‘entity’ that financial accounting performs, and the short temporal ‘horizon’ of the financial projections of the entity’s future performance that it enables. We conclude that … the UNPRI’s limiting of ESG ‘risks’ to those that are potentially ‘financially material’, may itself be creating a false sense of security both for investors and their clients”. Mein Kommentar: Das sehe ich auch so.

Immobilienklimarisiken: Does Climate Change Affect Investment Performance? Evidence From Commercial Real Estate von Dragana Cvijanovic und Alex van de Minne vom 11. November 2021 (#63): “We find that exposure to extreme temperatures significantly reduces average realized total returns in CRE. We find that this result is mostly driven by reduction in asset returns. Exposure to extreme temperatures does not seem to affect income return in a statistically significant way. … different CRE property types exhibit different return sensitivity to extreme temperatures” (S. 20/21). Mein Kommentar: Erstes konsequent verantwortungsvolles ESG-Portfolio aus Immobilienaktien – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

UN PRI Kritik: Investments generell

Pensionsfondsherding: Pension Fund Equity Performance: Herding Does Not Pay Off von Matteo Bonetti vom 14. Oktober 2021 (#12): “… I study herding in the equity investments of Dutch occupational pension funds  … I find significant herding among all pension funds. However, pension funds that herd more underperform those that do not herd by 1.32% on an annual basis. … Herding is related to scale, as small pension funds are more likely to herd. These pension funds may not be able to select skilled asset managers and in turn decide to herd. In addition, pension funds that trade less frequently also herd more. This herding indicates that pension funds that cannot afford trading strategies involving a lot of trades may decide to herd as well. Herding is stronger in markets with high information asymmetries like small capitalization and emerging markets. Therefore, small pension funds that generally have less resources to use for research might herd to learn from other pension funds. In fact, the information inferred is not timely, as pension funds that herd underperform pension funds that do not herd by 2.76% on an annual basis in emerging markets. The fact that pension funds herd regardless of whether it leads to better performance indicates that they might do so out of reputational concerns. The fear of underperforming their peers can push pension funds to follow each other. Indeed, herding is a strategic decision because pension funds herd consistently over time” (S. 24/25).

Unverständliche Aktienkurse: Monetary Policy and Stock Market Valuation von Olli-Matti Laine vom 18. November 2021 (#86): “Interest rates have declined considerably since the global financial crisis, yet the expected average stock market return has remained quite stable at around 9 percent. This implies that expected average stock market premium has increased remarkably. … These results may seem unintuitive as the prices of stocks have risen and ratios like price-to-earnings have been historically high. … When it comes to the role of monetary policy … The effect on expected average premium is positive, i.e. expansionary monetary policy makes the prices of stocks cheap in comparison to the expected dividend stream and risk-free rates. These results show that the conventional wisdom that monetary policy easing makes stock market valuation high is likely to be false. They underline the fact that the effect of monetary policy on stock market valuation is a puzzle that has not been solved yet” (S. 19).

Schlechte Fondsbetakäufe: Mutual Fund Risk Shifting and Risk Anomalies von Xiao Han, Nikolai Roussanov und Hongxun Ruan vom 5. November 2021 (#152) „… we explore the relationship between risk-shifting by underperforming mutual funds and several well-known risk anomalies. We show that these anomalies are concentrated among stocks mainly held by underperforming funds. … We find that the magnitude of the beta anomaly falls by more than half in the counterfactual equilibrium that eliminates demand from underperforming funds for high-beta stocks” (S. 28).

Verlierer verkaufen: Do Large Losses Loom Larger than Gains? Salience, Holding Periods, and the Disposition Effect von Vladimir Kotomin und Abhishek Varma vom 1. Oktober 2021 (#31): “Individual investors are more likely to sell stocks with nominal gains and losses that are large relative to their brokerage portfolio value. …. at short holding periods, individuals are more likely to sell stocks with large nominal losses than gains of the same size … ” (abstract).

