Neue Studien – Juli 2023

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Analysts Are Good at Ranking Stocks

In a given month, an analyst may issue target returns for a number of different stocks. We show that whereas the absolute level of these target returns (as reflected in the consensus forecast) are severely biased and weak predictors of future returns, the implicit ranking reflected in the target returns is in fact very informative of future returns. In other words, analysts are actually very good at ranking the relative performance of stocks in their portfolios, despite not being able to pin down the absolute performance.

Fazit: Analysten sind besser als oft behauptet wird.


Intraday Stock Predictability Everywhere

With approximately 900 million observations we conduct, to our knowledge, the largest study ever of intraday stock return predictability using machine learning techniques finding consistent out-of-sample predictability across market, sector, and individual stock returns at various time horizons. […] Predictability is short-lived, highest in the middle of the day, and more pronounced for less liquid firms, which indicates that slow-moving capital is an economic source of mispricing.

Fazit: Quantitatives Intraday Trading kann sehr profitabel sein.


The Rise of the Walking Dead: Zombie Firms Around the World

We find that the share of unproductive and unviable firms has been rising worldwide, especially since the GFC and the Covid-19 pandemic. […] We find important negative macrofinancial spillovers from zombie firms: nonzombies‘ financial performance is persistently reduced in industries populated with a greater number of zombies. To mitigate these effects, we document that countries with stronger banks, and tighter macroprudential policies tend to have fewer zombies and stronger nonzombies.

Fazit: Die Zombifizierung ist weiter auf dem Vormarsch. Ich bin gespannt, wann die steigenden Zinsen hier durchschlagen.


Why Pursuing Premiums at the Industry and Country Levels Does Not Add Value

Due to their limited numbers, sorting industries and countries on aggregate characteristics can wash out important cross-sectional variation in the characteristics and lead to concentrated portfolios prone to noisier realized returns. […] Our findings suggest industry and country bets add little on top of security-level allocations in the pursuit of the size, value, profitability, and momentum premiums. This is true in both developed and emerging markets.

Fazit: Es lohnt sich nicht, auf Länder- oder Sektorebene zu versuchen, Faktorprämien zu erzielen.


Share Repurchases on Trial: Large-Sample Evidence on Share Price Performance, Executive Compensation, and Corporate Investment

Our findings refute the popular criticisms of repurchases, namely, that they have become excessive, that they manipulate share prices and EPS, that they enrich insiders at the expense of outsiders, or that they stifle investment. Instead, the results suggest that share repurchases are a mainstream corporate activity that for the most part do not harm the overall market.

Fazit: Aktienrückkäufe sind ein Standardinstrument, das zu negativ gesehen wird.


End of an Era: The Coming Long-Run Slowdown in Corporate Profit Growth and Stock Returns

I show that the decline in interest rates and corporate tax rates over the past three decades accounts for the majority of the period’s exceptional stock market performance. […] The decline in risk-free rates alone accounts for all of the expansion in price-to-earnings multiples. […] The boost to profits and valuations from ever-declining interest and corporate tax rates is unlikely to continue, indicating significantly lower profit growth and stock returns in the future.

Fazit: Fallende Zinsen und Unternehmenssteuern haben den US-Aktienmarkt in den letzten 30 Jahren beflügelt. Damit dürfte jetzt Schluss sein.


Contagious Crime: How Cryptocurrency Manipulation Spills into Stocks

We find that social-media-based pump-and-dump manipulations conducted in online chat groups, which emerged in cryptocurrency markets, have spilled over into stock markets. This form of market manipulation is found in some of the largest stock exchanges in the world. […] We also find that the Australian regulator’s active intervention in these chat groups was effective in eradicating this manipulation activity.

Fazit: Pump and Dump funktioniert seit Jahrzehnten.


The Education Premium in Returns to Wealth

An important fraction of the premium is due to the higher propensity for risk-taking and investing in the stock market of better educated individuals. […] We document a significantly higher propensity for well-diversified portfolios as well as a higher persistence in stock market participation over time of better educated individuals, and we show that both mechanisms positively and significantly contribute to the education premium.

Fazit: Bessere Bildung ermöglicht höhere Renditen


Which Investors Drive Factor Returns?

Hedge funds are the most capable investors and long-term investors (insurance companies and pension funds) are the least. Decomposing their ability into factor selection and timing strategies, I find that differences in investors‘ capabilities are explained by their ability to time factors, rather than select factors. […] Hedge funds act as prototypical arbitrageurs in that they are responsible for the greatest repricing, shrink expected returns towards zero, and the reduce volatility of factor returns.

Fazit: Hedge-Fonds setzen auf Faktorprämien und machen die Märkte diesbezüglich weitgehend effizient.

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