Neue Studien – Mai 2023

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).



Instead of following more skilled influencers, social media users follow unskilled and antiskilled finfluencers. […] Antiskilled finfluencers ride return and social sentiment momentum, which coincide with the behavioral biases of retail investors. […] Investing contrarian to the tweets by antiskilled finfluencers yields abnormal out-of-sample returns, which we term the “wisdom of the antiskilled crowd.”

Fazit: Privatanleger lassen sich tendenziell von den falschen Leuten beeinflussen.



Using a sample of over 35,000 tweets issued by 180 prominent cryptocurrency-related Twitter accounts, we find that tweets mentioning specific crypto assets are associated with significantly positive short-run returns but also significantly negative long-horizon returns. This evidence is consistent with influencer’s having pump and dump incentives or at the very least it suggests that influencers provide poor investment advice, on average.

Fazit: Wieder eine Studie, die zeigt, dass Krypto ein Minenfeld ist.


Factor Momentum Versus Stock Price Momentum – A Revisit

The stock price momentum typically remains significant after controlling for the factor momentum. This observation holds for a battery of various methodological approaches. […] Conversely, the stock price momentum does a better job at explaining the factor momentum than vice versa. It captures a large portion of the average factor momentum profits and renders it insignificant in most countries.

Fazit: Der klassische Momentum-Effekt ist nach wie vor ein eigenständiger Risikofaktor.


Equity Tail Protection Strategies Before, During, and After COVID

First, hedging is expensive. If a hedge includes negative beta to equities, then the hedge is fighting the equity risk premium, which detracts from performance. […] A convex hedge is long volatility and is thus fighting the volatility risk premium, which also detracts from performance. […] Second, the variable equity exposure embedded in option strategies is a source of risk and path dependence.

Fazit: Absicherungen gegen Tail-Events sind komplex und risikobehaftet.


Swim with Sharks: Are Short Sellers more Informed than their Competitors?

Famed Short-seller Jim Chanos “had known about the underlying balance sheet problems that brought down SVB since last summer.” […] We find strong evidence that short sellers appear to have the upper hand in their competition against other informed traders. […] Our main findings are particularly strong among small firms and firms with low dispersion in analyst earnings forecasts.

Fazit: Leerverkäufer sind im Zweifel einfach besser informiert.


The Long-Term Implications of Destruction During the Second World War on Private Wealth in Germany

We link a unique historical dataset on the levels of wartime destruction in 1.739 West German cities with micro data on household wealth provided by the Socio-Economic Panel. Among individuals born in cities or villages that were badly damaged in the Second World War, wealth is still about 10 percent lower today. Similarly, the destruction of parents‘ birthplaces have significant negative implications for the wealth of their descendants.

Fazit: Die Wohlfahrtskosten großer Kriege wirken sich auch sehr langfristig noch aus.


Is Information Production for the U.S. Stock Market Becoming More Concentrated?

If the market produces more and better information for large firms relative to small firms, capital would be allocated away from small firms to large ones, further deepening market concentration. […] A stock market that concentrates its information production on only a handful of large, dominant firms might lose its ability to provide valuable information to the rest of the economy.

Fazit: Der Fokus auf Börsengiganten könnte die effiziente Allokation von Ressourcen beeinträchtigen.


Income Inequality Increases Financial Overconfidence and Risk-Taking

Individuals are more likely to self-enhance or overstate their knowledge when income inequality is greater. […] As inequality increases, poorer individuals increase their financial risk willingness. […] Of course, these are the individuals who can least afford to lose. […] The fact that income inequality is positively and significantly related to overconfidence and risk-taking shows that there is an impact on our behavior from society.

Fazit: Ungleichheit erhöht Overconfidence und Risikofreude (die sich wiederum negativ auswirken).

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