Schaden durch Reparierung? Business Model Choice under Right-to-Repair: Economic and Environmental Consequences von Ece G. Gülserliler, Atalay Atasu und Luk N. Van Wassenhove vom 19. Januar 2022 (#23): “Right-to-Repair (RTR) regulations require producers to design easy-to-repair products and supply necessary information and parts for consumers to independently undertake repairs. While these regulations aim to prolong product lifetimes through repairs, increase secondhand use, and reduce waste; the ease of access to proprietary information and spare parts can have unintended consequences. For example, they may facilitate cloning by third parties. … We find that RTR regulations may indeed lead to a lower environmental impact for some products. However, for a wide range of product types, these regulations may result in a “lose-lose“ situation for producers and the environment, while also decreasing consumer surplus and potentially curtailing producers‘ incentives to innovate” (abstract).
Kompensationspreisprognosen: Carbon Offset Prices Could Increase Fifty-Fold by 2050 von BloombergNEF vom 10. Januar 2022: “Prices for carbon offsets – verified emissions reductions equivalent to one ton of carbon each – could be as high as $120/ton or as low as $47/ton in 2050 …. Should all types of offsets continue to be permitted, including those which avoid emissions that would otherwise occur, the market will be oversupplied with largely worthless credits, thereby driving down prices … Conversely, if the market is restricted to just offsets that remove, store or sequester carbon, there will be insufficient supply to keep up with demand, causing significant near-term price hikes and damaging liquidity”.
Klima-Gap: The Effects of Climate Change on Income Inequality: Evidence from APEC Member Economies von Wongi Kim vom 2. Dezember 2021 (#33): “Using panel data of 17 APEC member economies … The empirical results reveal the following. First, temperature and precipitation shocks deteriorate income inequality measured by the Gini index; these effects are longlasting. Moreover, asymmetric effects exist: heatwaves and droughts more significantly increase income inequality than coldwaves and floods. Lastly, current redistribution policies do not seem to effectively mitigate those adverse effects” (S. 3).
Gute Mobilitätseffekte: How Mobility Shapes Inclusion and Sustainable Growth in Global Cities vom World Economic Forum vom 13. Dezember 2021: “…. simple mobility initiatives, such as adding first- and last-mile shuttles in Chicago, increased the number of jobs accessible to underserved communities by up to 90%. And with a scaled-up metro pass reservation system in Beijing, in which people can pre-book their slot on a train and then bypass queues at the station to enter the train directly, the commuting times could be decreased by 29%. Further, in Beijing, by introducing a green travel Mobility as a Service (MaaS) platform served by scooters, bikes and electric vehicles, among other public transit initiatives, CO2 emissions were reduced by 12%. And in Berlin, a differentiated service level on public transit, similar to a business-class carriage on trains, increased the share of public transit trips by 11% while at the same time generating 28% higher revenue for the public transport operator. ….The methodology in this paper provides a roadmap for transportation stakeholders in the public and private sectors … to start initiating rigorous, quantitative and logical approaches to mobility-driven social inclusion” (S. 4).
Spendenkonsistenz: Altruism Begets Altruism von Stephanie A. Heger und Robert Slonim vom 24. Januar 2022 (#13): “We go beyond the existing literature and show that an increase in choosing to be altruistic now causes an increase in altruistic behaviour later, which we interpret as moral consistency. Moral consistency helps to overcome decreases in giving that are typically associated with ask fatigue and multiple donation solicitations. On average, subjects in the Default Charity condition give $0.53 in Round 1 and $0.48 in Round 2 for a total average donation of $1.01. Using the donation rates from the Round 2 Only condition, we know the average donation amount is $.41 if an individual is only asked to give once. Thus, if there was no moral consistency and the Round 1 and Round 2 decisions were instead independent, then subjects in the Default Charity condition would donate 15% less“ (S. 21/22).
Ungesunde Aktienmarkteffekte: Effects of Health Care Policy Uncertainty on Households’ Portfolio Choice von Thomas T. Wiemann und Robin L. Lumsdaine vom 17. Januar 2022 (#22): “… an uncertainty increase similar to that associated with efforts to repeal the Affordable Care Act in 2017 decreases the relative demand for stocks and mutual funds by as much as a considerable reduction in health … the reduction in stock market participation may have direct implications for stock market volatility and the equity premium. Further, health care policy uncertainty appears to disproportionally affect households with unexpected adverse changes to health … The recent COVID-19 pandemic has resulted in an unprecedented increase in economic and health care policy uncertainty” (S. 28).
