Unternehmensverantwortung und neues Nachhaltigkeits(investment)research

Unternehmensverantwortung und Umwelt und Sozialumfeld

Langlebigkeitsprobleme: Intergenerational Actuarial Fairness when Longevity Increases: Amending the Retirement Age von Jorge M. Bravo, Mercedes Ayuso, Robert Holzmann und Edward Palmer vom 12. November 2021 (#21): “Continuous longevity improvements and population ageing have led countries to modify national public pension schemes … but our analyses show that the measures taken are often poorly designed and consequently misaligned with the pension scheme’s ultimate goals. … countries risk falling short of their goals given their use of projection methods that underestimate life expectancy. This paper discusses how to implement automatic indexation of the retirement age to life expectancy developments while respecting the principles of intergenerational actuarial fairness and neutrality among generations” (abstract).

Ungleichheit treibt Zinsen: What Explains the Decline in r*? Rising Income Inequality Versus Demographic Shifts Atif Mian, Ludwig Straub und Amir Sufi vom 5. Oktober 2021 (#193): “The evidence supports the idea that rising income inequality is an important factor putting downward pressure on r ∗ (Sö: natural rate of interest). The saving rates of high income households within a given birth cohort are significantly higher than middle and low income households. As income has shifted toward high income households over time, they have saved 3 to 3.5 percentage points more of national income compared to the pre-1980 period. … Income inequality today remains extremely high relative to its pre-1980 level, and there does not appear to be any reversion in inequality in the near future. As a result, according to the rising income inequality view, it is not surprising that current and future expected levels of r ∗ remain low” (S. 37/38).

MMT Kritik: The Meaning of MMT von Françoise Drumetz und Christian Pfister von der Banque de France vom 19. Oktober 2021 (#20): “… the so-called Modern Monetary Theory (MMT) has been gaining prominence in the media and the public. This paper exposes the main proposals of MMT in the light of their doctrinal sources, also confronting them with economic facts and with other currents of economic thought. … Overall, it appears that MMT is based on an outdated approach to economics and that the meaning of MMT is a more that of a political manifesto than of a genuine economic theory” (abstract).

Klimawachstumstheorie: Climate Growth Theory von Julia M. Puaschunder vom 15. November 2021 (#23): “In the first economic ‘classic’ theories of Adam Smith, Thomas Robert Malthus, David Ricardo, Karl Marx and Joseph Schumpeter land productivity was considered as an underlying growth driver. In the evolution of Modern Growth Theory (MGT), these theories and insights got abandoned. With climate change pressuring economic productivity and the rising impact of global warming expected to determine economic output more and more so in the future, this paper calls for a reintegration of climate and temperature into standard growth theory. In light of the enormous effect of temperature and climate on economic productivity that is likely to rise in the years to come but also with reference to the highly unequally distributed economic winning and losing prospects in-between countries and over time, this article argues for an integration of temperature and climate in contemporary Growth Theory, called Climate Growth Theory. Micro- and macroeconomic attempts to integrate productivity differences between countries based on energy supply, climate and overall favorable working conditions will be presented alongside most recent models to integrate temperature and climate into macroeconomic growth models and sustainable consumption patterns” (abstract).

Klimareportingdefizite: Management Quality and Carbon Performance of Energy Companies: November 2021 Update von Simon Dietz et al. von der Transition Pathway Initiative vom November 2021: “Only half of O&G producers and a quarter of coal miners disclose their Scope 3 use of sold product emissions, even though this constitutes the largest source of emissions and transition risk for fossil-fuel producers. … the majority of companies we assess still fail to align with any of the temperature benchmarks” (S. 5).

Klimabuchhaltungsfehlsignale: Net Zero Accounting for a Net Zero UK von Ian Thomson, Penelope Tuck, Charika Channuntapipat, Robert Charnock, Nana O’Bonsu und Dr Jennifer TyreeHageman vom 19. November 2021: “Inappropriate GHG accounting choices result in decision makers selecting options they mistakenly believe will reduce GHG emissions when they will increase global GHG emissions. … decision makers need the expertise to select the right accounting methods so that the whole life cycle of emissions is captured … The term net zero is ambiguous and lacks a robust meaning in all organisations outside government … Any GHG accounting that does not tackle climate risk holistically or adequately measures impact on global levels of GHG in the atmosphere only passes the problem somewhere else along the chain and forward in time” (S. 3).

