Verlustverzerrungen: Das Bild zeigt eine Allee im französischen Garten in Celle

Verlustverzerrungen und mehr neues (ESG) Investmentresearch

Umwelt (Verlustverzerrungen)

Teure Klimaschäden: Climate Change and Economic Activity: Evidence from U.S. States von Kamiar Mohaddes, Ryan N. C. Ng, M. Hashem Pesaran, Mehdi Raissi, Jui-Chung Yang vom 30. Januar 2022 (#45): “We investigate the long-term macroeconomic effects of climate change across 48 U.S. states over the period 1963.2016 … We show that climate change has a long-lasting adverse impact on real output in various states and economic sectors, and on labour productivity and employment in the United States” (abstract).

Klimainflation: Feeling the heat: extreme temperatures and price stability von Donata Faccia, Miles Parker und Livio Stracca von der Europäischen Zentralbank vom 9. Dezember 2021 (#63): “Hot summers increase food price inflation in the near term, especially in EMEs. But over the medium term, the impact across the various price indices tends to be either insignificant or negative. Such effect is largely non-linear, being more significant for larger shocks and at higher absolute temperatures. … Overall, our results suggest that temperature plays a non-negligible role in driving medium-term price developments. Climate change matters for price stability” (abstract).

Klimapolitikkritik: Sustainable Finance and Climate Change: Wasteful but a Political Commitment Device? Clemens Fuest, Volker Meier vom 31. Januar 2022 (#20): „We analyze the economic impact of subsidizing investment in “clean” industries … Such a reform increases gross wages, but reduces national income due to the distortion of capital. At given national emissions cap, worldwide emissions rise because imports of the high-carbon good will increase. … (abstract). “If imported units of the dirty good face a lower emission price abroad, they may be subjected to a border adjustment tax set so as to avoid discrimination of home production of the dirty good. This would work like an import tariff on the dirty good. Presumably such a policy reduces national income further while all other effects are mitigated, but not neutralized (S. 24).

Lieferantendefizite: Engaging the Chain: Driving Speed and Scale, CDP Global Supply Chain Report 2021 vom Carbon Disclosure Project und der Boston Consulting Group vom Februar 2022: “Last year, CDP found that GHG emissions in a company’s supply chain are, on average, 11.4 times higher than its operational emissions. … Put simply, companies are not making the necessary transformational changes to truly drive action at the required scale” (S. 3/4).

Soziales (Verlustverzerrungen)

Veganer Stimulus: Environmental Messages Promote Plant-Based Food Choices: An Online Restaurant Menu Study von Blondin, S., S. Attwood, D. Vennard, and V. Mayneris vom World Resources Institute vom 1. Februar 2022: „… the results from this study suggest that nudging consumers via climate messaging in the context in which consumers make diet-related decisions is a promising, scalable strategy for encouraging more sustainable dietary choices” (S. 20). Mein Kommentar: Ich schließe in meinen Aktienportfolios und im Fonds u.a. Schweine- und Rindfleisch, Tierfelle, Tierpelze und kosmetische und grausame Tierversuche so weit wie möglich aus, vgl. Neues SDG Sozialportfolio und noch strengere ESG Anforderungen – Verantwortungsvolle (ESG) Geldanlage (

Professorinnendefizit: Female Representation in the Academic Finance Profession von Mila Getmansky Sherman und Heather E. Tooke vom 7. Mai 2021 (#705): “We present new data on female representation in the academic finance profession. In our sample of finance faculty at top-100 U.S. business schools during 2009–2017, only 16.0% are women. … First, after controlling for research productivity, women hold positions at lower-ranked institutions and are less likely to be full professors. There is also evidence that they are paid less. Second, women publish fewer papers. This gender gap exists in research quantity, not quality. Third, women have more female coauthors, suggesting smaller publication networks” (abstract).

Crowdworkingprekariat: Hourly Wages in Crowdworking: A Meta-Analysis von Lars Hornuf und Daniel Vrankar vom 31. Januar 2022 (#78): “ … we consider 20 primary empirical studies, including 104 wages and 76,282 data points from 22 platforms, eight different countries, and a time span of 12 years. We find that, on average, microwork results in an hourly wage of less than $6. This wage is significantly lower than the mean wage of online freelancers, which is roughly three times higher. We find that hourly wages accounting for unpaid work, such as searching for tasks and communicating with requesters, tend to be significantly lower than wages not considering unpaid work”.

