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).
A stock with a high valuation does not automatically qualify as a growth stock in our classification. To qualify for inclusion, a stock must exhibit growth in fundamentals. […] Our composite growth index significantly outperforms conventional cap-weighted growth.
Fazit: Growth-Investoren sollten sich auf die Fundamentaldaten fokussieren, nicht auf die Bewertungen.
Data-Mined Anomalies and the Expected Market Return
Unlike well-documented published anomalies, data-mined anomalies are less likely to be known and exploited by investors, potentially allowing for stronger and more persistent mispricing corrections. […] The selected 110 long-short data-mined anomaly portfolios deliver stronger out-of-sample predictive performance for market excess returns when evaluated using machine learning techniques that mitigate overfitting.
Fazit: Bewusstes Data Mining kann durchaus profitabel sein.
Systematic Signals of Short Squeezes: Insights from Rare Events
Elevated short interest and spikes in investor attention significantly increase the likelihood of a short squeeze, while institutional ownership has a stabilizing effect. […] The highest predictive role of short interest and attention is one month ahead. […] Short squeezes are more pronounced during market downturns.
Fazit: Short Squeezes können teilweise antizipiert werden.
Australian Asset Class Correlations Over 150 Years of Business Cycles
The long-term correlation between asset classes is relatively low, consistent with significant diversification benefits for investors with longer term horizons such as households and pension funds. Importantly, we find that both equity and property are reliable hedges of inflation in the long term.
Fazit: Interessante Langfriststudie zu Renditen und Korrelationen abseits des US-Markets
Is Smaller Better? Examining the Decrease in Trade Sizes in Financial Markets
The average trade size on U.S. equity markets has decreased from 120 shares to 57 shares, and the proportion of odd-lot trades has increased from 31% to 71% from 2016 to 2022. […] Although one-share trades make up only 0.07% of total volume, they are informative, contributing to 9.78% of price discovery for our sample.
Fazit: Kleine Trades haben in Summe einen großen Effekt.
High Yield, Capped Gains: A Conceptual Primer on Covered Call ETFs
Covered call ETFs offer a high-yield strategy by converting equity upside into option premium income. […] The upside is structurally capped due to the short call overlay, which can cause significant underperformance in bullish or momentum-driven markets. Moreover, the yield is not always backed by genuine gains: when option premiums and dividends fall short, these funds may return capital to maintain distributions.
Fazit: Covered Call ETFs sind kein sinnvolles Langfristinvestment.
Revisiting Factor Momentum: A One-month Lag Perspective
One-month factor momentum continues to deliver significant abnormal returns at the 1% significance level. […] Switching from one-year to one-month factor momentum increases the number of return continuation factors from 19.6% to 39.1%. […] Our analysis identifies one-month autocorrelation in factor returns as a significant driver of these results.
Fazit: Faktor-Momentum auf Basis von 1-Monats-Rankings funktioniert.