Neue Studien – Dezember 2024

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).

 

Green Window Dressing

Funds move in and out of ESG stocks around disclosure to inflate sustainability ratings. […] In turn, green window dressers end up attracting substantially higher capital flows. This last result holds only for institutional clients, which is consistent with the argument that institutional investors delegate green window dressing to ESG mutual funds.

Fazit: Es ist nicht alles grün, wo ESG draufsteht.

 

Analyzing Sustainable Investor Returns

Non-sustainable funds earned 65 basis points higher yearly returns than sustainable funds. However, after accounting for the timing and magnitude of flows, we find that sustainable investors earned 88 basis points higher yearly returns than their non-sustainable peers. We show that this outperformance is driven by an asymmetric response to historical fund performance: sustainable investors invest more after periods of strong returns but do not divest more when returns are disappointing.

Fazit: Neben der Fondsrendite kommt es auch auf das (richtige) Anlegerverhalten an.

 

Do Experimental Asset Market Results Replicate?

For the 14 claims reported as statistically significant in the original articles, our estimated replication rate, according to the statistical significance indicator, stands at 21.4%. […] The credibility of empirical claims hinges on their replicability using new data. Various challenges – including publication bias, inadequate statistical power, and questionable research practices – contribute to low replicability, ultimately eroding trust in empirical research.

Fazit: Erkenntnissen, die an experimentellen Kapitalmärkten unter Laborbedingungen erzielt wurden, kann man kaum trauen.

 

From Realized to Expected: The Passive Investing Impact

High-indexed stocks highly outperform their low-indexed counterparts, primarily due to the influx of passive capital flows rather than fundamental value. […] I show that high-indexed stocks exhibit lower expected returns, indicating a potential correction when the trend toward passive investing reaches equilibrium. In addition, I show that the recent underperformance of value and small-cap stocks is intrinsically related to the secular passive shift.

Fazit: Solange es Zuflüsse in passive Produkte gibt, fahren darin investierte Anleger gut.

 

The Efficient Market Hypothesis When Time Travel is Possible

If a trader in the present can identify a past trading strategy that would have yielded arbitrage profits, it implies that a future trader armed with even more information should have already executed that strategy, altering historical prices to remove the opportunity. The logical conclusion is that the observed price history contains no exploitable loopholes – no arbitrage opportunities remain, even under time travel.

Fazit: Theoretisch ist Arbitrage jetzt nicht einmal mehr mit einer Zeitmaschine möglich 😉

 

Managing a Lazy Investment: Being Actively Passive

While passively managed financial instruments do not require intervention from their investors, some investors actively manage them anyway […] Typically, investors who make more trades fare worse than their less active peers due to transaction fees, inefficient capital allocations, etc. Our results did not confirm that investors who changed their portfolio allocations underperformed in terms of realized gains; but neither did they outperform.

Fazit: „Aktives passives“ Anlegen ist ein zweischneidiges Schwert.

Retirees Spend Lifetime Income, Not Savings

Retirees spend about half the amount that they could safely spend from non-annuitized wealth. […] Less knowledgeable and risk-averse retirees may be particularly prone to underspending out of fear of depleting wealth. […] Financial institutions who are aware of the tendency to bracket investment decisions differently can focus on reframing wealth as income or automatically liquidate investments to create the appearance of income.

Fazit: Viele Rentner möchten ihre Investments lieber behalten statt angemessen davon zu leben.

 

Covering Trades Uncovered

The opening of short positions is associated with negative future returns, establishing short sellers as informed traders. […] In this paper, we ask whether short sellers appear to be similarly informed when covering their positions. […] We show that when short sellers close short positions at a profit, future abnormal returns are positive, and when short sellers cover trades at a loss, future abnormal returns are negative.

Fazit: Auch aus dem Ausstieg von Shortsellern lassen sich Schlüsse ziehen.

 

The Inflation Gamble

Demand for lottery-type investments increases during high inflationary periods, as risk aversion declines and the preference for skewness becomes stronger. […] We find that inflation-sensitive lottery-type stocks (…) become more overpriced during high inflationary periods and earn lower returns in the future. […] As inflation rises, the allure of potentially high returns outweigh the potential aversion to risk during high inflationary periods.

Fazit: Inflation beeinflusst die Kurse über den „Glücksspielkanal“ der Marktteilnehmer.

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