Hinweis: Ich veröffentliche die Liste interessanter Studien hier mit einer Verzögerung. Die aktuelle Aufstellung erhalten Sie bei Anmeldung für meine monatliche Rundmail (kostenlos und werbefrei).
Rationally Turbulent Expectations
Contemporary finance theory rests on an unstable truce between two opposing schools. Rational Expectations treats the market as a knowledge machine that assesses risks correctly and prices them appropriately. Behavioral Finance treats the market as a ship of fools prone to complacency with bouts of panic. This book presents a unifying paradigm. It treats the capital market as a rational learning machine.
Fazit: Interessantes Buch, dessen Kapitel auf SSRN frei zugänglich sind.
The Research Behavior of Individual Investors
The median individual investor spends approximately 6 minutes on research per trade on traded tickers, mostly just before the trade; the mean spends around half an hour. Individual investors spend the most time reviewing price charts, followed by analyst opinions, and exhibit little interest in traditional risk statistics.
Fazit: Einen Vorteil erlangen Anleger auf diese Weise sicherlich nicht.
Reconsidering Luck in Mutual Fund Performance: Luck versus Skill? Or Luck and Skill?
Realized fund alpha is highly noisy. […] Fund managers possess skill, but they cannot control most of their alpha; investors can allocate capital in a sophisticated manner consistent with Berk and Green (2004), but they do so through naïve performance chasing, unintentionally chase much of the funds experienced lucky periods. Furthermore, due to diseconomies of scale, funds experienced lucky periods tend to become oversized as a result of portfolio appreciation and inflows, making it increasingly difficult for them to outperform.
Fazit: Performancebasierte Fondsratings erfassen mehr Glück als Können.
Global Persistence in Mutual Fund Performance
Results obtained over older periods (the 1950s, 1960s, and 1970s) mostly deny the existence of persistence in investment fund performance. However, studies analyzing the 1980s, 1990s, and 2000s have been more successful in demonstrating the existence of persistence. […] There is important information for investors in the historical performance of the funds. Our evidence shows the presence of persistence in all countries and almost all the periods analyzed.
Fazit: Scheinbar gibt es bei Fonds doch eine gewisse Renditebeständigkeit.
There is a large range of prices that people are willing to accept as normal. Only when things get extreme relative to these expectations, such as during the tech bubble, do fundamental variables have a large influence on expected returns. For a wide range of values though, demand largely adapts to the prevailing market price. This fundamental aspect of financial markets is largely absent from asset pricing models, but has wide ranging implications for how markets function.
Fazit: Anleger könnten kaum einschätzen, wo die Kurse stehen sollten, wenn sie nicht zu beobachten wären.