Auslandsfavoriten? Foreign bias in equity portfolios: Informational advantage or familiarity bias? von Martijn Boermans, Ian A Cooper, Piet Sercu und Rosanne Vanpée vom 25. Oktober 2021 (#47): “We use the European Central Bank’s new and detailed database of European equity holdings by households …. The database allows look-through handling of investments via mutual funds etc, and reveals that home bias is smaller than usually believed. We find that both home bias and foreign bias are positively associated with the Cremers and Petajisto (2009) ActiveShare measure and negatively with the fraction of the country sub-portfolio invested via mutual funds, both of which are consistent with information effects rather than familiarity bias” (abstract).

Keine Illiquiditätsprämie: Liquidity and the Cross-Section of International Stock Returns von Nusret Cakici und Adam Zaremba  vom 20. März 2021 (#127): “… we examine the pricing of liquidity in stock markets in 45 developed and emerging equity markets through the years 1990-2020. … we demonstrate that the liquidity effect exists only among microcap stocks that are of negligible economic significance. When these firms are excluded, hardly any illiquidity premium can be detected anywhere” (S. 24).

Anonyme Underperformance: Hiding in Plain Sight: The Global Implications of Manager Disclosure von Richard B. Evans, Pedro Matos, Miguel Ferreira und Michael Young vom 19. Oktober 2021 (#79): “Our results show that across all countries and regions, anonymous teams under-perform non-anonymous teams by almost 1% per year. … we find evidence that fund families are placing their less skilled managers in anonymous funds …. we show that increased regulation on disclosure and liability are associated with better performance of anonymous teams” (S. 16/17).

Lieber passiv? Unattractive Share ? A much heralded measure of active management has failed to steer investors into funds with consistently strong performance von Robby Greengold von Morningstar vom 17. November 2021: “Active share, a popular measure of a portfolio’s similarity to an index, is often used to compare different funds …. greater index concentration leading to lower median active share. … Relative to other category options, since 2003, investors in high-active-share funds have mostly endured more risk while paying steeper fees for mediocre relative returns”.

Passiv = Aktiv? Closet Active Management of Passive Funds von Pat Akey, Adriana Z. Robertson und Mikhail Simutin vom 8. JUli 2021 (#287): “… we find that about a third of these .. passive funds exhibit more activeness than the median actively managed fund. Using both hand-collected prospectus data and factor loadings, we show that these passive funds also offer an increasingly wide assortment of styles including tracking expressly proprietary indices. In contrast to “closet indexers”—ostensibly actively managed mutual funds that, in reality simply track an index—we find that more active “passive” funds underperform: A one-standard deviation increase in activeness is associated with a 55 basis-point decrease in alpha and a decrease in Sharpe ratio of 0.092. This pattern is present in both index funds and ETFs, including the vanilla index funds and ETFs that pursue size and value objectives. However, it is particularly pronounced in the sample of funds pursuing exotic strategies and those with proprietary indices, where a one-standard deviation increase in activeness is associated with a 95 basis-point decrease in alpha” (S. 25/26).

Datenassets: Valuing Financial Data von Maryam Farboodi und Dhruv Singal vom 15. Oktober 2021 (#36): “Portfolio size, risk aversions, trading horizon, and investment style affect an investor’s willingness to pay for data and the equilibrium value of data. Directly measuring all these characteristics of all investors is hopeless. … Our approach can value data that is public or private, about one or many assets, relevant for dividends or for sentiment. We find that investor characteristics always matter. What tempers the heterogeneity in how investors value data is market illiquidity. When investors’ trades move prices, the value of data falls, especially for the investors who value data most. The high sensitivity of the value of data to market liquidity, for high-data investors, suggests that modest fluctuations in market liquidity can eviscerate the value of financial firms whose main asset is financial data” (abstract).

Behavioral Finance und Wealthtech

Cryptos für Dumme? Investment literacy, overconfidence and cryptocurrency investment von  Kyoung Tae Kim und Sherman D. Hanna vom 2. November 2021 (#106): “ … objective investment literacy is negatively while subjective literacy and overconfidence are positively associated with the likelihood of investing in cryptocurrency” (S. 7).

