Neue Studien – März 2024

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Trended Momentum

The clarity of the trend in the price pattern during the formation period is an important determinant of the momentum strategy return. […] We propose a new measure to intuitively capture investors‘ perception of a price trend; namely, the R-squared of the time trend regressions on the price level in the formation period.

Fazit: Der Praktiker schaut eben auch auf den Chart.


Bitcoin Distraction and Stock Return Comovement

During exogenous attention shocks, investors reallocate attention from firm-specific information to market-level information, which leads to increased stock return comovement. We empirically examine this phenomenon by treating extreme Bitcoin market behavior as a source of distraction. Stock return comovement significantly increases on days with extreme Bitcoin returns.

Fazit: Aktienanleger werden im Tagesgeschäft durch extreme Bitcoin-Anstiege abgelenkt.


Corporate Debt, Boom-Bust Cycles, and Financial Crises

While our study confirms the importance of household credit, we show that corporate credit is equally, if not more important for the macroeconomy because of its link to systemic financial crises. […] Corporate defaults were the dominant source of loan losses at the heart of banking sector disruptions. […] Firm credit backed by real estate collateral is particularly prone to boom-bust cycles.

Fazit: Unternehmenskredite sind eine Triebfeder für Boom-Bust-Zyklen.


Why Has Factor Investing Failed? The Role of Specification Errors

The erratic performance of factor investing strategies is better explained by specification errors than by time-varying risk premia. The implication is that specification errors are more common and dangerous to factor investors than previously thought. […] Specification errors cause factor strategies to underperform and potentially yield systematic losses.

Fazit: In letzter Zeit wurde kein gutes Haar an Faktorstrategien gelassen.


The Performance of Options-Based Investment Strategies: Evidence for Individual Stocks from 2004 to 2019

Options-based strategies can be useful in improving the risk-return characteristics of a long equity portfolio. Specifically, covered combination (long stock plus short call plus short put) and covered call (long stock plus short call) consistently outperform the corresponding long stock strategy.

Fazit: Richtig umgesetzt bieten Short-Positionen in Optionen einen Mehrwert.


Return Predictability: Accounting versus Market Information

While market information is superior for predicting stock returns in the short term, its predictive power attenuates quickly over longer horizons. Accounting information consistently outperforms market data at horizons from two months to three years. […] The profitability of accounting strategies appears to be explained by persistent mispricing stemming from biased earnings expectations.

Fazit: Fundamentale Daten sind auf längere Sicht aussagekräftiger.


The Glidepath Confusion

A saver who is unlucky enough to experience a left-tail investment outcome is unlikely to have fared much better had they followed a different glidepath. Using bootstrapping techniques, we discover that over-allocating to stocks may be more damaging in the left tail than historical sample paths suggest.

Fazit: Die Wahl des genauen Lebenszyklus-Gleitpfads beim Investieren ist gar nicht so entscheidend.

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