Neue Studien – April 2023

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Crypto is not Property

The moon and the fish in the sea are things, but they are not „property“. Nobody has ever identified any right in relation to crypto nor how it would be vindicated. Therefore, it is not property. […] The case for the legislature recognising cryptoassets as „property“ generally for legal purposes is extremely weak, and that for the courts taking such a step non-existent.

Fazit: Durchsetzbare Eigentumsrechte sind eine zentrale Schwachstelle von Kryptoassets


Social Media as a Bank Run Catalyst

Exposure to social media conversation about bank stocks amplifies classical bank run risks. […] Banks with a large preexisting exposure to social media performed much worse during the recent SVB bank run, particularly if they have large mark-to-market losses and a large percentage of uninsured deposits.

Fazit: Twitter-Konversationen können ein mächtiges Risiko für Banken darstellen


How Accurate Are Survey Forecasts on the Market?

None of the survey forecasts can outperform a simple random walk forecast. […] On the other hand, we find that the short interest index of investors, whose forecasts are profit-oriented and well-resourced, perform well in predicting the market, beating the random walk significantly.

Fazit: Das Short Interest ist ein weit besserer Indikator als Umfrageprognosen


Retail Traders Love 0DTE Options… But Should They?

As of May 2022, the Cboe introduced options that expire on each weekday. […] Around 75% of all retail trades in S&P 500 options are in 0DTE options. […] Across our sample period spanning a little over two years, retail investors together lost more than $70 million. More than $50 million of these losses are the result of the transaction costs they have to pay. The remaining $20 million are a result of poor positioning.

Fazit: Market Maker verdienen (wie zu erwarten) auf Kosten der Kleinanleger


How Does Zero-Day-To-Expiry Options Trading Affect the Volatility of Underlying Assets?

Zero-Day-to-Expiry option trading is strongly and positively correlated with the volatility of the underlying asset. A one standard deviation increase in 0DTE% is associated with a 6.2% increase in the 5-minute volatility of the underlying asset on the same day.

Fazit: 0DTE-Optionen führen zu einer Verschlechterung der Markteffizienz


Anomalies at Any Time in Any Place? Momentum, Reversal and Size Around the World in the Early Twentieth Century

We study three anomalies, momentum, long-term reversal, and size, in eight financial markets between 1900 and 1925. […] In virtually every market we consider, momentum strategies yield positive returns. […] Underreaction should be considered as a key aspect of behavioral theories of momentum.

Fazit: Momentum ist in den damaligen Daten nachweisbar, nicht aber das langfristige Reversal


Can ChatGPT Forecast Stock Price Movements? Return Predictability and Large Language Models

We investigated the potential of ChatGPT, a large language model, in predicting stock market returns using sentiment analysis of news headlines. […] Incorporating advanced language models into the investment decision-making process can yield more accurate predictions and enhance the performance of quantitative trading strategies.

Fazit: ChatGPT übertrifft die traditionellen Methoden der Sentimentanalyse


How to Make $1 Million in Thirty Seconds or Less: The Need for Regulations on Finfluencers

Finfluencers are present on many social media platforms, including Facebook, Instagram, YouTube, Twitter, and Reddit; however, TikTok is becoming increasingly popular among GenZ viewers specifically. […] The problems arise from self-proclaimed experts providing advice to the public. […] Regulations could be successful if the regulators balance free speech concerns with the need for protecting investors.

Fazit: Finfluencer sollten reguliert werden, weil die Finanzindustrie insgesamt stark reguliert ist


The Performance of Corporate Bond Mutual Funds and the Allocation of Underpriced New Issues

Corporate bonds mature and often are replaced with new issues. Underpriced new corporate bond offerings are thus far more frequent and much larger in total dollar terms than equity offerings. […] We find evidence that points to this steady stream of underpricing profits being a source of the pre-fee alpha that bond funds generate on average.

Fazit: Aktive Anleihenfonds können nennenswert Alpha am Primärmarkt abschöpfen

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