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The Determinants of the Time-Varying Equity Premium
Investors require lower (higher) expected excess returns for bearing stock market risk in environments with higher (lower) real consumption growth, commodity price inflation, interest rates, and term spreads. No evidence is found of investor sentiment or equity market volatility independently influencing the equity premium beyond the effects of these procyclical economic variables.
Fazit: Die Aktienprämie wird in erster Linie von makroökonomischen Bedingungen bestimmt.
What the Stock Market Can Teach Us About Private Equity
The volatility and stock market correlation of listed private equity (LPE) returns are greater than when determined using NAVs. Discounts from NAV that routinely arise in the trading of LPE shares are greater and more volatile than those reported in the secondary market. […] Private equity is more highly correlated with public equity markets than NAVs would imply.
Fazit: Institutionelle Anleger könnten das Risiko ihrer Private-Equity-Portfolios unterschätzen.
Price Pressures from Daily Mutual Fund Flows: Does it Pay to Go With the Flow?
Outflows have a larger effect on future market returns than inflows. In the cross-section of stocks, we find that there seems to be flow related price pressure in the direction of flows, but these occur mostly already 1-5 days before the flows are reported in the Morningstar database. The flow pressures are followed by return reversals during the next 20 days.
Fazit: Mittelabflüsse haben einen stärkeren Effekt auf die Renditen als Zuflüsse.
The Role of Time Availability in Retail Trading Behavior: Evidence from Retired Investors
Retirees substantially increase their trading frequency and hold more stocks in their portfolios. […] Retirement reduces time-related barriers to information processing, enabling greater market engagement. However, this heightened trading activity does not translate into better investment performance; on the contrary, retirees experience lower risk-adjusted returns.
Fazit: Für Rentner macht es keinen Sinn, mit dem Aktienhandel anzufangen.
Among the key reasons why non-financial companies and non-bank financial firms outside the hedge fund sector say they do not trade more actively are that 1) trading opportunities arrive too infrequently, 2) trading interferes with culture and management of the organization, 3) trading affects relative returns to peers, and 4) there are economies of scale in trading.
Fazit: Für viele Firmen sind die Hürden zu hoch, um aktiv an den Märkten zu handeln.
Intraday Liquidity Provision During Earnings Calls
Liquidity providers, most likely high-frequency liquidity providers, seem to listen and respond to the tones in the earnings calls. The intraday liquidity results hint that liquidity providers respond asymmetrically to earnings call tones. As management tone increases, liquidity increases. However, as tone decreases, liquidity decreases. Fast liquidity Providers likely face inventory and adverse-selection risks during these decreases.
Fazit: Market Maker sind absolute Profis.