Veggie-Investments: Verantwortungsvolle Investments
Valide ESG Kritik: Seven Myths of ESG von David Larcker, Brian Tayan und Edward Watts vom 5. November 2021 (#861): “Many large companies promote their ESG initiatives to investors and the public. How much of this represents new (incremental) investment, and how much does it reflect longstanding investment that companies are now repackaging and rebranding as ESG? How much of this investment is simply an attempt to appease ESG activists via greenwashing?” (S. 5). Mein Kommentar: Vgl. ESG-Kritik: Über 20 Falschaussagen – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
ESG Under- und Outperformance: Does ESG Impact Really Enhance Portfolio Profitability? von Francesco Cesarone, Manuel L Martino und Alessandra Carleo vom 24. Januar 2022 (#58): “When analyzing the entire period, from 2006 to 2020, we observed that only in the S&P500 and Dow Jones datasets the most sustainable portfolio strategies show better financial performances. Then, there does not appear to be a link between SRI regulatory developments and the ESG impact on portfolio profitability. However, when we separately considered the 27 two subperiods, namely 2006-2013 and 2014-2020, we noted different regimes in terms of profitability-sustainability. Before 2014 the least sustainable portfolios provided better results on 4 out of 5 datasets. After 2014, when the second commitment period of the Kyoto Protocol started and when the Paris COP21 agreement was signed, the ESG impact on portfolio profitability became significant on 4 out of 5 datasets” (S. 26/27). Mein Kommentar: Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Veggie-Investments: The Protein Transformation: A Critical Driver of the Net-Zero Economy von MSCI vom 18. Januar 2022: “The global food system is one of the major drivers of climate change, biodiversity loss and depletion of freshwater resources. A dietary shift toward more plant-based food, and notably traditional plant-based and alternative proteins, has been identified as a key step to significantly reduce these environmental impacts and align the food production system with a 1.5°C warming scenario and with the United Nations Sustainable Development Goals (SDGs). This is true because animal-proteins production has a very large environmental footprint and contributes to about 14.5% of total global greenhouse gas (GHG) emissions. … Almost 46% of companies (224 out of the 485-company universe) were involved in the traditional plant-based and alternative-proteins space. Yet among those involved, less than 10% generated more than 5% of their total sales from such products. … We found on average 95% lower value-chain climate transition risk in companies generating more than 50% of their revenue share from the traditional plant-based and alternative proteins (n=6), compared with the whole 485-company universe” (S. 3/4). Mein Kommentar: Nicht 100% Veggie-Investment aber in meinem Fonds www.futurevest.fund und allen meinen direkten Aktienportfolios schließe ich Rindfleisch, Schweinfleisch, tierische Pelze und Felle sowie grausame und kosmetische Tierversuche aus (0% Toleranz)
Positiv-Pay-Gap: The Gender Pay Gap and Your Investment Strategies von Refinitiv: “Within the FTSE indices, we found several constituents who disclosed a positive gender pay gap towards women. With this small sample, we compared the portfolios with no gender pay gap against the portfolio of companies with a positive female pay gap (where women get paid more than 100% of male counterparts). Our results speak to the role of equality, with all “no gender pay gap” portfolios outperforming those with a disparity in pay between genders“ (S. 12). Mein Kommentar: Pay Gap, ESG-Boni und Engagement: Radikale Änderungen erforderlich – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Gegen Impactwashing: Impact Investing: Nachhaltige Pioniere veröffentlichen Leitlinien in ecoreporter vom 23. Januar 2022: „Die Initiatoren beobachten immer mehr Kontroversen um den Impact von nachhaltigen Geldanlagen und wachsende Kritik von Verbraucherschützern und Nichtregierungsorganisationen wegen irreführender Impact-Darstellungen. Deshalb sei es “an der Zeit, ehrlich und transparent über die Wirkung von nachhaltigen Investments zu berichten““. Mein Kommentar: Absolute und Relative Impact Investing und Additionalität – Verantwortungsvolle (ESG) Geldanlage (prof-soehnholz.com)
Sehr gute ESG-ETFs: Sustainable Index Funds Produce Strong Gains in 2021 von Jon Hale von Morningstar vom 14. Januar 2022: “The picture looks even better over the trailing two years. Every one of the … ESG index funds outperformed the S&P 500 during the 2020-21 period, and all finished comfortably in the category’s top quartile … Only eight of the 13 ESG index funds have three-year records, but again for this period, all of them outperformed the S&P 500 on an annualized basis, and all of them … placed in the top 15% of the category. … While only six of the 13 funds have five-year records, all of them outpaced the S&P 500 by comfortable margins”.
