Neue Studien – Februar 2024

Strategic Informed Trades and Tiny Trades

Coordinated tiny trades induce substantial price pressure and volatility following 8-K filings. […] Informed investors adapt to such price pressure and volatility by delaying immediate sales upon filing. […] Evolving retail trading trend affects the price discovery process of informational events through institutional investors‘ strategic response.

Fazit: Institutionelle Anleger passen sich dem Verhalten der Privatanleger an.


Factor Momentum in Commodity Futures Markets

Factor momentum in commodity futures markets is statistically significant and at its strongest over the one-month horizon. […] We rationalize this short-term phenomenon based on mispricing and arbitrage activity: the mispricing aligning with factors premium cannot be corrected because arbitrageurs avoid taking factor risks.

Fazit: Ähnlich wie bei Aktien gibt es bei Rohstoff-Futures ein Faktor-Momentum.


Once a Trader, Always a Trader: The Role of Traders in Fund Management

Trader managers benefit from an ability to exploit short-term trading opportunities that cannot be easily exploited by others. […] We find direct evidence that trader managers use their trading skills to achieve substantially lower transaction costs. […] Trader managers are not excessive risk takers. On the contrary, they take on risks cautiously and even de-risk their portfolios in times of market stress.

Fazit: Es hat Vorteile, wenn Fondsmanager über Erfahrung aus dem aktiven Trading verfügen.


Investor Sentiment, Social Media and Stock Returns: Wisdom of Crowds or Power of Words?

Investor sentiment extracted from social media is better in predicting market returns than investor sentiment obtained from traditional print media. Social media is more suitable to extract investor sentiment because of the richer language and timeliness of online media. […] The relation between investor sentiment and stock market returns is however highly transitory.

Fazit: Das Marktsentiment sollte nicht überbewertet werden.


The Dynamics of Stock Market Participation

Many households leave the stock market within just 2 years of entry. Such behavior is more prominent for people of low income, wealth, and educational attainment, and those of younger age. […] Individuals should be encouraged to remain in the market for a more prolonged period in order to realize the equity premium on average.

Fazit: Je länger Anleger dabei bleiben, desto geringer die Wahrscheinlichkeit, dass sie die Flinte ins Korn werfen.

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