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The pure equity premium is the return on stocks in excess of an inflation-indexed bond levered to the same duration as stocks. This definition attempts to remove the premium earned by holding long-term assets from the premium earned by holding assets with risky cash flows. […] The famous equity premium puzzle is not present in the pure equity premium component that eliminates the duration mismatch found in previous work.
Fazit: Interessanter Ansatz, der die Aktienrisikoprämie besser erklären kann
The Hidden Cost of Going Public
The empirical analysis documents a statistically and economically significant decline in employee wellbeing after public listing. […] The negative impact is concentrated among white-collar and low-tenure employees – groups more exposed to reporting requirements, performance monitoring, and organizational restructuring. […] Labor union coverage substantially mitigates the post-IPO decline in employee wellbeing.
Fazit: Interessanter Aspekt, der bislang kaum untersucht wurde
Who Chooses to Self-Manage Their Investments?
Participants are over 20 pp more likely to prefer their self-chosen portfolio when they construct it before being presented with a delegated alternative. […] The effort invested in constructing a self-chosen portfolio imbues it with a feeling of psychological attachment. To then reject it in favour of a delegated alternative implies a lack of faith in one’s own earlier judgment, undermining one’s self-image as someone who makes good decisions and follows through with them.
Fazit: Wer sich mit konkreten Kapitalanlagen beschäftigt, setzt sie auch eher selbst um
Private Equity’s Retail Turn: Anatomy of a Mis-Selling Risk
Retail participation in private markets is not inherently problematic, but the current structure is not well adapted to it. A framework designed for institutional negotiation cannot simply be repackaged and sold to individuals. […] Private equity can serve retail investors, but only under conditions that recognise the limits of institutional metrics and contracts in a retail environment. Access alone does not create value; transparency, governance, and cost discipline do.
Fazit: Privatanleger sollten Private Equity vorerst meiden
Financialization: How Deficits Inflate Profits and Equity Valuations
U.S. fiscal deficits fund rising entitlement spending that stimulates consumption and increases the growth rate of corporate profits. […] The mechanical reinvestment of rising profit distributions into price-inelastic index funds has directly inflated market valuations. […] With profits and valuations sustained by rising deficit spending, the stock market is likely vulnerable to a severe correction when that fiscal support is withdrawn.
Fazit: Ein ähnliches Szenario wurde in dieser Studie beschrieben, ist aber (noch) nicht eingetreten
Pay to Sleep Well at Night: Ambiguity Aversion, Bayesian Reputation, and the Fund Fee Puzzle
This paper revisits the persistent „fund fee puzzle“ through the lens of ambiguity, proposing that the primary function of active management is not merely to generate financial alpha, but to provide cognitive intermediation. […] We demonstrate that the equilibrium management fee essentially represents an ambiguity premium – the price investors willingly pay to escape the „shadow of fear“ associated with self-investment.
Fazit: Anleger zahlen auch deshalb für aktives Management, um ihre Ruhe zu haben
Artificially Biased Intelligence: Does AI Think Like a Human Investor?
LLMs exhibit systematic departures from rational decision-making that are both statistically robust and economically meaningful. […] Less capable models behave like momentum investors, overweighting recent returns and social signals; more capable models behave like disciplined value investors, weighting fundamental information more heavily. Model selection thus affects not only bias exposure but also the implicit factor tilts embedded in AI-assisted investment processes.
Fazit: Auch die KI ist nicht immer ganz objektiv
What Firms Actually Lose (and Gain) from Extreme Weather Event Impacts
We identify 13,277 firm-event impacts and estimate that negative impacts caused a cumulative average abnormal stock return of -2.36% per event. The total firm value losses accumulate to $2.709 trillion USD (inflation-adjusted) between 2005 and 2024, which are primarily driven by direct asset impacts. Furthermore, we estimate that aggregated gains of firms that report positive impacts from extreme weather events accumulate to $327 billion USD.
Fazit: Starke Stürme und Hurrikans sorgen für die größten Schäden
Was Allen Paul Right? Liquidation Bias in Commodity Futures Markets
This study provides compelling evidence that liquidation bias – the systematic tendency for nearby commodity futures prices to rise relative to deferred contract prices during the final weeks before expiration – persists across a broad cross-section of U.S. commodity markets. […] We find that spreads between nearby and first deferred contracts increase by an average of 0.65% over the final 15 trading days. […] The phenomenon persists during both contango and backwardation market conditions.
Fazit: Auslaufende Futures-Kontrakte steigen vor Verfall systematisch leicht an