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The European liquidity gap is widened by European stocks having lower free float, lower ownership by retail investors, and lower exchange competition than their US peers, and by the fact that the European exchange groups are smaller than the NYSE and Nasdaq. […] The European liquidity gap is not uniform: it is concentrated among smaller firms and varies significantly across countries and over time. […] Large-cap European stocks are on par with or even more liquid than their US counterparts.
Fazit: Europäische Small Caps sind nach wie vor recht illiquide.
Unwanted Attention? Negativity Bias in Mutual Fund Awards
We identify a sample of fund managers who won the Morningstar FMOY award in the domestic stock and fixed income categories and the accompanying fund managers who were nominated as finalists but did not win. Despite our results showing that past performance has already been considered when shortlisting nominees for the award, we find that non-recipient funds suffer negative fund flows after the announcement of the award. This finding only holds for equity rather than fixed income funds.
Fazit: Privatanleger bewerten Top-Platzierungen hinter den Gewinnern zu negativ.
Using data from the German financial supervisor (BaFin), we find no consistent evidence of systematic stock market responses or adverse changes in firm financials upon the public disclosure of supervisory sanctions for banks and securities markets. […] We also document a high frequency of repeat offenders and comparatively low levels of sanctions, indicating that reputational penalties may have limited deterrence effects.
Fazit: Disziplinierende Maßnahmen der BaFin sind eher symbolischer Natur.
Scale Economies in Liquidity Provision: Evidence from Designated Market Makers
Earlier studies typically examine DMM programs in already liquid markets, where improvements arise mainly from competition or information effects. In contrast, our setting features low baseline trading activity, where operating costs dominate and scale economies are essential. […] A DMM’s tighter quoting obligation initiates a feedback loop: narrower spreads attract higher trading activity, which in turn allows liquidity providers to recover costs over a larger base of transactions, reducing spreads beyond the the DMM’s obligation.
Fazit: Liquidität wirkt selbstverstärkend.
Flipping the Arbitrage: How Option Prices Imply Negative Interest Rates
For the S&P 500, we estimate that this pricing costs investors a recent average of over $10 billion a year, which amounts to about $37 a contract over the last five years. […] The findings are due to two factors, very wide-bid ask spreads about two-thirds of the time and bid-ask midpoints that are set extremely high about one-third of the time. […] Correcting the problem would require an average shrinkage of the bid-ask spread by about 75%, as well as midpoints that are reduced.
Fazit: Optionen haben zu weite Spreads und/oder sind zu teuer.
Bottom-Up Capacity Constraints and the Limits of Anomaly Profitability
Stock-level capacity limits constitute the primary trading constraints limiting the profitability of anomaly-based strategies. […] Once these constraints are considered, the Sharpe ratios of anomaly and return-prediction models decline substantially, and the tradable volume of most single-anomaly strategies is severely restricted. […] Strong predictive performance is concentrated in illiquid small-cap stocks, where trading capacity is limited and the implementable scale is low.
Fazit: Theorie und Praxis liegen bei Kapitalmarktanomalien weit auseinander.
From Numbers to Words: Breaking Down Institutional Beliefs
We study how large asset managers form and justify long-horizon beliefs by combining the quantitative and narrative content of their Capital Market Assumptions (CMAs). […] Return expectations are countercyclical mainly because valuation changes are negatively related to valuation ratios, while growth expectations are procyclical. […] Differences in (…) narrative structures explain variation in return forecasts, belief changes, and systematic forecast errors relative to objective benchmarks.
Fazit: Die Erwartungen institutioneller Anleger weichen systematisch voneinander ab.