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Retail investors systematically buy aggregate market declines. Their demand is highly asymmetric, resembling the payoff of a put option: retail investors provide little additional demand during normal market conditions but purchase aggressively when markets fall. […] These purchases have a causal impact on subsequent aggregate returns. A one-percentage-point increase in net retail purchases raises subsequent 30-minute market returns by approximately 40 basis points.
Fazit: Privatanleger reagieren nicht nur auf Marktbewegungen; sie bewegen den Markt auch selbst.
The Intersection of Expected Returns
Anomalies co-select the same stocks at a rate more than three times what independence would predict. Importantly, nearly half of this excess co-selection arises from cross-category clustering – anomalies from economically distinct categories systematically select the same stocks in the same direction (…). These overlap stocks contribute disproportionately to anomaly premia: Just 10% (20%) of stocks each month have accounted for nearly 40% (50%) of the CAPM alphas of 163 anomaly portfolios from 1926 to 2022.
Fazit: Aktien, die sich in verschiedenen Anomalieportfolios befinden, tragen am meisten zu den Prämien bei
How Long are Shorts Informed? Evidence from Short-Sale Positions
We follow individual short positions from initiation through covering and examine their realized profitability and the timing of short sellers‘ informational advantage. […] Short sellers earn economically meaningful abnormal returns after borrowing costs, but their informational advantage is remarkably short-lived. […] Conventional measures of outstanding short interests obscure this temporal dimension by pooling newly informed trades with seasoned positions whose information may already be reflected in prices.
Fazit: Der Informationsvorteil von Shortsellern hält nur 1-2 Wochen an.
The Price of a Funded Account: An Actuarial Analysis of Proprietary Trading Firm Challenges
A proprietary trading challenge is a contingent claim with a posted price and hidden probabilities. […] Under an illustrative baseline population with transaction cost drag, the model-implied average value of a USD 500 refundable challenge is USD 221, the implied gross margin is 56 per cent, and 7.5 per cent of simulated buyers reach funded status. […] Buyers of probability-opaque contracts deserve at least the disclosure standards already applied to CFDs and gaming machines.
Fazit: Prop Trading lohnt sich vor allem für die Anbieter.
We argue that the delegation of analytical tasks to AI systems creates a unique cognitive bias — termed „algorithmic overconfidence“ — where investors develop excessive trust in AI-generated recommendations, often exceeding their confidence in human advisors or their own judgment. This bias compounds existing psychological vulnerabilities, creating a layered framework of decision-making distortions.
Fazit: Algorithmische Overconfidence ist ein neuer Verhaltenseffekt
What and Whom Does Short-Sale Regulation Affect? Evidence from 183 Policy Changes
We study 183 regulatory tightenings and relaxations across 38 markets and combine these events with global securities-lending data. […] Most short-sale regulations have considerably less effect on persistent short positions than their legal language suggests. Even covered bans, the most restrictive intervention in our sample, reduce shares on loan by only about 13%. Most other rules produce substantially smaller changes.
Fazit: In der Forschung weiß man schon lange, dass Leerverkaufsverbote nichts bringen.
Educating All Retail Investors in a Billion-Euro Market
We study a market-wide intervention by the German financial regulator Bafin that targeted (…) investors (…) in so-called knock-out certificates (…) between 2019 and 2023. […] Retail investors lost approximately 3.4 billion euros in aggregate. […] Bafin announced that every retail investor wishing to buy knock-out certificates after June 16, 2026 would be required to complete a multiple-choice quiz. […] Trading volume declined by 27% during the six weeks following June 16 relative to the preceding six weeks.
Fazit: Das niedrigere Handelsvolumen entspricht 340 Millionen Euro geringere Verluste von Privatanlegern pro Jahr.
The Global Rise of Index-Based Ownership of Firms
Index ownership increased from 5.1% to 26.2% in the U.S., from 1.8% to 13.9% in Europe, and from 0.8% to 7.5% in Asia between 2004 and 2023. […] In the U.S., the increase is driven predominantly by explicit indexing, while in Europe and Asia explicit and closet index ownership have both grown substantially. […] The U.S. also differs from other markets in the cross-section of index ownership. Index ownership extends much further down the market-cap distribution and is highest among mid-cap firms, whereas in Europe and Asia it increases monotonically with firm size and remains concentrated among larger firms.
Fazit: Interessante Zahlen zum Index Investing
This Chart May Be Hazardous to Your Wealth
Samuelson (1969) proved that if the distribution of returns is the same in every period, then the appropriate asset allocation is the same in every period and is not related to the investment horizon. The „time-diversification“ from simply averaging over many periods is not sufficient to justify „stocks for the long run.“
Fazit: In der Theorie lässt sich der Begriff „Diversifikation über die Zeit“ durchaus kritisieren.
The Costs and Benefits of Leveraged ETFs
Investors can obtain levered exposure in an ETF wrapper without opening a margin account, trading derivatives, or rebalancing the position themselves. And, we show that this access is not inherently bad: in our sample, it was valuable mainly for broad equity-index products, which generated over $100 billion in investor PnL, compared with $61.1 billion from investing the same dollars, at the same times, in the corresponding unlevered assets. When broad equity returns are high, volatility is relatively low, and financing costs are modest, the benefits of leverage can outweigh volatility drag, fees, and financing costs.
Fazit: Gehebelte ETFs auf breite Indizes können durchaus sinnvoll sein (wenn man die Nerven dafür hat).