Aktienkonsum: The Effect of Stock Ownership on Individual Spending and Loyalty von Paolina Medina, Vrinda Mittal und Michaela Pagel vom 13. September 2021 (#66): “We use data from a new FinTech app called Bumped that opens brokerage accounts for their users and rewards them with company stock when they shop at previously selected brands and stores in several retail categories. … We show that customers increase their spending at the selected companies’ stores after receiving stock rewards in their brokerage accounts. Weekly spending at selected companies’ stores jumps up by 40% and stays persistently high for 3 to 6 months. In terms of US dollars, eligible spending averages $54 per week, so this corresponds to approximately a $23 increase in spending per week” (S. 25/26).

Responsible Investments

Largecap Klimadefizite: Climate Responsibility Monitor 2022 von Thomas Day et al. vom New Climate Institute und Carbon Market Watch vom 7. Februar 2022: “Net zero targets commit to reduce the analysed companies’ aggregate emissions by only 40% on average, not 100% as suggested by the term “net zero”. … Targets for 2030 fall well short of the ambition required to align with the internationally agreed goals of the Paris Agreement … Standard-setting initiatives are lending credibility to low quality and misleading targets. …. Companies’ uptake of readily-available emission reduction measures shows little sense of urgency. … Companies’ plans to offset or “neutralise” their emissions are especially contentious …” (S. 5-7).

ESG Schockeffekte: ESG news spillovers to (and from) the supply chain von Guillaume Coqueret und Vu Le Tran vom 10. Januar 2022 (#134): “… we propose a theoretical model in which changes in ESG ratings affect firms’ returns. … we find that positive shocks are much more beneficial to brown firms, whereas green stocks are, surprisingly, less sensitive to negative shocks. … The slow diffusion of ESG shocks along the value chain paves the way to portfolio choices exercises. Nevertheless, the outcome of portfolio sorts based on ESG shocks to clients or suppliers generates relatively weak performance, with average returns and alphas that are seldom significant” (S. 26).

5 Insti-Impacthürden: Institutional Asset Owners: Strategies for engaging with Asset Managers for Impact vom Global Impact Investing Network vom 12. Januar 2022: “i. Institutional asset owners often set broad impact objectives … ii. Established fund structures limit asset owner influence … iii. Lock-in effect is prevalent once investment and legal terms have been established … iv. Strong desire to adhere to existing role structures and values … v. Difficult for asset owners to gauge impact associated with their portfolio” (S. 4).  Mein Kommentar: Vgl. Divestments bewirken mehr als Stimmrechtsausübungen oder Engagement | SpringerLink

Negative Großeigentümereffekte? Estimating Oligopoly with Shareholder Voting Models von José Azar und Ricardo Ribeiro vom 20. Dezember 2021 (#33): “… we find that overlapping ownership overall (both intra- and interindustry) seems to increase the average airline fare by 4.0%, increase industry profit by 24.4% and decrease consumer surplus by 1.8%, and that these effects are mostly due to overlapping ownership by shareholders other than the “Big Three” asset managers” (S. 34/35).


Verlustinformationsgewinne: Why Do People (Not) Invest? The Role of Return and Risk Expectations von Markus Strucks und Stefan Zeisberger vom 30. Januar 2021 (#87): “We find that loss expectations predict behavior while being substantially biased compared to actual historical values. Non-investors tend to be much more pessimistic about the potential of stock market losses, whereas the difference regarding expected returns or volatility is not significant, and therefore unlikely to explain differences in participation. Non-investors exhibit larger bias in perceived risk, resulting in a perceptions gap between investors and non-investors. To close this gap, we inform subjects about historical stock market realizations and re-elicit their beliefs and allocations to a stock index investment. Non-investors who lower their estimated loss likelihoods following our information intervention subsequently invest significantly more in the stock index” (S. 17/18).

Verlustängste: Quantifying loss aversion: Evidence from a UK population survey von David Blake,  Edmund Cannon und Douglas Wright vom 18. Januar 2022 (#172): “… we show that responses for the population as a whole differ substantially from those typically provided by students (who form the basis of many existing studies of loss aversion). The average aversion to a loss of £500 relative to a gain of the same amount is 2.41, but loss aversion correlates signifcantly with characteristics such as gender, age, education, fnancial knowledge, social class, employment status, management responsibility, income, savings and home ownership” (abstract).

Traditionelle Investments (Verlustverzerrungen)

Vermögensüberschätzung: The Leverage Self-Delusion: Perceived Wealth and Cognitive Sophistication von Tiziana Assenza, Alberto Cardaci und Domenico Delli Gatti vom 27. Januar 2022 (#4): “… we find that most subjects perceive a given net worth as greater than its true value …. We identify an explanation relating this misperception to low cognitive sophistication and inattentive thinking. Finally, such wealth misperception predicts greater impatience, lower debt aversion and greater marginal propensities to consume out of positive (transitory) income shocks” (abstract).