Reputationsbias: The role of social signaling in selective exposure to information von Molly Moore, Charles A. Dorison und Julia A. Minson vom 2. November 2021 (#18): “ … a large interdisciplinary literature makes clear that individuals often avoid information that contradicts their prior beliefs, a tendency referred to as selective exposure. … we test a social signaling model of selective exposure, hypothesizing that (1) individuals shift their information consumption choices to signal to observers and (2) observers reward such shifts. In the context of partisan politics in the United States, three financially-incentivized, pre-registered experiments (N = 2,325) supported both hypotheses. … examining the reputational causes and consequences of selective exposure reveals a novel trade-off: what is typically optimal for decision quality may conflict with accomplishing one’s reputation-management goals.”

Problematische Robo-Advisors: SEC Slams Almost All Robo-Advisors With Deficiency Letters von Tracey Longo vom 10. November 2021: “… the Securities and Exchange Commission has honed its examinations on interactive digital investment advisors, including those that offer discretionary advice, uncovering a wide swath of deficiencies at almost all firms in the nation. The SEC said it sent a deficiency letter to “nearly all” of the advisors examined, with examiners observations most often centering on compliance programs, portfolio programs, robo-advisors’ fiduciary duty to provide advice in each clients’ best interest and marketing and performance advertising”.

Irrationale Bilderwelt: Positivity and Nature: How Images Increase Investment von Koen van Boxel, Philipp Decke, Sven Nolte … Judith C. Schneider vom 3. November 2021 (#167): “… we show that the exposure to imagery does in fact significantly affect investment decisions. … exposure to positive imagery compared to both no-imagery situations and neutral imagery results in significantly and substantially higher investment while exposure to negative imagery affects in the opposite direction. …. Exposure to nature-related imagery compared to non-nature imagery results in significantly higher investment” (S. 32/33).

Einflussreiche Aktienbruchstücke: Fractional Trading von Zhi Da, Vivian W. Fang und Wenwei Lin vom 19. November 2021 (#124): “…. our headline finding shows that FT allows low-budget retail investors to own and trade more frequently in high-priced stocks. Specifically, we …. find that high-priced stocks … have evidenced a sharp increase in retail ownership and trading since FT’s introduction in late 2019. … our results suggest that budget constraints … played a big role in retail investors’ preference for penny stocks as they are increasingly shifting to high-priced stocks after FT eased the access to these stocks. … FT also subjects these stocks to greater price fluctuations. … our study provides an interesting analysis of how these individually small market participants may exert their collective influence on the market”. (S. 30-32).

Trauer: The Contributions of Stephen A. Ross to Financial Economics von Stephen J. Brown, Philip H. Dybvig, William N. Goetzmann, Jonathan E. Ingersoll vom 9. November 2021 (kostenpflichtig): Stephen A. Ross was one of the most influential scholars in the field of financial economics in the late twentieth century. Ross’s work was central to several novel domains of economic inquiry. His contributions included the arbitrage pricing theory (APT), the risk-neutral pricing of contingent claims, the binomial option pricing model, a theory of the term structure of interest rates, a seminal contribution to the economic theory of agency, and insights about conditioning biases in ex post performance measurement. In this article, we discuss his seminal papers and the broad scope of his curiosity within the arc of a remarkably productive and influential career that spanned five decades and yet ended sooner than most who knew him expected (abstract). Mein Kommentar: Stephen Ross war nicht nur rein sehr anerkannter Wissenschaftler (vgl. auch The Legacy of Stephen A. Ross von Frank J. Fabozzi, Bruce Jacobs und Kenneth N. Levy vom 13. März 2019), sondern auch ein sehr guter Lehrer. Das durfte ich in meinen M.B.A. Kursen am Baruch College der City University of New York 1986/87 selbst erleben.

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