Value oder Klima? Carbon-Tax-Adjusted Value von David Blitz Robeco und Tobias Hoogteijling von Robeco vom 3. Dezember 2021 (#227): “We have established that in a portfolio optimization problem, a carbon tax for individual stocks is mathematically equivalent to a carbon constraint for the portfolio as a whole. Empirically, value exposure and carbon footprint are negatively related, such that investors face a trade-off between high value exposure and low carbon footprint. … Empirically we find that carbon taxes up to $100, corresponding to a portfolio carbon footprint reduction of about 50%, have little effect on the characteristics and the performance of the long side of an EBITDA/EV value strategy. … in order to go from a 50% to a 70% carbon footprint reduction one needs to increase the assumed carbon tax from $100 to about $5,000!“ (S. 12/13).
Traditionelle und alternative Investments
Norwegisches Vorbild? A Review of the Active Management of Norway’s Government Pension Fund Global von Rob Bauer, Charlotte Christiansen und nd Trond Døskeland vom 10. Janaur 2022 (#262): “The performance of the Fund at the total level is slightly higher than its benchmark (0.20%). However, this positive active return is not statistically significant. Some substrategies … seem to provide significantly positive active returns, such as enhanced indexing (both equity and fixed income) and external equity security selection. … The Fund’s key attributes on risk and return show that it is, in essence, an (enhanced) index fund. Nonetheless, the Fund is managed in a very complex way. … The current benchmark gives rise to some potential conflicts of interest as some objectives target active returns (trying to achieve a positive alpha) and others target total returns (diversification of the whole portfolio). A future MoF decision to add net-zero-emissions targets to the portfolio would add more conflicts of interest to the mandate” (S. 87/88).
Profis finden teuer=gut: The Effect of Transaction Cost Unbundling on Investors’ Reliance on Investment Research: Evidence from Experimental Asset Markets von Sebastian Stirnkorb vom 14. November 2021 (#25): “Recent regulatory changes within Europe (regulation MiFID II) mandate broker-dealers to charge clients explicitly for any investment research they provide. This new mandate replaces the common practice of bundling these charges with other variable fees, such as those for trade executions. … Results from 16 experimental markets indicate that investors place greater weight on costly forecasts under a system of unbundled payments compared to bundled payments, but only if transaction costs are sufficiently high to provoke feelings of regret. Focusing on the forecast, investors also cede to reduce price errors over time. Additional analysis suggests that salient cost disclosure, a more cost-effective way to generate transparent transaction costs, does not similarly impact investor judgment” (abstract).
Vola-Puzzle Information: Information-Driven Volatility von Hengjie Ai, Leyla Jianyu Han und Lai Xu vom 14. November 2021 (#87): “Traditional models of stochastic volatility typically imply a positive relationship between the realized variance of past returns and the forward-looking future returns. However, empirical evidence often favors a negative relationship between the two …. We show that when variations in stock market volatility are driven by information, high realized variances of past return typically predict lower future variances and lower future returns. We show that our model can account for several stylized facts on the variance-expected return relationships in the data” (S. 26).
Dollarfaktor: Dollar beta and stock returns von Valentina Bruno, Ilhyock Shim und Hyun Song Shin vom 10. Januar (#71): “We show that stock returns also reflect the financial channel of exchange rates, with higher local currency stock returns associated with a weaker dollar. The broad dollar index emerges as a global factor, consistent with the financial channel operating through swings in risk-taking by global investors. We introduce the “dollar beta” as the sensitivity of stock returns to swings in the broad dollar index, and show that emerging market stock indices that have a higher dollar beta tend to have higher average returns, implying that the dollar beta is a cross-section risk factor that is priced” (abstract).
Private Equity Discounts: A Note on Attributes Affecting Private Equity Fund Pricing in Secondary Markets von Paul Mason und Steven Utke vom 14. Januar 2022 (#27): “Private equity (PE) funds are growing to dominate capital markets. In conjunction with this growth, secondary markets for PE stakes have also grown. Innovative recent work investigates the valuation discount that sellers of PE stakes incur and attributes this discount entirely to the illiquidity inherent in PE. In this paper, we describe how the legal structure of PE funds, instrumental to funds’ existence and operations but largely unknown in the finance and economics literature, can impose a tax discount in addition to an illiquidity discount in the secondary market. … after-tax, rather than pretax returns, warrant consideration in these markets” (abstract).