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Save The Date: Analyst/Investor Days as a Trading Signal
We find a price run-up prior to the event, predominantly driven by incremental voluntary disclosures of hosting companies prior to the event, and an information-driven price adjustment for events without prior disclosure. […] Return dynamics around A/I days reflect both event informativeness and changes in expectations of the firm risk. […] A/I days represent an interpretable market signal that can be incorporated into event-driven strategies with robust performance even after accounting for trading and borrowing costs.
Fazit: Investorentage sind oft mit leichten Kursanstiegen verbunden.
Market Segmentation and Equity Risk Premium in the Era of Passive Investing
Our theoretical framework extends the CAPM to accommodate two investor segments – fundamental and passive – with different effective risk aversion, showing that the observed risk premium becomes a weighted average that no longer cleanly reflects the risk preferences of the price-setting margin. The framework therefore predicts that an increase in passive market share should compress measured equity risk premiums. The empirical evidence from 2015 through 2025 is consistent with this prediction.
Fazit: Passive Investments reduzieren die Aktienrisikoprämie.
Beating the Earnings Game: Why Do Prediction Markets Outperform Professional Analysts?
Prediction markets decisively outperform professional analyst consensus as earnings beat forecasters. […] We attribute prediction market superiority to four mechanisms: correction of analyst biases, continuous information updating, the wisdom of crowds, and an advantage in forecasting idiosyncratic earnings. […] Prediction markets introduce a new layer into financial market information aggregation, one that operates without the career concerns, access incentives, and herding pressures that shape institutional analyst behavior.
Fazit: Prognosemärkte sind sehr aussagekräftig und dürften sich trotz aller Transparenzprobleme weiter etablieren.
Small Firms are Not All Alike: Return and Financial Health Heterogeneity Within the Smallest Decile
Why does the size premium depend so critically on portfolio weighting methodology? The pattern is consistent with extreme heterogeneity within Decile 10, where value-weighted mean annual returns span from 49.0% to -37.0% – a spread exceeding 85 percentage points. Under value-weighting, underperforming larger firms dominate portfolio returns, erasing the premium that emerges under equal-weighting. […] Within every D10 subgroup, the relatively smaller firms systematically outperform the relatively larger firms.
Fazit: Am besten wäre es, gleichgewichtet in die kleinsten der Kleinen zu investieren.
Beyond the Wisdom of the Crowd: Concentrated Informed Trading in Earnings Prediction Markets
First, whales remain highly accurate even when they trade against recent price movements, a trading pattern that requires a private signal strong enough to override the information content of observed order flow. Second, whales tend to conceal their identity by funding their accounts through untraceable channels. Third, their accuracy is robust across beat and miss markets, ruling out naive directional betting as an explanation.
Fazit: Prognosemärkte werden von wenigen großen Marktteilnehmern dominiert, die wohl auch über Insider-Informationen verfügen.
Market Making without Adverse Selection: Evidence from Retail Savings Plans
Savings Plans (SP) trades, despite their predictable and often large size, are typically executed at prices close to the Xetra best ask, indicating generally high execution quality from the perspective of individual investors. Nevertheless, we document small but systematic price differences relative to benchmark prices, on average around one bps, indicating that the market maker extracts modest rents from this uninformed and predictable retail flow. Moreover, SP trades are executed at slightly less favorable prices than similarly large non-SP trades. […] These price discrepancies are most pronounced for ETFs, where SP activity is concentrated.
Fazit: Über die Summe aller Sparpläne dürfte ein stattlicher Betrag zusammenkommen.
AI Boom or Bubble? Lessons from the Dot-Com Period
Even if there are a lot of similarities between the AI and dot-com booms, our analysis suggests that the current AI episode lacks the hallmark ‚explosive valuation dynamics‘ typically associated with late-stage bubbles. However, this does not imply that the theme is low risk. The primary concern is concentration risk, explaining that a narrow group of AI-related stocks has driven a disproportionate share of index-level returns.
Fazit: KI ist (noch) keine spekulative Blase.
The Zero-Sum Game of Mutual Fund Marketing
While livestreams generate substantial flows into promoted funds, these inflows largely reflect a reallocation of capital within fund families rather than the attraction of new investors. At the family level, both assets under management and fee revenue remain essentially unchanged. Livestream marketing, therefore, reshapes investor portfolios without expanding the overall investor base. […] This reduces the incentives of such investors from searching for alternatives outside the family and potentially reallocating to competitor families.
Fazit: Anbieter aktiver Fonds sind auf Werbung angewiesen, damit ihre Investoren nicht abwandern.
Market Segmentation in Specialized ETF Markets
We observe notable declines in both beta values and management fees for specialized ETFs predominantly held by institutional investors. This trend suggests a shift in bargaining power from ETF providers (sellers) to institutional clients (buyers), driven by increasing competition among ETF providers. However, specialized ETFs primarily held by retail investors exhibit no significant changes in their beta distributions or management fees over time.
Fazit: Wenn schon Nischen-ETFs, dann solche, die stark von Institutionellen nachgefragt werden