Bürgerfeindliche Klimapolitik: Policy Opacity von Will Cassidy vom 2. November 2021 (#17): “This paper analyzes the effect of climate change and political agency on financial markets. I show that when voters and governments disagree over the optimal trade-off between output and emissions, governments choose opaque policies that are hard for voters and asset market participants to understand. This policy opacity, which arises because of political constraints, injects uncertainty into financial markets. … Option-derived proxies for uncertainty and return volatility are differentially elevated after policy announcements made by governments whose policy preferences are relatively far from those of the median voter“ (S. 26).

Viel deutsches Unternehmensverbesserungspotential: Gewinne auf Kosten der Allgemeinheit – Wie Konzerne Aktionärsinteressen bedienen, statt Klima und Menschenrechte zu schützen von Finanzwende und Oxfam vom 4. November 2021: „Zwischen 2009 und 2020 stiegen die Gewinne um 48 Prozent. … die Unternehmen verwendeten ihre Gewinne vor allem, um Aktionärsinteressen zu bedienen und Rücklagen zu bilden. … Einzelne Unternehmen (RWE und E.On) zahlten sogar in Verlustjahren Dividenden, trotz eines riesigen Investitionsbedarfs in die ökologische Transformation. … Viele der Unternehmen könnten die erforderlichen Investitionen aus ihren Gewinnen decken – ohne staatliche Subventionen oder Steuererleichterungen. … Hinzu kommt, dass die Gehälter der Top-Manager*innen nicht nur um ein Vielfaches höher sind als das Durchschnittsgehalt ihrer Mitarbeiter*innen, sondern in den vergangenen Jahren auch deutlich schneller gewachsen sind: zwischen 2009 und 2020 um 34 Prozent gegenüber durchschnittlich 25 Prozent bei Angestellten. Die Vorstände der hier untersuchten Unternehmen verdienen heute im Schnitt 3,4 Millionen Euro im Jahr, das 48-fache ihrer Mitarbeiter*innen“ (S. 5/6). Mein Kommentar: Vgl. ESG Boni abschaffen und mehr radikale Vorschläge – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

CSR-Erklärung: Corporate Sustainability and Responsibility von Benedict Sheehy und Mark Anthony Camilleri vom 17. November 2021 (#15): „Corporate sustainability and CSR are related but distinct concepts. Corporate sustainability is derived from the corporate environmental movement. In contemporary use, it is a concept that begins with an analysis of the limitations of the earth’s ecosystems. It then works down to the implications for business organisations. By way of contrast, CSR is form of international soft law directing business behaviour to align with global norms touching on social and environmental practices as well as corporate governance” (S. 6).

Unternehmensverantwortung und Nachhaltige Investments

Sozial ist wichtig: Which Aspects of CSR Predict Firm Market Value? von Stevan Bajic und Burcin Yurtoglu vom 1. Okober 2021 (#59): “We find robust evidence that CSR predicts market value using a country-benchmarked overall CSR index. The power to predict firm value comes solely from the social dimension of this measure, which captures firm-level practices related to treatment of employees and stakeholder relations including those with customers and the broader community. … Three elements drive the social index: Customer/Product responsibility, human rights, and employment quality” (S. 13).

ESG-Kritik: A primer on green finance: From wishful thinking to marginal impact von Jan Pieter Krahnen, Jörg Rocholl und Marcel Thum vom Oktober 2021: “We raise some critical points against a naïve interpretation of “green finance” products and strategies. … we take a closer look at instruments and policies that might allow green finance to become more impactful. In particular, we focus on the role of a taxonomy and investor activism. We also describe the interaction of government policies with green finance practice … . Finally, the special case of green government bonds is discussed” (abstract). Mein Kommentar: Das sehe ich nicht ganz so, vgl. Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Relevante Umwelt: ESG and Sovereign Risk – What is Priced in by the Bond Market and Credit Rating Agencies? von Raphael Semet, Thierry Roncalli und Lauren Stagnol vom 8. November 2021 (#38): “… we consider a granular set of 269 indicators within the three ESG pillars to determine what the sovereign bond market is pricing in. From this set of ESG metrics covering the 2015–2020 period and 67 countries, we first determine the ESG indicators that are most relevant when it comes to explaining the sovereign bond yield …. these themes mainly belong to the E and G pillars” (abstract).

