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Fear, Not Risk, Explains Asset Pricing
Fear is a superset of risk. […] We suggest a new perspective that replaces aversion to variance with fear of missing out (FOMO, captured by a preference for skew) and fear of loss (FOL, captured by an aversion to semivariance). In so doing, we propose replacing risk theory with fear theory, in the hope of effecting a long-overdue marriage of behavioral and neoclassical finance.
Fazit: Anleger fürchten sowohl Verluste als auch verpasste Gewinnchancen.
Vague Knowledge: Evidence from Analyst Reports
Natural language is distinct from numbers in that it does not require precision, thereby possessing a differing ability to convey vague information and represent the real world. […] Analysts observe many signals that are vague, unmeasurable, yet still informative. We predict that analysts use linguistic expressions to communicate vague expectations based on these signals.
Fazit: Manche Informationen sind vage und können nur über Sprache vermittelt werden.
Expected Outcomes of 401(k) Investing: What Can History Tell Us?
The fundamental problem lies with the return expectations required to fund retirement under a DC plan. Too much of the time, these were simply too high to be satisfied out in the world beyond the laboratory. […] Any attempt to reduce risk by blending a low-volatility asset such as bonds put success further out of reach because of the lower returns offered by this less volatile asset.
Fazit: Man sollte sich zur Altersvorsorge nicht allein auf die Märkte verlassen.
The Crash of 1929: How Long Did it Take the Dow to Recover?
It was roughly 16 years from the September 1929 Dow Jones Industrial Average high to its recovery in September/October of 1945 (nominal index levels and inflation-adjusted real levels). Without reinvested dividends, however, the nominal index did not recover its previous high until November 1954. A real recovery without reinvested dividends did not happen until May 1959.
Fazit: Je nach Berechnungsmethode dauerte die Erholung zwischen 16 und knapp 30 Jahren.
Drawdowns and Recoveries: Base Rates for Bottoms and Bounces
The best investors and stocks suffer through large drawdowns, which can be considered a cost of doing business over the long haul. The median drawdown for the 6,500 stocks in our sample from 1985-2024 was 85 percent and took 2.5 years from peak to trough. More than one-half of all stocks never recover to their prior highs.
Fazit: Selbst die besten Aktien haben große zwischenzeitliche Drawdowns.
How Active is Your (Nominally) Actively Managed Quantitative Fund?
Our results suggest a prevalence of closet indexing among quants, with a substantially larger fraction of assets allocated to closet indexers compared to what we observe for non–quants. […] Quants with stock selection tend to underperform closet indexers. […] Quants charge lower fees than non-quants but this difference is observed only in investment strategies with low levels of active share.
Fazit: Ein weiteres Paper zeigt, dass menschliche Manager im aktiven Bereich besser abschneiden.
Regulating in Name Only: The Consequences of Mutual Fund Naming Rules
Funds adjust their holdings more in response to misalignment with Morningstar Style Box classifications than to non-compliance with the SEC’s 80% rule. This suggests that funds treat Morningstar classifications as a more relevant monitor and benchmark.
Fazit: Morningstar sorgt für die meiste Transparenz bei Fondsnamen.
Does More Public Information Always Improve Price Efficiency? Evidence from the Edgar Adoption
We find that liquidity increases more for stocks, whose share of public information in stock return-variance increases. We also document that the stocks with a higher liquidity-gain result in attracting noise trading. […] Overall, our analysis shows that increased public information in the market can potentially harm price efficiency when the role of liquidity is taken into consideration.
Fazit: Mehr Informationen führen nicht unbedingt zu effizienteren Kursen.
Escaping the Banker’s Shadow: Why Financially Constrained and Innovative Firms Prefer Bond Financing
Financially constrained firms that rely more on bond financing, rather than bank loans, commit more to innovation compared to firms that use other financing sources such as relationship-based bank loans. This finding supports our hypothesis that the greater flexibility and tolerance for experimentation associated with bonds enable financially constrained, innovative firms to pursue their R&D activities without the restrictive monitoring and covenants imposed by banks.
Fazit: Unternehmensanleihen ermöglichen mehr Autonomie als Bankkredite.
The Devil in the Details: How Sensitive Are Pockets of Predictability to Methodological Choices?
The magnitude of return predictability fluctuates over time, with long periods of unpredictability punctuated by brief windows of forecastable returns. Crucially, these pockets can be identified ex-ante using kernel regressions, enabling investors to time the market effectively and achieve abnormal returns. […] Our analyses reveal three major weaknesses of this approach. First, pocket forecasts are highly sensitive to minor methodological choices. […] Second, return predictability declines over time. […] Third, potential profits are sensitive to trading costs.
Fazit: Viele Ergebnisse sind nicht robust, sondern empfindlich gegenüber scheinbaren Details.
The Shadow Price of „Public“ Information
By quantifying marginal public information costs for mutual fund managers, we provide evidence that the costs of converting public signals into stock picks is substantial. Our cost estimates provide a tangible benchmark for understanding the inefficiencies associated with public information processing and, in doing so, challenges the traditional view that public information is freely usable.
Fazit: Gute Erklärung für das Informationsparadoxon.