Neue Studien – September 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).


Return Seasonality in Commodity Futures

Return seasonality in the commodities markets can be explained by the cyclic nature of production. […] Corn, Kansas wheat, soybeans, soymeal, wheat, feeder cattle, lean hogs, sugar, and silver all show significant half-month effects from 1970 to 1989. This effect, however, has almost completely disappeared over the recent 20 years. Similar results are observed for the monthly effect.

Fazit: Saisonale Effekte sind bei vielen Rohstoffen fast verschwunden.


Fund Flows and Income Risk of Fund Managers

Contrary to their self-disclosures, funds‘ AUMs are the primary driver of their managers‘ compensation, with both fund flows and performance influencing compensation. […] Importantly, fund flows, as opposed to fund performance, exert a strong impact on the career outcomes of fund managers, especially concerning their downside career risk.

Fazit: Möglichst hohe Assets und Zuflüsse sind für die Karriere von Fondsmanagern wichtiger als Performance.


A Market Maker of Two Markets: The Role of Options in ETF Arbitrage

We examine the minute-by-minute liquidity and trading behavior in both the ETF and options markets. During those informational moments, we find that market makers arbitrage the differences between ETF price and the underlying basket by using options and adjusting the bid-ask and volatility spreads to attract trading against these arbitrage opportunities.

Fazit: Wer im Arbitrage-Geschäft nicht „bis an die Zähne bewaffnet“ ist, hat keine Chance.


Did Retail Traders Take Over Wall Street? A Tick-by-Tick Analysis of GameStop’s Price Surge

In contrast to previous studies, we use tick-by-tick data of stock and options trading to demonstrate that this remarkable surge came mainly from overnight trading, driven mainly by institutional orders rather than those from retail investors.

Fazit: Der größte Teil des Kursanstiegs ging auf institutionelle Anleger zurück.


Does the Commitment to Responsible Investing Alter Investment Activities?

The increasing visit frequency after committing to UNPRI is concentrated on nearby firms, reflecting the costly nature of private collection of ESG-related information. These costly efforts do not generate valuable investment signals as stock purchases following ESG-related visits do not generate superior returns, unlike their other visits. However, […] institutional investors allocate more funds to signatories that expand ESG-related visit activities.

Fazit: Commitment für verantwortunsgbewusstes Investieren bringt keine bessere Performance, aber Mittelzuflüsse.


Heads I Win, Tails It’s Chance: Mutual Fund Performance Self-Attribution

Mutual fund managers exhibit significant self-attribution bias. They are 40.6% more likely to attribute performance contributors to internal factors than they are to attribute performance detractors to internal factors.

Fazit: Auch Fondsmanager sind nur Menschen und unterliegen Verhaltenseffekten.

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