Neue Studien – Juli 2022

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).


Earnings Virality

The typical earnings announcement receives relatively little social media coverage, but others go viral on social media, quickly reaching the feeds of millions of people. […] Earnings virality appears to be detrimental to markets, as it coincides with lower market liquidity and slower price formation. […] Increased attention from the legacy traditional media seems to help price efficiency, but viral social media can sometimes hurt it.

Fazit: Die unkontrollierte Verbreitung von Quartalszahlen in sozialen Medien ist problematisch.


The Risk-Reversal Premium

We study the risk-reversal premium, where out-of-the-money puts are over-priced relative to out-of-the-money calls. […] Investors can exploit this implied skewness premium by trading standard, exchange-traded index options. […] We view the risk-reversal premium as a sub-factor of the well documented variance risk premium: the tendency of implied variance to be higher than the subsequent realized variance.

Fazit: Risk Reversals können das Sharpe Ratio eines Aktienindexportfolios verbessern.


Negative Interest Rates and Money Illusion

An individual is labeled to be money-illusioned when he/she focus on nominal rather than real terms while making decisions. […] Individuals considering saving decisions with negative nominal interest rates display a higher money illusion than individuals facing positive nominal interest rates. The findings reveal that financial literacy aids in reducing individuals‘ money illusion whatever the sign of nominal interest rates.

Fazit: Positive Nominalzinsen, die aber real negativ sind, werden von einigen Anlegern fälschlicherweise als Gewinne gesehen.


Investing in Deflation, Inflation, and Stagflation Regimes

Moderate inflation scenarios provide the highest returns across asset class and factor premiums. During deflationary periods, nominal returns are low, but real returns are attractive. By contrast, real equity and bond returns are negative during a high inflation regime, and especially so during times of stagflation. During these bad times factor premiums are positive, which helps to offset part of the real capital losses.

Fazit: Stagflation ist der Worst Case für Anleger.


ECB Monetary Policy and the Term Structure of Bank Default Risk

During the period 2009-2020, ECB expansionary monetary policy diminished bank default risk in the short term. However, we do not observe a similar decline in long-term bank default risk, since monetary stimulus is associated with a steepening of the bank default risk curve. […] From 2018 onwards, monetary policy accommodation is associated with increased bank default risk, both short term and structurally, consistent with the risk-taking hypothesis under which banks engage in excessive risk-taking behavior in their loan and securities portfolios to compensate profitability pressure.

Fazit: Die lockere Geldpolitik hat das Ausfallrisiko der Banken erhöht.


Is Factor Momentum Greater Than Stock Momentum?

We find that factor momentum is difficult to distinguish from stock momentum: The only difference is at monthly time scale, where stocks mean revert while factors exhibit strong momentum. […] If we exclude the last month of returns, factor momentum is subsumed by stock momentum.

Fazit: Auf 1-Monats-Basis neigen Aktien zu Mean Reversion, aber Faktoren zu Momentum.


Reinvesting Dividends

We report that 85% of dividends are reinvested in securities portfolios while only 12% are withdrawn from brokerage accounts for consumption. […] Only 12% of dividends are reinvested in the month of payment. The remainder of reinvestment is distributed among all months of the year following the dividend payment. […] Investors do not associate dividend proceeds with the dividend-paying position upon reinvestment.

Fazit: Je nachdem, ob Dividenden auf dem Verrechnungskonto des Brokers oder dem Girokonto landen, werden sie später meist reinvestiert oder konsumiert.


The Value of Value Investors

We show that during the COVID-19 liquidity crisis, insurers acted as „buyers of last resort“ and increased their corporate bond positions, particularly in bonds facing fire sales by mutual funds. […] The stability of the insurance funding of insurers plays an important role for the liquidity conditions in the corporate bond market.

Fazit: Value-Investoren haben dazu beigetragen, die turbulente Phase bei Unternehmensanleihen zu stabilisieren.


Structural Loopholes in Sustainability-Linked Bonds

The paper finds convincing evidence which suggests that the structure of a SLB can help issuers evade potential penalties by setting late target dates and embedding penalty-minimizing call options. […] Setting a late target date is a simple way for an issuer to reduce the total number of higher coupon penalty payments arising from a failure to achieve sustainability targets. Similarly, calling a bond before maturity relieves the issuer from remaining coupon payments in the bond’s life, allowing it to minimize or even completely avoid penalties.

