Neue Studien – Dezember 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).


The Risk and Return of Cryptocurrency Carry Trade

The carry trade strategy, which shorts the low-interest-rate currencies and longs the high-interest-rate ones, generates a decent performance with an average return of approximately 49% per year. The carry trade strategy provides a more attractive risk-return tradeoff when compared to an equal-weighted buy-and-hold strategy.

Fazit: Auch bei Crypto sind Carry-Strategien risikobereinigt attraktiver als Buy and Hold.


Market Timing with Moving Average Distance: International Evidence

We explore the performance of the distance between short- and long-run moving averages of prices, called MAD, in predicting future returns on 92 international market-wide indices. […] Investing according to MAD yields abnormal profits that do not reverse over time, consistent with investor underreaction to information and the anchoring explanation.

Fazit: Technische Trendfolgestrategien können nach wie vor funktionieren.


A Catering Theory of Earnings Guidance: Empirical Evidence and Stock Market Implications

Managers cater to reference point dependent investors by issuing excessively optimistic forecasts when investors have experienced disappointing stock returns. […] After high stock returns, managers might issue slightly pessimistic guidance. […] While accounting regulation has substantially reduced leeway in earnings management, managers successfully use earnings forecasts for catering instead.

Fazit: Der Ausblick des Managements ist vor allem nach großen Kursverlusten mit Vorsicht zu genießen.


Do Mutual Fund Perform Worse When They Get Larger? Anticipated Flow vs Unanticipated Flow

The fund flow of five-star mutual funds experiences a sharp increase at the end of the 36th month, due to the Morningstar Rating. This finding provides empirical evidence of diseconomies of scale in the active asset management industry. […] For each 1% of inflow (outflow), the return will decrease (increase) by around 0.6% on average in the next month.

Fazit: Das Paper bestätigt die Theorie abnehmender Skalenerträge bei aktiven Fonds.


Investor Sentiment and M&A Withdrawal: International Evidence

A high level of investor sentiment, associated with optimistic views about the deal’s prospects, significantly decreases the probability of withdrawal decisions. Thus, investor sentiment may expose bidders to the risk of making non-rational M&A decisions that may have long-term negative consequences.

Fazit: Das Paper bestätigt, dass M&A Entscheidungen prozyklisch und nicht immer rational sind.


Polarizing Corporations: Does Talent Flow to „Good“ Firms?

On average, job-seekers place a value on ESG signals equivalent to about 10% of the average wage. […] Skilled workers value firm ESG activities substantially more than unskilled workers. […] Skilled workers benefit the most from the introduction of ESG, ultimately increasing wage differentials between skilled and unskilled workers.

Fazit: ESG-Firmen haben tatsächlich einen Vorteil darin, Talente anzuziehen.


Market Volatility and the Trend Factor

Our findings demonstrate that the trend factor performs significantly better following high volatility periods than low volatility periods. […] From 1931 to 2022, the difference in Fama and French’s three factor risk adjusted returns between high and low volatility periods is 0.94%.

Fazit: Volatilität ist eine wichtige Variable für Trendfolgestrategien.


Outperforming Equal Weighting

Screening out stocks with the lowest realized Sharpe ratio and equally weighting the remaining stocks gives a simple and crude approximation to a multifactor portfolio loading on low-size, momentum and low-volatility. The resulting strategies outperform the equally weighted portfolio in terms of returns, risk-adjusted returns and downside-risk measures.

Fazit: Warum gibt es keine faktoroptimierten, gleichgewichteten ETFs?


Causal Narratives

False narratives can arise, be transmitted, and persuade, even absent any incentive to mislead. […] Some subjects produce elaborate narratives that contradict the true relationship. […] In some cases, they bid more than subjects that produce rational advice, thereby demonstrating a stronger preference to share their narratives.

Fazit: Überzeugende Geschichten können den Markt bewegen – auch, wenn sie nicht stimmen.

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