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During the run-up phase, analysts remain highly optimistic about long-term earnings growth and near-term returns, short interest remains low, and media coverage increases without signaling concerns about overvaluation. Even after a crash begins, there is little indication in the media or among analysts that these stocks were perceived as bubbles. […] The evidence points to bubbles sustained by shared optimism rather than sharp disagreement.
Fazit: Es ist sehr schwierig, Blasen in Echtzeit zu erkennen.
On average – remarkably – retirees fail to spend down any principal at all, instead eventually dying with the bulk of savings more or less untouched, effectively by accident. […] Annuities should not be thought of as an alternative method of „investing“ lump-sum wealth (…) but rather as a way of managing more intentionally the unknowable length of the spend-down period. […] Advisers and writers persistently misunderstand the problem of spending down retirement savings held in lump-sum form (as opposed to life-annuity form).
Fazit: Investieren fällt vielen leichter als das Geld später tatsächlich auszugeben.
Inefficiencies in the Securities Lending Market
Financial markets have generally become more efficient through technological advances and increased competition. The securities lending market represents a notable exception to this trend. […] Borrow costs have increased dramatically. […] We estimate that, since 2020, the cost has averaged about $300 million per day. […] Even passive index funds have begun systematically underweighting high-fee stocks relative to market weights. This behavior (…) reduces the supply of lendable shares precisely when demand from short sellers is highest.
Fazit: Intermediäre erzielen bei der Aktienleihe saftige Margen.
Mean-Variance Strikes Back: Reassessing the 1/N Diversification Superiority
One of the most influential claims in portfolio choice (is) that naive equal weighting systematically outperforms mean-variance optimization out of sample. […] In the majority of cases, mean-variance portfolios deliver higher Sharpe ratios than equal weighting, with many differences both economically large and statistically significant. […] These findings overturn the prevailing view that 1/N is inherently superior.
Fazit: Fest steht, das gleichgewichtete Portfolios ohnehin nicht beliebig skalierbar sind.
Market Structure, Trading Frictions, and the Profitability of Market Making in Index Options
The intermediate market in index options (…) is an oligopoly of market makers (MM). We focus on 2011-2022 SPX and SPXW data. […] MMs would have realized very high profits over the period, with only a few negative returns. Similar results, based on stronger assumptions, also hold for the 1997-2011 SPX options. We conclude that existing studies have significantly understated the profitability of the MM traders.
Fazit: Market Maker schöpfen bei Indexoptionen permanent Gewinne ab (und nicht nur dort).
The Impact of U.S. Stock Buybacks: Theory vs Practice
It is likely that buybacks increase equity prices by 3% – 5% pa, create distortions and frictions for index funds and direct investors, amplify stock market cyclicality, and erode U.S. tax revenues, benefiting both domestic taxable investors and foreign shareholders at the US Treasury’s expense. Buybacks are not a neutral corporate finance choice but a force shaping market dynamics, investor welfare, and fiscal policy.
Fazit: Aktienrückkäufe könnten ein unterschätzter Treiber des US-Marktes sein.
Momentum Factor Investing: Evidence and Evolution
Stock momentum has firmly established itself as a foundational factor in equity markets, supported by robust and consistent empirical evidence across extensive time frames (spanning up to 159 years of data), diverse portfolio designs (including over 4,000 different specifications), and global stock markets (from smaller emerging economies to larger developed markets). What began as a simple price-based strategy has evolved into a multi-dimensional phenomenon.
Fazit: Gute Überblicksstudie zu Momentum.
Historical analysis suggests that the expected returns on gold are low given the current valuation. Yet gold has been a very reliable hedge against equity drawdowns. […] Gold might qualify as a Tier 1 High Quality Liquid Asset under Basel III. […] The second potential demand shock is related to de-dollarization. […] Most investors have little if any exposure to gold at a time when many anticipate a new currency regime.
Fazit: Ein bisschen Gold im Portfolio dürfte nicht schaden.