Neue Studien – August 2023

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).


Network Momentum across Asset Classes

We use a graph learning model to discover momentum spillover across various asset classes, focusing on the intricate interconnections within and beyond these classes to construct network momentum signals. […] We build a long/short portfolio using these signals, demonstrating substantial profitability and a moderate correlation with individual momentum strategies.

Fazit: Momentum-Strategien werden immer komplexer.


Growing Complexity in Financial Reporting

Each year, the number of years of schooling required to comprehend a given text grows by nearly a month. Financial reports are becoming increasingly inaccessible to a significant segment of the population as a result of this trend.

Fazit: Finanzberichte von Unternehmen sind zunehmend nur noch für Fachleute zu verstehen.


Cryptocurrency Replication Using Machine Learning

Investors are able to achieve broadly the same risk and return profile of Bitcoin through investment in synthetic portfolios constructed from highly liquid, low-cost conventional assets. In so doing, investors are able to avoid the wide range of non-market risks that are associated with investment in cryptocurrencies.

Fazit: Interessante Idee für Krypto-Diversifikation ohne Kryptos


Displaced by Big Data: Evidence from Active Fund Managers

Active mutual funds‘ stock picking ability declines in covered stocks after the introduction of satellite imagery data for these stocks. This decline is particularly pronounced for funds that heavily rely on traditional sources of expertise, indicating that these managers are at a higher risk of being displaced by new data sources.

Fazit: Ein weiterer Beleg für den hohen Wettbewerb im aktiven Fondsmanagement.


Sentiment Analysis is Virtually Useless in Financial Forecasting

This paper presents an analysis of the common methodological flaws in existing studies, such as data leakage, arbitrary lag selection, and inconsistencies in time frames. […] The absence of a causal link between financial news sentiment and stock market performance makes the observed correlation unsustainable.

Fazit: Die Analyse der Marktstimmung ist für Prognosen weitgehend nutzlos.


Competition for Investment Opportunities and Level of Active Fund Management

Fund managers can counter the negative effect of competition in their investment universe by reducing the level of active management. […] This result suggests that fund managers consider competition from passive funds as equivalent to
competition from active funds.

Fazit: Aktive Fonds konkurrieren sowohl untereinander als auch gegenüber Indexprodukten.


The Information in Fail-to-Deliver Short Sales: Implications for Research and Regulation

FTDs can be used as a proxy for when arbitrage in a stock by short sellers is constrained. […] FTDs contain valuation information exceeding Covered Short Sales. […] While FTDs are relatively small, evidence indicates they provide a better measure of unpriced information.

Fazit: (Vorübergehend) ungedeckte Leerverkäufe weisen auf gute Trading-Gelegenheiten hin.


Stagflationary Stock Returns and the Role of Market Power

Firms that have market power can raise prices in response to positive demand shocks of households, being able to raise their cashflows relative to those that do not have market power. […] If the firm raises prices in response to inflation, it may contribute to further inflation in the economy.

Fazit: Im Vorhinein ist es leider nicht so einfach, die richtigen Aktien mit hoher Preissetzungsmacht zu finden.


Diversification With Globally Integrated US Stocks

There is always a subset of firms that consistently exhibit a low level of integration with foreign markets and, as such, is immune to shocks originating outside of the US. We argue and show that these low integrated firms that are minimally affected by global economic environment constitute the ideal choice for US investors who wish to gain diversification benefits within developed markets.

Fazit: Firmen mit überwiegend nationalem Geschäft bieten hohe Diversifikationseffekte in einem globalen Portfolio.


Skills, Education and Wealth Inequality

Education has a positive, significant, and sizeable impact on both the level and returns to wealth through the channel of financial investment decisions when conditioning on unobserved, individual abilities. We recommend that policymakers strongly promote public education in order to address worldwide limited stock market participation and huge wealth inequality.

Fazit: Es wäre gut, wenn die Bevölkerung in der Breite am Aktienmarkt partizipiert.

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