Positive Ökoanleihen: ESG Screening in the Fixed-Income Universe von Fabio Alessandrini, David Baptista Balula und Eric Jondeau vom 24. November 2021 (#83): “Using data for January 2014 to December 2020, we find that an overall ESG screening strategy results in a substantial increase in the targeted score with no deterioration of risk-adjusted returns. … For both the USD and EUR segments, targeting the E score results in the largest gain in efficiency, which combines the risk-adjusted return and the score per unit of risk. However, we also obtain considerable biases in regional and sectoral exposures. … we construct ESG-tilted portfolios with the same regional and sectoral exposures as those of the benchmark. The results remain robust, with still substantial Sharpe ratio gain and ESG gain relative to the benchmark for all pillars and currency segments …  selecting firms with higher ESG scores also have higher credit quality” (S. 23).

ESG Ratingdifferenzen: Climate Matters: What’s in an ESG Rating. And What’s Not von Meggin Thwing Eastman, Guido Giese und Zoltán Nagy von MSCI Research vom 23. No ember 2021: “At a very high level, ESG methodologies may attempt to address either or both of the following two questions: 1) How well does a company manage environmental, social and governance risks that could affect its enterprise value? (This is what MSCI ESG Ratings are designed to do.) 2) Is a company “good” for society and the environment? … In industries where climate risk is not heavily weighted, a company may see its ESG rating actually improve even if its carbon emissions are increasing. That could occur if, for example, its (more heavily weighted) non-climate-related metrics are improving or if its emissions grow more slowly than in the rest of the industry … Also by design, how much carbon an individual company emits is highly correlated with E-pillar scores in sectors where climate risk is financially relevant, but bears little correlation where it isn’t”. Mein Kommentar: Ich finde es wichtiger zu messen, ob ein Unternehmen gut für die Gesellschaft ist.

Wenige Art. 8 und 9 Fonds: The European ESG Market at the End Q1 2021 – Introducing the SFDR von der European Fund and Asset Management Association vom 16. November 2021: “6% … The relatively low share of SFDR Article 8 funds in Germany can be explained by the importance of ‘Spezialfonds’ for institutional investors, for which the SFDR classification is of less relevance. Another possible reason is the strict interpretation of the SFDR Level 1 text by the BaFin …” (S. 3). “0,1% … the domestic market share of SFDR Article 9 funds …, expressed as a % of the total net assets of UCITS and AIFs”. Mein Kommentar: Vgl. Nachhaltigster Aktienfonds? – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)

Viele Artikel 8+9 Flows: SFDR in der Praxis: Zuflüsse in ‘grüne’ Fonds beschleunigten sich in Q3 von Hortense Bioy von Morningstar vom 22. November 2021: „Getrieben durch das wachsende Interesse von Anlegern an Nachhaltigkeitsthemen und die größere Auswahl beschleunigten sich im dritten Quartal 2021 die Zuflüsse in Fonds nach Artikel 8 und Artikel 9. Sie machten fast 57% aller Zuflüsse im untersuchten Fondsuniversums aus. Im Vergleich dazu lag ihr Anteil im zweiten Quartal bei 44%“.

Unternehmensverantwortung, traditionelle Investments und Wealthtech

Materielle Immaterialität: Intangible assets and the cross-section of stock returns von Dion Bongaerts, Xiaowei Kang und Mathijs van Dijk vom 24. September 2021 (#370): “The growing significance of intangible assets for U.S. firms can lead to declining value relevance of important firm characteristics such as book equity and earnings … We construct an intangible factor … and find that it generates an economically significant average return of 4.6% per annum, with a Sharpe ratio close to the market factor. Furthermore, in Fama-MacBeth regressions, intangible intensity has more power than size, value, profitability and investment in explaining the cross-section of stock returns over the sample period. … In addition, we find that intangible intensity is a strong predictor of future gross profit growth, and conjecture that investors may underestimate the future growth and profitability of intangible-intensive firms, leading to mispricing. … Finally, we believe that the measurement of intangible assets in the existing literature is imperfect and should continue to evolve” (S. 23/24).

High Beta Anomaly: Chasing Beta, Losing Alpha von Andrea Hamaui und Pierre Jaffard vom 1. Oktober 2021 (#194): “Failure of the traditional CAPM to describe stocks’ return have represented a major puzzle in finance. …. We first document a strong pattern of correlation between the time series return of a Betting-Against-Beta portfolio (a long-short equity portfolio constructed taking a long position in low-Beta stocks and a short position in high-Beta ones) and investors expectations of market returns. We then argue that such evidence is consistent with leverage constrained investors attempting to tilt their market exposure upwards when bullish on market returns. In other words, whenever they expect the market to deliver highly positive returns, they would overweight high beta stocks, thus generating negative alpha going forward. …. consistently with our theoretical predictions, stocks owned by over-optimistic mutual funds tend to display a much stronger beta anomaly. … over-optimistic funds engage into high Beta stocks’ trading that proves an inefficient way to tilt their market exposure upwards” (S. 29/30).

