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Extreme, positively skewed stock returns play a central role in driving many well-known anomaly portfolios. The concentration of these high-skewness stocks in either the long or short leg of an anomaly systematically influences its returns, and their presence can be predicted in advance from observable firm characteristics. […] Within each anomaly, take long positions in high-expected-skewness stocks and short positions in low-expected-skewness stocks. This transparent, easy-to-implement modification consistently improves both returns and Sharpe ratios across a broad set of anomalies.
Fazit: Scheinbar lassen sich Renditeanomalien durch einen Schiefe-Filter optimieren.
Not Dead Yet: Options Trading Floors
The largest complex strategies in S&P 500 index options continue to execute predominantly through open outcry, with a single strategy class (combos) accounting for nearly 39% of floor complex dollar volume. […] Floor trading appears to enable more efficient risk sharing amongst multiple market makers as compared to the electronic auction which requires at least one market maker to be willing to take the entire complex trade. […] The floor facilitates the most difficult trades, but raises the cost of less difficult ones.
Fazit: Komplizierte Options-Trades werden oft noch auf dem Parkett umgesetzt.
The Liquidity-Demand Component of the Factor Zoo
Monthly anomaly returns pool two components: a transient price-pressure component generated by predictable cash demand and slow-moving liquidity supply, and a persistent component associated with standard economic variables. […] For empirical asset pricing, the practical implication is that a full-month anomaly premium partly mixes persistent compensation with a predictable cash-demand concession.
Fazit: Ich bin gespannt, ob sich dieser neue Erklärungsansatz durchsetzt
The Price of Carry: Funding Frictions, Parity Failures, and Crash Risk
Carry should not be read as a stable yield pickup. It is compensation for holding positions whose risks become most visible when funding liquidity is scarce and intermediary balance sheets are constrained. […] Uncovered interest parity failures account for the average premium: high-interest-rate currencies do not depreciate enough to offset their interest advantage. Covered interest parity deviations help identify when that premium becomes fragile, but their information content is regime-dependent.
Fazit: Die klassische Carry-Strategie funktioniert noch, hat aber hohe Drawdowns
Human Capital in Venture Capital: Evidence From 100,000 Venture Capitalists
Investment success is extremely concentrated: fewer than 40% of VCs with any investments are ever credited with a successful investment, and 90% of investment profits are generated by 5% of VCs. […] We use a novel method, tracking their entire careers, deals, outcomes, as well as collecting data on their individual characteristics and relevant biographical details.
Fazit: Erfolg ist bei Venture Capital extrem ungleich verteilt.
The Price of Personalization: Execution Inequality Inside Robo-Advising
When a robo-advisory platform rebalances thousands of accounts simultaneously, it must decide who executes first – a choice clients cannot observe, compute, or contest. This decision creates a hidden wealth transfer within each wave: later-queued accounts pay worse prices not because clients chose to trade later but because the platform’s post-approval architecture placed them last. […] The peer-price burden measure is zero-sum within each batch: early-queue gains mirror late-queue losses.
Fazit: Robo Advisors können schlechte Ausführungen und damit versteckte Zusatzkosten aufweisen.
Can AI Replace the Peer Reviewer (Yet)?
Across six frontier model releases reviewing 2,591 finance papers under a fixed prompt, AI compresses scores to the middle of the scale, agrees with human reviewers not significantly more than two human reviewers agree with each other, and predicts future citations better than humans only in the middle of the human-score distribution, where two reviewers themselves render no clear judgment on average. Humans have a clear edge in the tails of the human-score distribution.
Fazit: Es ist sinnvoll, den Peer Reviews durch KI zu unterstützen.
It assumes that the dip in price is not based on permanent or fundamental reasons. […] It assumes that if the asset price does resume its upward trend it does so within the investor’s holding period (…). It assumes that the opportunity cost of the capital to be deployed to take advantage of dips, which may stem from selling an asset or keeping a cash reserve, is lower than the benefits obtained from buying after dips. […] Focusing just on returns provides a limited perspective relative to the broader (and correct) focus on both return and risk.
Fazit: Buy the Dip kann mit etwas Glück die absoluten Renditen verbessern, nicht aber die risikoadjustierten.