Neue Studien – Juni 2023

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).


The Cross-Section of Factor Returns

The negative beta of the […] factors has major implications for their raw return in different market environments, with most of the performance being generated in bear markets. This suggest that mispricing typically builds up during bull markets (resulting in weak factor returns) and tends to get corrected in bear markets (resulting in large factor payoffs).

Fazit: Der größte Teil der Faktorrenditen wird in Bärenmärkten erzielt, wenn die Fehlbewertungen der Bullenmärkte bereinigt werden.


The Avoidable Costs of Index Rebalancing

The use of five-year-average (or longer!) market capitalization to identify the more stable and reliable top 500 or top 1,000 companies, as well as the use of banding and seasoning to inhibit flip-flop trades (stocks added to the index, which are quickly deleted), would largely eliminate the buy-high/sell-low dynamics of standard large-cap indices, reduce portfolio risk, and improve portfolio returns, all while reducing index fund turnover.

Fazit: Klassische Indexfonds kaufen in der Regel hoch und verkaufen niedrig.


Shareholder Wealth Enhancement, 1926 to 2022

Investments in publicly-listed U.S. stocks enhanced shareholder wealth by more than $55.1 trillion in aggregate during the 1926 to 2022 period, even while investments in the majority (58.6%) of the 28,114 individual stocks led to reduced rather than increased shareholder wealth. […] The degree to which shareholder wealth creation is concentrated in relatively few firms is not only striking, but continues to increase in recent years.

Fazit: Die größten Aktiengewinne konzentrieren sich auf eine immer kleinere Zahl an Mega-Firmen.


The Enforcement of Insider Trading Laws Around the World (1900-2022)

Firms in countries with stricter enforcement of insider trading laws have a lower cost of equity and more liquid capital markets, and this link is stronger in emerging markets. […] Firms are valued higher in countries with stricter enforcement of insider trading laws. […] The link between enforcement of insider trading laws and market efficiency is weak.

Fazit: Gesetze zum Insiderhandel sind wichtig, aber noch wichtiger ist deren tatsächliche Durchsetzung.


Institutional Investors and Echo Chambers: Evidence from Social Media Connections and Political Ideologies

We measure the ideological diversity of institutional investors‘ surroundings. Our results suggest that likemindedness in surroundings influences which stocks they hold, how they react to earnings news, and the resulting price discovery and price levels of public stocks.

Fazit: Selbst institutionelle Anleger können sich in Echokammern befinden (siehe auch „Echo Chambers“ vom Februar)


Bursting the Bitcoin Bubble: Do Market Prices Reflect Fundamental Bitcoin Value?

Empirical evidence from nearly 5 years of market data confirms that the price of bitcoin and the marginal cost of mining the target supply of bitcoins share a long-run equilibrium relationship. […] While the price of bitcoin demonstrates evidence of explosive subperiods, there are no explosive departures in the price of bitcoin from the marginal cost of mining the target supply of bitcoins.

Fazit: Die Mining-Kosten sind ein guter fundamentaler Bewertungsmaßstab für Bitcoin.


A Century of Asset Allocation Crash Risk

Most strategies are prone to deep, frequent, and prolonged drawdowns in the event of market crash that occur several times during the observed period. Only Factor-Based allocation offers a significant improvement over others when it comes to a large-scale loss of wealth when markets approach their trough.

Fazit: Faktorstrategien haben in Bärenmärkten vergleichsweise geringe Drawdowns.


Using ETFs to Conceal Insider Trading

Using a 13-year sample period (2009 to 2021) of all US companies and ETFs, we find evidence of widespread shadow trading in ETFs prior to price-sensitive news. We observe statistically significant increases in ETF volume in the five-day period prior to M&A news in 3-6% of same-industry ETFs on average. […] We find that shadow trading is most prevalent in the Health Care, Technology, and Industrials sectors.

Fazit: Neben Peer Trading bieten ETFs eine weitere clevere Umgehungsstrategie für Insider.


Using GPT-4 for Financial Advice

GPT-4 can provide financial advice which is on par with the advice provided by professional low-cost automated financial advisory services. […] While specific products, portfolio shares, and exchange tickers are included in the recommendation, GPT-4 cannot offer assistance in implementing the portfolio (opening an account, purchasing and rebalancing portfolio components).

Fazit: Ein Portfolio vorschlagen ist das eine, die praktische Umsetzung etwas anderes.


Stablecoin Devaluation Risk

We identified several factors associated with devaluation risk. These include market risks such as BTC volatility and changes in interest rates on stablecoin lending markets. They include network characteristics such as the concentration of addresses and the velocity of transactions.

Fazit: Tether ist die Achillesferse des Kryptomarktes. Bislang war die Abwertungswahrscheinlichkeit relativ gering.

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