Hinweis: Ich veröffentliche die Liste interessanter Studien hier mit einer Verzögerung. Die aktuelle Aufstellung erhalten Sie bei Anmeldung für meine Rundmail (kostenlos und werbefrei).
We assemble the first comprehensive database of fraud in US VC-backed companies from 2000 to 2023. […] Among firms that recently had an IPO, VC-backed firms are significantly more likely to be sued for fraud than non-VC-backed firms, consistent with weaker governance in the pre-IPO period. […] Firms with founder-controlled boards have 88% higher fraud likelihood than other boards. […] Hot VC market conditions positively predict future venture fraud. […] The VC market does not discipline fraudulent founders ex post.
Fazit: Der Trend zu einer laxeren Führung VC-finanzierter Firmen ist möglicherweise zu weit gegangen
Using a novel dataset that links mutual fund managers to their household members and employment histories, we document that managers with spouses employed in executive and C-suite positions generate significantly higher abnormal returns than managers with non-executive-level spouses. […] This performance premium arises primarily through managers‘ trades in the same industries in which their spouses work.
Fazit: Data Mining ohne praktischen Nutzen
The momentum premium has a simple structure: it accrues almost entirely during six trading days before month-end, and it is driven entirely by losers. […] TAQ data confirm the selling pressure spike and its reversal at month-start. […] The concentration of the entire premium in six specific days, tied not to news or risk but to the mechanics of trade settlement, points toward a simpler explanation: momentum is a byproduct of how institutional investors manage cash.
Fazit: Interessanter Erklärungsansatz für Momentum
One Hundred Years in the U.S. Stock Markets
Stocks publicly traded in the U.S. markets were, despite episodic volatility, a tremendous source of wealth enhancement, totaling some $91 trillion over the 100-year period. Long-term stock market outcomes demonstrate strong positive skewness, and the success of the overall markets is attributable to a substantial extent to very strong outcomes for a relatively few firms.
Fazit: Update zu einer früheren Studie, die ich hier beschrieben habe
How Wise is the Crowd? Bias and Edge in Prediction Markets
While prediction markets are powerful forecasting tools, their signals are inherently noisy. […] Predictive signals are heavily distorted by the structural mechanics of the market, the demographic composition of its participants, and the passage of time. […] Rather than acting as sophisticated arbiters of probability, highly capitalized Whales systematically bled edge to small-order traders. This suggests a unique microstructural dynamic in which Whales trade heavily on ideological conviction rather than informational advantage.
Fazit: Privatanleger sollten diese Märkte meiden
The Last Paper: Agentic AI and the Governance of Empirical Finance
The number of statistical tests a researcher can run is exploding, but the number of questions the data can credibly answer is not. This asymmetry has three consequences. First, candidate findings arrive faster than the profession can verify them. Second, researchers who hit dead ends (…) have no reason to report them, so the next researcher wastes time rediscovering the same failure. Third, the safeguards built for slower research production – re-registration, peer review, the paper format itself – cannot keep up.
Fazit: KI könnte die Finanzmarktforschung noch undurchsichtiger machen
Retail chasing is reverse rebalancing. Reverse rebalancing is a convex policy. Under a no-forecast stance, convex policies pay a volatility tax. […] Equal weight is a contrarian discipline. […] Pick stocks at random. Allocate them equally. Rebalance back to equal weights on a fixed schedule. Now watch: the portfolio often grows, even though we never „predict“ which stocks will win. […] A large part of the equal-weight premium is attributable to the act of rebalancing itself, not merely to a size tilt.
Fazit: Gleichgewichtete Anlagestrategien sind durchaus sinnvoll
Efficient or Not? Price Measures in Market Microstructure
We examine five distinct price measures (…) regarding their ability to incorporate public information efficiently. […] All price measures exhibit significant levels of predictability, but substantially differ in their ability and speed of reflecting past information. The transaction price, midpoint, and QW midpoint exhibit higher inefficiencies, requiring over 30 seconds to fully reflect public information. In contrast, more sophisticated measures, such as the micro-price and the CQW midpoint, incorporate information within just a few seconds.
Fazit: Kurzfristig sind die Kurse ziemlich effizient
Skill and Efficiency in the U.S. Mutual Fund Industry
We define „efficiency“ as how well the manager is able to accrue the risk premia associated with a given risk factor. […] The familiar abnormal return, or alpha, is made up of two components: „aggregate efficiency,“ which is the sum of the fund’s (in)efficiencies across risk factors, weighted by the fund’s exposures to those factors, and „skill,“ a component that is unrelated to factor exposures.
Fazit: Sinnvolle Unterscheidung, um den echten Skill eines Fondsmanagers zu ermitteln
The Too Few To Fail Traders In Modern Markets
Buying and selling in fractions of a second, a small cohort of firms including Citadel, Jane Street and Virtu, have come to dominate the business of making markets, offering themselves as trading counterparties for others. This function is critical for market quality and continuity […] These firms (should) fund a collective emergency facility that encourages them to keep trading during crises rather than exiting just because they can.
Fazit: Auch Market Maker können Pleite gehen
Rethinking Volume: The Illusion of Liquidity
While gross trading volume has increased dramatically over the past four decades, net volume – trading associated with persistent portfolio reallocations – has remained largely unchanged. Consistent with this fact, long-term price impact and long-horizon variance ratios show no evidence of a secular improvement in market liquidity. The growth in trading activity therefore rather reflects an expansion of short-horizon round-trip trading, primarily associated with high-frequency intermediation, rather than an increased capacity of markets to absorb persistent demand shocks.
Fazit: Die Liquidität ist heute nur oberflächlich höher als früher
A Model for Passive That Breaks the Market
Our model relies upon a small set of assumptions that are nearly universally accepted, or at a minimum widely used by quant practitioners. […] Once the passive share reaches around 65%, index volatility may increase sharply. At 90% share, an increase in volatility at cubic speed is nearly inevitable, leading to exaggerated boom and bust cycles.
Fazit: Gewagte Prognose, da sich aktiv und passiv nicht sauber trennen lässt
Carry Trade and Currency Crash Risk
Crash risk affects speculators‘ premia demand significantly. Higher crash risk in the investment currency of the carry trades discourages investors from taking long positions so they need to be convinced by substantial compensation for bearing higher risk: we show that the component of total carry trade returns purely to compensate for crash risk is between 46% and 77%.
Fazit: Der klassische Carry Trade ist zu wesentlichen Teilen eine Risikoprämie
The Value of Information: A Puzzle
We estimate that the average annualized value of information is approximately $3.5 million per stock. In aggregate, the value of information amounts to only 0.04% of market capitalization. […] These findings present a puzzle. The aggregate value of information we estimate is considerably smaller than the approximately 0.67% of market capitalization that investors pay in fees to active asset managers each year.
Fazit: Diese sehr grobe Schätzung spricht dafür, dass die Märkte ziemlich effizient sind
Is there Life after Delisting?
This paper provides new empirical evidence on the real effects of voluntary delisting, using a hand-collected dataset of over 400 delistings across 14 European countries and leveraging regulatory requirements for financial disclosure by private firms. […] We document robust and persistent improvements in profitability following delisting, with no concurrent changes in firm size, leverage, capital structure, or ownership concentration. […] Overall, this reframes voluntary delisting as a strategic response to frictions in public equity markets rather than as a symptom of poor performance or governance failure.
Fazit: Ein freiwilliges Delisting ist eher förderlich für den Unternehmenserfolg