Aktienrisiken: Wishful Thinking About the Risk of Stocks in the Long Run: Consequences for Defined Contribution and Defined Benefit Retirement Plans von Zvi Bodie vom 25. Januar 2022 (#81): “It is widely believed that although stocks are very risky in the short run, in the long run they are far less risky and are sure to outperform risk-free investments such as government bonds. This belief is a dangerous fallacy. It leads to the illusion that one can earn an equity risk premium without bearing risk. … the flawed reasoning behind the fallacy: the appeal of the misleading concept of time diversification. … the probability that an equity shortfall is indeed a decreasing function of the length of the investor’s holding period T. But the severity of a possible shortfall, and therefore the cost of insuring against it, is an increasing function of T” (abstract).

Aktienprämienerklärung: Duration-Based Stock Valuation: Reassessing Stock Market Performance and Volatility von Jules H. van Binsbergen vom 8. Mai 2021 (#2085): “I have constructed a set of counterfactual fixed income portfolios that span the plausible range for the duration profile of the aggregate stock market. I find that over the past several decades stock market indices have exhibited little to no outperformance over these fixed income counterfactuals with comparable (or even higher) volatility profiles. This implies that (1) investors have not received that much compensation for taking long duration dividend risk and (2) stocks do not seem excessively volatile or bubble-prone compared to fixed income alternatives of similar duration. … The results that stocks had poor long-term performance compared to their fixed income counterparts could be driven by a secular decline in long-term real and nominal expected economic growth rates (and/or secular increase in long-term risk premia) over these decades. … the simultaneous decline in both long-term expected growth rates and interest rates helps explain the relatively low correlation between stock and bond returns” (S. 30/31).

Faktorzoologie: Time Series Variation in the Factor Zoo von Hendrik Bessembinder, Aaron Burt und Christopher Hrdlicka vom 11. Februar 2022 (#198): “The ability of the CAPM as well as workhorse three- to six-factor models to explain the cross-section of returns varies substantially over time, providing scope for a broad set of factors. We study 205 previously-identified factors, … our results suggest that the large number of factors with significant explanatory power reflects the complexity of the economic environment, including changes in investor composition, the types of firms listed, and competitive conditions” (abstract).

Kapitalmarktineffizienz: What Explains Momentum? A Perspective From International Data von Amit Goyal, Narasimhan Jegadeesh und Avanidhar Subrahmanyam vom 10. Februar 2022 (#513): “Momentum represents a simple violation of weak-form efficiency, and is termed the “premier” anomaly in equity returns by Fama and French (2008). Why do markets permit such memory in stock prices? … the explanation for momentum that best fits the available international evidence is that due to limited attention, investors underreact to news that dribbles out slowly, as opposed to news releases in discrete chunks. Momentum profits show little evidence of reversal in the long-run, supporting this underreaction explanation. In other analysis, we find robust international evidence that momentum is stronger in up-markets and in low volatility markets” (S. 30).

Unprofessionelle Profis? You can’t always get what you want—An experiment on finance professionals’ decisions for others von Matthias Stefan, Martin Holmén, Felix Holzmeister, Michael Kirchler und Erik Wengström vom 30. Januar 2022 (#13): “To study whether clients benefit from delegating financial investment decisions to an agent, we run an investment allocation experiment with 408 finance professionals (agents) and 550 participants from the general population (clients). …We find that finance professionals show higher decision-making quality than participants from the general population when investing on their own account. However, when deciding on behalf of clients, professionals’ decision-making quality does not significantly differ from their clients’” (abstract).

Alternative Investments

Keine Outperformance: Smart Money, Crowd Intelligence, and AI Using human and artificial intelligence to beat the S&P 500 von Nicolas Rabener vom 3. Februar 2022: “Smart money, crowd intelligence, and AI ETFs have underperformed the S&P 500 since their inception. Somewhat surprisingly, all three have almost the same factor exposures”. Mein Kommentar: Vgl. Soehnholz ESG 2021: Passive Allokationsportfolios und Deutsche ESG Aktien besonders gut – Verantwortungsvolle (ESG) Geldanlage (

Rentable (ICO) Transparenz: The Role of Disclosure and Information Intermediaries in an Unregulated Capital Market: Evidence from Initial Coin Offerings von Thomas Bourveau, Emmanuel T. De George , Atif Ellahie und Daniele Macciocchi vom 15. September 2021 (#1530): “Using an international sample of 2,113 initial coin offerings (ICOs) …. we find that, even with limited disclosure verifiability, ventures with higher levels of disclosure have a greater ability to raise capital. Finally, we find that this association is stronger in the presence of mechanisms that lend credibility to ventures’ voluntary disclosures, such as internal governance practices or external scrutiny from information intermediaries“ (abstract).

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