NEWSLETTER of May 13, 2022

The following content has been added at finexpert:

Invesco
THE BIG PICTURE: GLOBAL ASSET ALLOCATION 2022 Q2
Uncertainty is higher than usual due to higher interest rates and the war in Ukraine. We were already expecting a decelerating global economy and we now expect even less growth but higher inflation. We expect the best 12-month returns on equities and are boosting the allocation within our Model Asset Allocation to Overweight. Our favoured regions are the UK and emerging markets. >more

EY
NPL IN KRISENZEITEN: ANZEICHEN VON ENTSPANNUNG, FÜR ENTWARNUNG NOCH ZU FRÜH
Companies in Germany are facing growing challenges in the face of new geopolitical crises and the ongoing Corona pandemic. Meanwhile, the situation of German banks and savings banks in dealing with NPLs (non-performing loans) is increasingly easing. As the latest EY Spotlight on the German NPL market shows, the concerns of the 100 banking professionals surveyed about rising NPL ratios continue to diminish, with fewer and fewer industry executives expecting an increase in NPL transactions in the short to medium term. >more

Invest Europe
PRIVATE EQUITY AT WORK
Detailed evidence and analysis of the European private equity and venture capital industry’s real contribution to employment, in 2020, and job creation, in 2019-20, and the far-reaching impact this has on the people, societies and economies of Europe. >more

University of Oxford
THE FUTURE OF AUTOMATED REAL ESTATE VALUATIONS
Imagine a world in which house sellers, buyers and mortgage lenders have access to a public list of all properties on the housing market, alongside independent and public valuations for each listing. The process of buying a house would be faster – as in-person appraisals would be unnecessary- and liquidity would significantly improve. With this ideal in mind, the Oxford Future of Real Estate Initiative (FORE) has investigated the benefits and limitations of using Automated Valuation Models (AVMs):  little-used software-based pricing models for property valuation, which are cheaper, more efficient, and more consistent than human appraisals. >more

WHAT MOVES TREASURY YIELDS?
Emanuel Moench, and Soofi Siavash Soroosh
2022
We identify a yield news shock as an innovation that does not move Treasury yields contemporaneously but explains a maximum share of their future variation. Yields do not immediately respond to the news shock as the initial reaction of term premiums and expected short rates offset each other. While the impact on term premiums fades quickly, expected short rates and thus yields decline persistently. As a result, the shock explains a staggering 50 percent of Treasury yield variation several years out. A positive yield news shock is associated with a coincident sharp increase in stock and bond market volatility, a contemporaneous response of leading economic indicators, and is followed by a persistent decline of real activity and inflation which is accommodated by the Federal Reserve. Identified shocks to realized stock market volatility and business cycle news imply similar impulse responses and together capture the bulk of variation of the yield news shock. >more

RESPONSIBLE HEDGE FUNDS
Hao Liang, Lin Sun, and Melvyn Teo
2022
Hedge funds that endorse the United Nations Principles for Responsible Investment (PRI) underperform other hedge funds after adjusting for risk but attract greater investor flows, accumulate more assets, and harvest greater fee revenues. Consistent with an agency explanation, the underperformance is driven by PRI signatories with low ESG exposures and is greater for hedge funds with poor incentive alignment. To address endogeneity, we exploit regulatory reforms that enhance stewardship and show that the ESG exposure and relative performance of signatory funds improve post reforms. Our findings suggest that some hedge funds endorse responsible investment to pander to investor preferences. >more