Neue Studien – Oktober 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).


Forward Return Expectations

Forward expectations are excessively countercyclical: in bad times, investors believe that expected returns will be substantially elevated in the future, but these forward expectations are too high relative to investors‘ own subsequent beliefs about short-term returns.

Fazit: Der Markt überschätzt, wie lange schlechte Zeiten andauern, was einen Teil der Übervolatilität erklärt.


Reversing the Trend of Short-Term Reversal

The short-term reversal effect is strongest with short lookback periods and absent for returns around earnings announcements and returns generated overnight. All this suggests that the premium stems from liquidity pressure due to temporary imbalances between supply and demand, and that investors in the strategy contribute to the more efficient functioning of capital markets by acting as liquidity providers.

Fazit: Den kurzfristigen Reversal-Effekt gibt es immer noch, aber man muss ihn herausfiltern.


Endowments in the Casino: Even the Whales Lose at the Alts Table

For more than two decades, so-called alternatives – hedge funds, private-market real estate, venture capital, leveraged buyouts, private energy, infrastructure, and private debt – have been the principal focus of institutional investors. […] But the combination of (1) greater efficiency in those markets and (2) extraordinarily (and persistently) high cost has made wholesale investing in alts a losing proposition. […] We observe that large endowments have recorded greater returns than smaller ones because they take greater risk.

Fazit: Seit der Finanzkrise 2008 waren Alternatives schlecht für die Performance.


A Devil’s Bargain: When Generating Income Undermines Investment Returns

An equity index covered call provides investors with equity risk premium and volatility risk premium. […] Covered calls implemented to deliver higher derivative income should be expected to have (1) lower total returns, (2) higher tax realizations along the path, and (3) a more negatively skewed return profile. […] Selling calls generates yield, but loses money. And the more yield that it generates, the greater the losses.

Fazit: Das Argument, mit gedeckten Calls „Einkommen zu erzielen“, ist trügerisch.


Keeping it Simple: The Disappearance of Premia for Standard Non-Market Factors

Value, size, profitability, short- and long-term reversal, and momentum, all fail to garner a significant premium. […] They represented genuine anomalies that simply got arbitraged away via scale expansion of anomaly-based trading. […] Perhaps, as Dickerson et al argue, we will be back to the CAPM (if anything at all).

Fazit: Am Ende ist wahrscheinlich nur der Marktrisikofaktor relevant; das Thema bleibt aber umstritten.


Lessons from Low Interest Rate Policy: How Did Euro Area Banks Respond?

Low interest rates have reduced the funding margin as well as the overall net interest margin of deposit-dependent banks. At the same time, we hardly find evidence that banks compensate for this by increasing their lending margin. […] Deposit-dependent banks partly offset the negative impact of low rates on their profitability by increasing non-interest income and limiting operating costs.

Fazit: Insgesamt wurde die Kreditvergabe der Banken durch negative Zinsen kaum beeinflusst.


What Beauty Brings? Managers‘ Attractiveness and Fund Performance

Funds run by facial unattractive managers are actually outperforming funds run by attractive managers. […] Good-looking managers attract more fund inflows especially if they have good past performance [and they] have larger chances of promotion. […] Good-looking managers exert less effort to their work and display more overconfident behaviors.

Fazit: Die Daten aus China zeigen, dass gut aussehende Fondsmanager schlechter performen.


Structured Retail Products: Risk-Sharing or Risk-Creation?

We show that in the market of complex structured retail products, financial agents are likely to be creating unbacked risk and selling it to investors. Both sides are getting riskier portfolios with no extra return. This is socially undesirable and occurs in equilibrium because buyers cannot fully understand the complex product.

Fazit: Finger weg von komplexen strukturierten Produkten.


Discretionary Investing by ‚Passive‘ S&P 500 Funds

S&P 500 index funds routinely depart from the underlying index by meaningful amounts, in both percentage and dollar terms. While these departures are largest among smaller funds, they are also present among mega-funds: even among the largest S&P 500 funds, holdings differ from the index by a total of between 1.7% and 7.5% in the fourth quarter of 2022.

Fazit: Die Abweichungen von ETF und Index können erstaunlich groß sein.


Rocking with RAFI: International Evidence

We would go so far as to suggest that RAFI, to this day, remains arguably the best so-called „smart beta“ strategy yet offered, when measured relative to a style-equivalent benchmark. For those who prefer to view it as a value strategy, we find it difficult to imagine any better way for our clients to manage their value allocations.

Fazit: Fundamental gewichtete Indizes sind die besseren Value-Strategien.


Mental Models of the Stock Market

Experts‘ reasoning aligns with standard asset pricing logic and a belief in efficient markets. By contrast, households and financial professionals appear to employ a naive model that directly associates higher future earnings with higher future returns, neglecting the offsetting effect of endogenous price adjustments.

Fazit: Wer nicht mit Gleichgewichtsmodellen vertraut ist, neigt zu naiven Prognosen.


Firms‘ Tweets and Stock Price Discovery

We find that firms‘ use of Twitter reduces investor uncertainty, increases the speed with which stock prices reflect information in quarterly earnings announcements, reduces the post-earnings-announcement drift, and increases firm visibility. […] The positive association between firms‘ tweets and abnormal retail trading volume helps explain this capital market benefit.

Fazit: Tweets von Unternehmen sind für Anleger informativ.


Passive Investing and Market Quality

We show that an increase in passive ETF ownership leads to stronger and more persistent return reversals. […] More passive ownership causes higher bid-ask spreads, more exposure to aggregate liquidity shocks, more idiosyncratic volatility and higher tail risk.

Fazit: Die Zunahme von Indexanlagen verursacht (zumindest kleine) Ineffizienzen.

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