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).
ETF Flows and the Index Effect
The surge in assets benchmarked to popular indexes through ETFs appears to be amplifying the index effect, as these funds‘ mechanical demand for newly included securities exerts significant price pressure. […] The strengthened index effect I document represents a deviation from fundamental value that is at least partially driven by the mechanical rebalancing of ETFs.
Fazit: Die Studienlage zum Indexeffekt ist widersprüchlich.
Passive Investing and the Rise of Mega-Firms
Flows into passive funds raise disproportionately the stock prices of the economy’s largest firms, and especially those large firms that the market overvalues. These effects arise even when the indices tracked by the funds include all firms, and are sufficiently strong to cause the aggregate market to rise even when flows are entirely due to investors switching from active to passive.
Fazit: Die größten Firmen profitieren von Zuflüssen in ETFs.
Mutual Fund Performance at Long Horizons
While strong positive skewness implies that many funds underperform, some funds perform very well. Out of 7,883 sample funds, 442 delivered a positive full-sample compound return more than twice as large as the compound return to the SPY over the matched months, and 160 delivered compound returns three times as large as the SPY.
Fazit: Immerhin 2 Prozent der Fonds performten dreimal so gut wie der Index.
Factor Selection and Structural Breaks
We find evidence of three breaks in a six-factor model (Fama-French 5-factors plus momentum) since 1963 that occur in 1975, 1995, and 2005. […] The optimal set of risk factors can undergo major changes. […] Until 2005, the preferred model contained either five or six factors. Since 2005, only two factors (MKT and RMW) have been preferred.
Fazit: Alte Daten bergen das Risiko nicht mehr relevanter Faktoren.
Retail Trading Frenzies and Real Investment
Retail frenzies strongly correlate with equity issuance and investment. […] Firms with large investments following retail frenzies significantly underperform compared to both large investments at non-frenzy firms and retail frenzy firms that do not heavily invest.
Fazit: Marktineffizienzen führen zu realen Ineffizienzen.
Has the Tail Finally Fallen Off? Nominal Share Prices are Modernizing
Average nominal share prices had remained very consistent over seven decades. The price stickiness of that period persisted as firms engaged in stock splits to maintain consistent nominal share prices. […] Average nominal share prices have more than tripled in the period since 2007. This dynamic has been driven by a strong reduction in stock splits, particularly amongst the largest firms.
Fazit: Endlich auch Inflation bei den nominalen Aktienkursen 😉
An Explanation for the Halloween Effect: Why „Sell in May and Go Away“ Works
From November to April each year, 84% of all annual reports and audited financial statements are disclosed, along with 63% of all shareholder meeting materials and proxy statements, 86% of all ownership reports by passive investors, 87% of all annual reports of changes in insider ownership, and 69% of all annual reports by mutual funds.
Fazit: Ein plausibler, informationsbasierter Erklärungsansatz für den saisonalen Effekt.
The Performance of Household-held Mutual Funds: Evidence from the Euro Area
Household ownership of mutual funds is positively correlated with fund fees and negatively correlated with risk-adjusted returns. […] We also find that household flows towards mutual funds exhibit stronger inertia than flows by institutional investors and that they chase past returns in addition to only previous risk-adjusted performance.
Fazit: Institutionelle Anleger sind bei klassischen Fonds im Vorteil.
Do Low Latency Traders Destabilize Prices? Evidence from News Releases
High sentiment news releases in overpriced stocks, in the presence of naive news-chasing investors, result in even higher prices as LLTs speculate so as to profit from expected short-term price movements. This creates a speculation-induced wedge between market prices and the consensus fundamental value, hurting price efficiency. The exacerbated overpricing is subsequently reversed.
Fazit: High-Frequency-Algos sind ein zweischneidiges Schwert.