Neue Studien – Mai 2022

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).


Long-Only Value Investing: Does Size Matter?

Based on prior academic research conducted in long/short portfolio analysis, some market participants believe that long-only value investing works better in small-cap stocks. Our research shows that this is not true in long-only value investing, which is how most practitioners allocate towards the value premium. Our primary research finding is that equal-weight large-cap value portfolios and small-cap value portfolios are statistically similar from a returns perspective.

Fazit: Große Value-Aktien sind den kleinen ebenbürtig.


A Look Under the Hood of Momentum Funds

Risk-adjusted returns of momentum funds are, on average, negative, and most of the time series variation of those returns is explained by exposure to the market factor. Furthermore, momentum funds do not improve the performance of investors who already invest in Fama-French factors.

Fazit: In der Querschnittsbetrachtung bringen Momentum-Fonds keinen Vorteil.


Is Decentralized Finance (DeFi) Efficient?

DeFi intermediaries reduce search frictions and extract economic rents for their services. […] The evidence indicates that perfectly decentralized finance markets would not be optimal for society.

Fazit: DeFi-Unternehmen sind letztlich auch wieder Intermediäre, die Geld kosten.


The Avoidable Costs of Index Rebalancing

Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. For the S&P 500 Index, in the year after a change in the index, additions lose relative to discretionary deletions by about 22%. Simple rules, such as trading ahead of index funds or delaying reconstitution trades by 3 to 12 months, can add up to 23 basis points (bps).

Fazit: Rob Arnott et al zeigen (wieder einmal), dass die klassischen Indexanpassungen nicht optimal sind.


Fund Manager Skill: Selling Matters More!

Fund managers with superior selling ability are significantly better at buying stocks and, as a result, earn significantly higher aggregate returns. However, fund managers who buy stocks successfully do not necessarily have parallel selling skills, leading to lower returns overall. Thus, we provide strong evidence that selling skill is the key determinant of overall mutual fund timing performance.

Fazit: Eine weitere Studie, die bestätigt, dass sich Fondsmanager stärker aufs Verkaufen konzentrieren sollten.


The Great American Retirement Fraud

Despite the benign but misleading rhetoric about enhancing retirement security for everyone, the real beneficiaries of the retirement-reform legislation have been higher-income earners, who would save for retirement even without tax subsidies, and the financial-services industry, whose lobbyists have driven the retirement-reform legislative agenda.

Fazit: Immer wieder wird eine steuerliche Förderung aktienbasierter Altersvorsorge wie in den USA gefordert. Doch dort wurde das System so „adjustiert“, dass es meist nur den ohnehin schon Wohlhabenden etwas bringt.


Share Repurchases

New research shows that firms do not directly substitute repurchases for dividends; often these payouts complement one another. In fact, it is repurchases’ distinctions from dividends – namely, their perceived flexibility related to sticky dividends – that has likely made them so popular.

Fazit: Aktienrückkäufe sind bei Unternehmen beliebt, weil sie flexibler sind als Dividenden.


The Corporate Calendar and the Timing of Share Repurchases and Equity Compensation

The timing of buyback programs and equity compensation […] is largely determined by the corporate calendar through blackout periods and earnings announcement dates. As a consequence, share repurchases and equity compensation are positively correlated. […] Our results do not support the conclusion that CEOs systematically misuse share repurchases at the expense of shareholders.

Fazit: Aktienrückkäufe werden nicht systematisch vom Management zum eigenen Vorteil ausgenutzt.


The expected returns of ESG excluded stocks: The case of exclusions from Norway’s Oil Fund

Low quality ESG firms have a return premium. […] Annual return differences as high as 5% will clearly be a challenge to fit into a theoretical asset pricing framework.

Fazit: Aktien mit schlechtem (!) ESG-Rating haben eine Renditeprämie.


Unexpected Inflation and Real Stock Returns

If inflation is higher than expected, investors should expect lower than average returns. A one standard deviation increase in unexpected inflation can reduce real returns by 1% a year over a 5 year horizon.

Fazit: Unerwartet höhere Inflation ist schlecht für Aktienrenditen.


The Relevance of Banks to the European Stock Market

None of our banking-health variables have explanatory power on the cross-section of European stock returns. These findings contrast those for the US. The reasons may be manifold, from an unimportant liquidity provisioning channel over reduced room for actions due to regulatory requirements up to a moral hazard situation in Europe, where investors strongly rely on the governmental bailouts of distressed banks.

Fazit: Anders als in den USA hängen die breiten Aktienmarktrenditen in Europa – für mich überraschend – nicht von der Gesundheit des Bankensektors ab.


Inflation as the Source of the Bond, Equity, and Value Premia

For stocks, the equity and value premia are largely explained by exposure of cash flows to profitability, whereas growth stocks‘ excess returns are largely explained by cash flow exposure to the real rate. With respect to inflation risk, stocks writ large are a store of value, and value stocks are a strong hedge as their dividends move more than one for one with inflation.

Fazit: Value-Aktien sind ein Inflationshedge, da ihre Dividenden stärker steigen als die Inflation.


Do Yield Curve Inversions Predict Recessions in the Euro Area?

While the 10 year – 3 month yield spread seems to be a leading indicator of recessions at the aggregate level, its performance strongly differs among individual countries. Risk premia, and more particularly the credit risk component, blur the relationship between the yield curve slope and the probability of a future recession within member countries.

Fazit: In Europa sollte die Rezessionswahrscheinlichkeit stärker auf Ebene der einzelnen Länder betrachtet werden.


Not Your Keys, Not Your Coins: Unpriced Credit Risk in Cryptocurrency

Credit risk can arise not just from active transacting in cryptocurrency, but also from passive holding of cryptocurrency. Because this passive holding risk turns on technical details of bankruptcy and commercial law, it is unlikely to be understood, much less priced, by most market participants. The result is a moral hazard in which exchanges are incentivized to engage in even riskier behavior because they capture all of the rewards, while the costs are externalized on their customers.

Fazit: Kryptoinvestments sind ein Minenfeld (in dem ich persönlich nicht investiert bin).

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