Neue Studien – November 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).


Factor Zoo

Using a comprehensive set of 153 U.S. equity factors, we find that a set of 10 to 20 factors spans the entire factor zoo. This implies that most candidate factors are redundant but also that academic factor models, which typically contain just three to six factors, are too narrowly defined.

Fazit: Rund 90 Prozent der untersuchten Faktoren sind überflüssig.


0DTE Trading Rules

0DTE options offer a substantial variance risk premium, with implied variance consistently higher than realized variance until settlement. […] Some tactics, such as buying deep in-the-money calls and selling out-of-the-money calls and puts, show promise for profitability. Nevertheless, the median profit and loss (PNL) for most popular strategies tend to be negative, with a wide distribution of potential outcomes.

Fazit: 1-Tages-Optionen sind nur etwas für Profis.


Insider Trading With Options

Employees‘ purchases of own-company options contain price-relevant information. […] Consistent with an information advantage story, the informativeness of employees‘ option trades peaks prior to information events and persists along the firm’s supply chain.

Fazit: Einige Mitarbeiter können ihren Informationsvorteil zu Geld machen.


Another Look at Timing the Equity Premiums

Despite pointing to some promising timing strategies at first glance, our analysis shows that their outperformance is very sensitive to the sample period, region, or a minor adjustment to the strategy construction. […] The odds of using valuation ratios, mean reversion, or momentum to successfully time the premiums are poor [and] the opportunity costs of mistiming the premiums are potentially high. […] Investors can be better served integrating multiple premiums and staying disciplined.

Fazit: Finger weg von Faktor-Timing.


Stocks for the Long Run? Sometimes Yes, Sometimes No

Digital archives have made it possible to compute real total return on US stock and bond indexes from 1792. The new historical record shows that over multi-decade periods, sometimes stocks outperformed bonds, sometimes bonds outperformed stocks and sometimes they performed about the same. New international data confirm this pattern. Regimes of asset outperformance come and go; sometimes there is an equity premium, sometimes not.

Fazit: US-Aktienmarktrenditen des 20. Jahrhunderts sind nicht repräsentativ.


The Effects of the BoJ’s ETF Purchases on Equities and Corporate Investment

The scheme raised daily returns and reduced stocks‘ implied volatility via the portfolio rebalancing and price-pressure channels. […] Prices may fall once the purchases cease and the excess demand for stocks declines. In addition, the ETF purchases lowered stock markets‘ liquidity. […] The ETF purchase program successfully reached its goals of stimulating corporate investment. However, it also adversely affected market efficiency.

Fazit: Die ETF-Käufe der japanischen Zentralbank sind umstritten.


Social Media Finfluencers: Evidence from YouTube and Cryptocurrencies

While individual top crypto finfluencers may not directly influence cryptocurrency returns, the aggregate content on YouTube does have an impact. This underscores the importance of considering the collective voice of content creators when assessing market influence. Current regulations may not fully address the unique challenges posed by finfluencers.

Fazit: Studien über Finfluencer häufen sich, das Thema bleibt relevant.


Beyond the Status Quo: A Critical Assessment of Lifecycle Investment Advice

A constant allocation of 50% to domestic stocks and 50% to international stocks throughout one’s lifecycle dominates in all retirement outcomes. […] Financial advice and pension regulations should be revised to consider all-equity strategies as viable safe harbor alternatives. […] We call for alternative approaches to mitigate the costs of short-term losses, such as financial education on staying the course, retirement account reporting standards that emphasize long-term performance, and regulations that assist retirement savers with maintaining a long-term focus.

Fazit: Die Studie spricht für 100% Aktien im Portfolio.


How Do Mutual Fund Management Fee Changes Impact Mutual Fund Flows?

An increase in management fees led to lower net inflows, while a decrease in fees resulted in higher net inflows. […] Fee decreases had a more substantial impact on fund flows compared to fee increases, indicating that investors are more responsive to reductions in fees.

Fazit: Privatanleger reagieren erkennbar auf Gebührenanpassungen bei Fonds.


Do Fees Matter? Investor’s Sensitivity to Active Management Fees

Excess fees are negatively related to subsequent quarterly net flows, while the level of active management is positively related, resulting in a negative relationship between flow and active fees. Therefore, both excess fees and the level of active management contribute to this relationship.

Fazit: Die Gebühren und der Umfang des aktiven Managements sind relevant für die Flows.


The Rise of Passive Investing and Active Mutual Fund Skill

The rise of passive investing leads to an increase in the overall skill level of the active mutual fund industry. […] My analysis also indicates that passive investing contributes to market efficiency by reducing the noise in stock prices. […] The findings suggest that the current level of passive investing is lower than optimal from the market efficiency perspective in the U.S.

Fazit: Interessantes Paper zur Koexistenz von passiven und aktiven Investments


Maxing Out Short-term Reversals in Weekly Stock Returns

We uncover a noteworthy pattern in the weekly U.S. stock returns for lottery-like stocks characterized by high levels of recent maximum daily returns (MAX). We show that high-MAX stocks that have been past 1-week losers (or winners) earn markedly positive (or negative) returns in the subsequent week. […] Investors‘ lottery preference can amplify their overreaction to news, subsequently leading to more robust return reversals.

