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More index investing causes stocks to have (i) higher share turnover, (ii) higher short interest, and (iii) higher correlation with index price movements. We also find that more index investing is associated with higher volatility. […] Index investing shifts the composition of investors, which leads to changes in trading behavior and information production, but does not affect the ability of arbitrageurs to impound information into prices.
Fazit: Eine gute Erklärung, weshalb passives Investieren die Markteffizienz nicht beeinträchtigt.
For both the full sample of ETF constituents and the least liquid ETF constituents, an increasing part of the variation in individual stock returns or liquidity is explained by market-wide variations. We present evidence that ETF arbitrage is the transmission mechanism of the comovements. Moreover, we show that the comovements do not appear excessive.
Fazit: Physische ETFs verursachen eine etwas höhere Korrelation der enthaltenen Aktien.
Return generation has a life cycle. […] Managers can and do contribute meaningful sustained alpha when they exercise discipline in their exit timing and avoid the biases that can lead to holding positions too long.
Fazit: Das bestätigt eine frühere Studie, der zufolge institutionellen Anlegern die Verkaufsdiziplin fehlt.
The wealthy’s beliefs about financial markets and the economy are surprisingly similar to those of the average U.S. household, but the wealthy are less driven by discomfort with the market, financial constraints, and labor income considerations. Portfolio equity share is most affected by professional advice, time until retirement, personal experiences, rare disaster risk, and health risk.
Fazit: Vermögende Privatanleger verhalten sich ähnlich wie alle anderen.
Reverting to 3% inflation, which we view as the upper bound for benign sustained inflation, is easy from 4%, hard from 6%, and very hard from 8% or more. Above 8%, reverting to 3% usually takes 6 to 20 years, with a median of over 10 years.
Fazit: Die Inflation ist wahrscheinlich gekommen, um zu bleiben.
Investors often face both economy-wide (macro) and firm-specific (micro) news. […] Surprisingly, we find that the effects of macro news are opposite to the theoretical prediction: macro news is associated with greater incorporation of firm-level news into stock prices. […] This suggests that earnings information released on macro-news days is incorporated into stock prices faster, leading to more efficient stock valuation.
Fazit: An Tagen mit Makro-News werden unternehmensspezifische Nachrichten besser eingepreist.
Overall, 31% of the return variance is from noise, 37% from public firm-specific information, 24% from private firm-specific information, and 8% from market-wide information. Since the mid-1990s, there has been a dramatic decline in noise and an increase in firm-specific information, consistent with increasing market efficiency.
Fazit: Die Markteffizienz hat seit Mitte der 1990er Jahre deutlich zugenommen.
Commodities have positive returns during inflation surges but there is considerable variation within the commodity complex. Among the dynamic strategies, we find that trend-following provides the most reliable protection during important inflation shocks. Active equity factor strategies also provide some degree of hedging ability.
Fazit: Trendfolge und Faktorinvesting haben in Zeiten hoher Inflation die besten Karten.
An approximate conceptualization of duration can be applied to help investors instill better discipline in their portfolios and build more behaviorally robust portfolios that are more consistent with their financial planning needs. […] In other words, given a certain level of potential principal loss, how long can an investor expect to experience a loss before they are „made whole“?
Fazit: Interessante Idee, die (geschätzte) Duration aller Assets in die Finanzplanung einzubeziehen.