Böser Robinhood? Robinhood stock suffers sixth straight record low as its reverse ‚fiduciary‘ conundrum goes unsolved, while CEO takes shots at ‚gadflies‘ and eggheads von Brooke Southall vom 24. November 2021: “The list of ways Robinhood hazards disconnect with its own investors includes: the way it takes a financial cut out of order-flow sight, the lack of a safety net if stuff goes wrong (like a deadly hack), the encouragement [by lack of discouragement] to buy stocks based on „meme“ value and the electronic alchemy that stokes endorphins and encourages trades based on that sugar high”. … “Robinhood also made about 40% of revenues from trading of Dogecoin — a currency started as a joke”.

Alternative Investments

Unstable-Coins: Built to fail: The inherent fragility of algorithmic stablecoins von Ryan Clements vom 18. November 2021 (#12): “Algorithmic stablecoins are … uncollateralized digital assets, which attempt to peg the price of a reference asset using financial engineering, algorithms, and market incentives, are not stable at all but exist in a state of perpetual vulnerability. …. This Article argues that algorithmic stablecoins are fundamentally flawed because they rely on three factors which history has shown to be impossible to control. First, they require a support level of demand for operational stability. Second, they rely on independent actors with market incentives to perform price-stabilizing arbitrage. Finally, they require reliable price information at all times. None of these factors are certain, and all of them have proven to be historically tenuous in the context of financial crises or periods of extreme volatility” (abstract).

Private Equity Kritik: An Economic Case for Transparency in Private Equity: Data Science, Interest Alignment and Organic Finance von Ashby Monk, Sheridan Porter und Rajiv Sharma vom 28. September 2021 (#812): “Lack of transparency … meant that private equity is an industry built on trust. Yet, despite this, the industry is increasingly noted for its misconduct, misrepresentation, and outsized economic rents –… The performance truths surfaced by objective measurement do more than grease the wheels of the old framework; they fundamentally change it to a better one. Structurally driven performance transparency allows, for example, a higher comfort level with (real) long-term investing” (S. 28).

Heuschreckenjournalismus: Local Journalism under Private Equity Ownership von Michael Ewens, Arpit Gupta und Sabrina T. Howell vom 11. Oktober 2021 (#96): “The newspaper industry has been in decline for decades, and newspaper failures have accelerated over the past ten years. …. This paper offers the first assessment, to our knowledge, of how private equity ownership affects media content. We find that following buyouts of daily newspapers, there is a shift in the composition of news away from local policy issues and toward national topics. The absolute amount of local news declines as well. We document real effects of these changes, in the form of lower voter turnout and lower awareness of local politicians. … At the same time, however, we find that private equity buyouts reduce the chances that a newspaper closes, and seem accompanied by higher digital subscriptions, suggesting increased investment in digital platforms” (S. 30/31).


Fussballspaß-Research: More goals, fewer babies? On national teams‘ performance and birth rates von Luca Fumarco und Francesco Principe vom 12. Juni 2021 (#5): “We find that an increase in national team performance in international football competitions is associated with a drop in births nine months after the event. … We hypothesize that these results might be explained by individuals’ time allocations choices (Mincer, 1963; Becker, 1965). In this framework, the attendance of live events (e.g., from late afternoon to late night, on TV, at the stadium, on big 8 screens in public places) may reduce the time spent on physical intimacy as suggested in other studies (Grimm et al., 2015; Dewi et al., 2017; Johnson, 2001; Hornik and McAnany, 2001). As a support to this substitution mechanism, it is important to notice that contrary to other entertainment video activities (e.g., watching movies and series, connecting on online social media), sports events are characterized by their uniqueness and unrepeatability as well as by their collective engagement. On top of that, good national teams’ performances are likely followed by celebrations with friends and fellow countrymen, which reduces even more physical intimacy time. Differently, bad performances cause early exclusion from the tournament, without disrupting intimacy time. To this end, time allocation choices seem more salient than euphoria in explaining reproductive behaviour. Our results have implications for both economics and demography. On one hand, in high-fertility settings, such as developing countries, governments may aim at reducing births, even with indirect interventions, such as increasing access to entertainment activities and TV. On the other hand, our results suggest that an increase in entertainment activities may reduce births even in low-fertility settings, such as most European countries, where governments typically aim at increasing fertility (S. 7/8)”.

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