Fazit: Klare Kritik – für den Fall, dass die Nachhaltigkeitsziele nicht erreicht werden, lassen sich finanzielle Folgen schon im Vorhinein minimieren.


Losing is Optional: Retail Option Trading and Earnings Announcement Volatility

Retail investors purchase options in a concentrated fashion before firms‘ earnings announcements, particularly those expected to trigger greater abnormal volatility. […] They overpay for options relative to realized volatility, incur enormous bid-ask spreads, and are slow to respond to predictable post-announcement declines in volatility. This combination of behaviors translates to retail losses of 5-to-9% around earnings announcements on average, and 10-to-14% for high expected volatility announcements.

Fazit: Market Maker profitieren (wieder mal) vom Fehlverhalten der Privatanleger.


Carbon Credit Futures as an Emerging Asset: Hedging, Diversification and Downside Risks

Including a small portion of carbon futures in a stock portfolio provides hedging benefits and reduce overall risk for a given level of expected return, even though the hedge ratios are time-varying and significantly dependent on the market state. […] Comparing the performance of carbon futures with commodities, hedging effectiveness of carbon futures is not as high as that of precious metals and agriculture futures, however, carbon credits perform better than energy futures in terms of hedging and diversification.

Fazit: CO2-Futures lassen sich im Portfoliokontext sinnvoll einsetzen.


Moving the Goalposts? Mutual Fund Benchmark Changes and Performance Manipulation

We analyze changes to mutual funds‘ self-declared benchmarks using hand-collected data from funds‘ prospectuses. Under existing rules, funds can freely change their benchmark indexes and, implicitly, the historical returns to which they compare their past performance. Funds exploit this loophole by adding (dropping) indexes with lower (higher) past returns, which materially improves the appearance of their benchmark-adjusted performance.

Fazit: Einfacher Trick mit großer Wirkung (auf dem Papier, nicht im Portfolio).


Third Party Quality Certification in the Market for Financial Advice

Using the Barron’s Top Financial Advisors rankings, we find evidence that being named a top advisor increases both assets under management and accounts for individuals and their firms. […] Consistent with models of reputation in the financial advisory industry, after certification, advisors are less likely to engage in misconduct.

Fazit: Eine externe Zertifizierung ist gut für den Berater und seine Kunden.


When Do Retail Investors Provide Liquidity?

Retail investors tend to provide liquidity via contrarian trading for stocks trading in the gain domain while they demand liquidity for stocks trading at a loss. […] We find that this conditional behavior is largely explained by naive take-gain and stop-loss strategies: retail traders tend to sell stocks that experience positive (negative) returns, especially when the stock reaches a new high (low) price for the investor.

Fazit: Privatanleger stellen Liquidität zur Verfügung, wenn sie am wenigsten benötigt wird und geringe Prämien erzielt.


The Green Corporate Bond Issuance Premium

We find that, on average, green bonds have a yield spread that is 8 basis points lower relative to conventional bonds. This borrowing cost advantage, or greenium, emerges as of 2019. […] The greenium is linked to two proxies of demand pressure, bond oversubscription and bond index inclusion.

Fazit: Das Greenium entsteht durch die hohe Nachfrage nach Green Bonds.


A Fractional Solution to a Stock Market Mystery

The basic problem is that the tape is wrong. We provide strong evidence that FINRA reporting rules required RobinHood and Drivewealth to report each fractional trade for BRK.A – even if backed by only a dollar of real money – as a one share trade of a roughly $500,000 stock.

Fazit: Der Volumenanstieg bei Berkshire-A-Aktien ist durch eine Aufrundung von Teilaktien bedingt.

3 thoughts on “Neue Studien – Juli 2022”

  1. Das Reinvesting Dividends Paper fand ich sehr interessant! Die meisten Investoren (mich eingeschlossen) lassen ihre Dividenden erstmal ein paar Monate auf dem Verrechnungskonto gammeln, bevor sie dann doch reinvestiert werden (aber in andere Wertpapiere als den ursprünglichen Dividendenzahler). Wäre interessant zu sehen, welche Renditeeinbußen sich durch dieses Verhalten ergeben.
    Viele Grüße

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