Fazit: Interessante Handelsstrategie


A Quantum Leap in Asset Pricing: Explaining Anomalous Returns

This study utilizes open source datasets of anomaly portfolios to conduct cross-sectional regression tests of prominent asset pricing models. […] Out-of-sample analyses show that a recently proposed model dubbed the ZCAPM well outperforms leading multifactor models. […] We conclude that the ZCAPM represents a quantum leap in asset pricing models.

Fazit: Vom Zeta-Risikofaktor wird man in Zukunft wohl öfter hören.


Commodity Dependence and Optimal Asset Allocation

Investors in high-commodity dependence countries generally do not benefit from adding commodities to their portfolios while investors located in low-commodity dependence countries usually do. […] Commodities may augment a diversified portfolio if investors are not excessively exposed to commodity risk through their country’s economic structure.

Fazit: Der Diversifikationseffekt durch Rohstoffinvestments hängt vom Heimatland ab.


Which Investors Drive Anomaly Returns and How?

Small non-13F investors are the primary drivers of variation in anomaly returns. Not only do the effects of direct trading by this group of investors outweigh those of large institutional investors, but they also persist remarkably over time, even in the face of increased holdings by institutions.

Fazit: Privatanleger tragen entscheidend zur Entstehung von Anomalien bei.


The Size Premium in a Granular Economy

Our analysis provides robust evidence that the expected size premium increases during periods of higher stock market concentration. […] We find that smaller firms receive less attention, are less likely to complete a seasoned equity offering, and have higher fundamental volatility during periods of higher stock market concentration.

Fazit: Konzentrierte Aktienmärkte gehen mit geringerer Effizienz in der Kapitalallokation einher.


Momentum: Evidence and Insights 30 Years Later

We find positive momentum returns in the post-2000 period in markets throughout the world, long after the phenomenon was first documented. […] We do not find support for risk-based explanations of momentum but find that behavioral theories provide insights about why we observe momentum in some markets but not in others.

Fazit: Der Momentum-Effekt ist nach wie vor relevant.


Why Do Individuals Keep Trading and Losing?

Day traders win more often than they lose despite losing on average – mean losses are larger than mean gains. Combining both leads to a reason why individuals keep trading and losing: they infer their own skill using an upward-biased measure, the proportion of profitable days.

Fazit: Der Dispositionseffekt führt zu einer Fehleinschätzung der eigenen Skills.


Can ChatGPT Assist in Picking Stocks?

We conduct a live experiment around the 2023-Q2 earnings announcement period to test whether ChatGPT reliably evaluates earnings surprises and other news events. […] We study the returns of an investment strategy using ChatGPT’s attractiveness ratings. We find that portfolios with high attractiveness ratings significantly outperform those with low ratings.

Fazit: Anleger dürften sich bald stärker auf KI-Unterstützung verlassen.


Hey Bud, Wanna Buy a Central Bank?

On average, central bank stocks performed about the same as the stock market, and better than bonds. […] Today, there are only five central banks that are publicly traded; however, you cannot take control of the central bank by buying its shares, the dividends generally are restricted, and the central banks have underperformed the rest of the market.

Fazit: Früher waren Aktien von Notenbanken ein gutes Investment.


Cash Holdings in Pension Funds

Some pension funds hold more cash than necessary and exhibit slower cash deployment for investment. […] Reallocating the surplus to a representative portfolio could yield an additional expected annual return of 17 to 32 basis points, ultimately benefiting pension participants.

Fazit: Pensionsfonds mit zu hohen Cashbeständen performen schlechter.

3 thoughts on “Neue Studien – November 2023”

  1. Vielen lieben Dank für das Zusammensuchen der Studien. Ich verstehe zwar mehr die Hälfte nicht ☺️, aber der Rest hilft mir sehr weiter.
    Grüße aus Österreich

  2. Vor ein paar Jahren reisten meine Familie und ich mit dem Zug durch Australien. Mitten im Nirgendwo blieb der Zug bei einer Bergbaustadt stehen und man konnte die Stadt und das Bergwerk besichtigen. Dort arbeitete jeder! für die Bergbaugesellschaft. Wenn mein Einkommen, meine Betriebspension, das Einkommen meines Mannes, der Tante, des Nachbarn und des Lebensmittelgeschäftsinhabers an einer einzigen Firma/Branche hängt, ist es dann klug mit Commodity Aktien für die Pension zu sparen?
    Die Studie über die high-commodity dependence countries hat mir daher sehr bei der Struktur meiner Pensionsvorsorge weitergeholfen. Als Österreicherin kann ich bei Commodity aus Diversifizierungsgründen ja sagen, gleichzeitig sollte ich mich bei Tourismus zurückhalten.
    Ich lese immer wieder Studien auf diese Seite und wollte einfach mal DANKE sagen für die viele Arbeit die mit dem Raussuchen und Veröffentlichen verbunden ist.
    Liebe Grüße

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