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Inside and Outside Informed Trading
Our study examines the similarities, and more importantly, differences between the trades made by inside (i.e., firms and managers) and outside informed traders (i.e., hedge funds and short sellers). We show that their trades are largely independent, but both predict future returns strongly. […] Firms trade the profitability anomaly correctly. […] In contrast, arbitragers tend to trade the momentum and accrual anomaly correctly.
Fazit: Insider verschiedener Gruppen nutzen unterschiedliche Wege, um ihre Vorteile auszuspielen.
Multi-Day Return Properties of Leveraged Index ETFs
Cheng and Madhavan’s (2009) argument that the design of leveraged ETFs leads to long-run erosion in value is wrong, both theoretically and empirically. […] LETFs generate returns that are highly correlated to the non-reset portfolio over the various periods. […] Inverse funds can be an effective means for implementing longer-term hedging strategies. […] To the extent there are material deviations between LETF and non-reset portfolio returns, they tend to be positive (i.e., the LETF outperforms the non-reset portfolio).
Fazit: Gehebelte ETFs funktionieren besser als oft behauptet.
Homeownership as Life Cycle Goldmine: Evidence from Macrohistory
Homeownership is beneficial for life cycle investors. […] We estimate that homeownership increases households‘ life cycle wealth by up to 9% compared to renters adopting an all-equity strategy. Moreover, we observe universal welfare improvements among homeowners across household profiles, with an average life cycle welfare increase of up to 23% relative to all-equity investors.
Fazit: Das Eigenheim kann ein gutes Investment sein und das Wohlbefinden verbessern.
The Whisper Before the Shout: Market Consequences of Implied versus Actual Recommendations Revisions
We […] identify reports that contain implied recommendation revisions and document a strong market response to reports with an implied revision, as well as attenuated returns to actual revisions that are preceded by implied revisions. […] Institutional investors are more likely to trade around implied recommendation revisions, while retail investors are more likely to trade around actual recommendation revisions.
Fazit: Analysten signalisieren veränderte Einschätzungen oft schon vor Anpassung des Ratings.
The Growing Index Effect in the Corporate Bond Market
The increasing presence of index-tracking funds has led to significant trade clustering around index closing times, fundamentally altering the intraday distribution of liquidity. […] While index tracking enhances liquidity under normal conditions, its stabilizing effect weakens precisely when liquidity is most needed.
Fazit: Indexfonds haben die Konzentration der Umsätze zum Schlusskurs massiv erhöht.
Investor Reaction to Merger and Acquisition Rumors
Employing a large and comprehensive sample of acquisition rumors, we find that the target firm’s investors react positively to the rumor. The reaction seems to be too positive, however. Over the following three months after the rumor, the target firms experience significant negative abnormal returns of about -4.5%.
Fazit: Die meisten Gerüchte bewahrheiten sich nicht.
The Demise of Alternative Investments
Alternative investments cost too much to endure as a permanent part of institutional investment portfolios. I estimate the cost of a diverse portfolio of alts is at least 3% to 4% of asset value, annually. […] Alts bring extraordinary costs but ordinary returns – namely, those of the underlying equity and fixed income assets. […] Agency problems and weak governance have sustained alts-investing.
Fazit: Richard Ennis, einer der bekanntesten Alts-Kritiker, macht seinem Namen mal wieder alle Ehre.
We document explosive growth in round-the-clock trading, as volume during the 8 p.m. to 4 a.m. window rose from essentially nothing in 2022 to as high as 1.6 billion shares in quarterly volume in 2024. Price discovery during the nocturnal period is remarkably large, as the 8 p.m. to 4 a.m. window contributes nearly 9% to daily price movements in our sample.
Fazit: Der 24-Stunden-Handel wird wohl kommen.