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What is the Value of Retail Order Flow?
Retail market making is vastly profitable, and exhibits a very favourable risk-return trade-off. […] Retail order flow is a low-risk source of income for sophisticated intermediaries because it exposes them to reduced adverse selection and inventory risk.
Fazit: Der Orderflow von Privatanlegern ist eine wertvolle Ressource.
When a Crystal Ball Isn’t Enough to Make You Rich
The poor aggregate showing of our 118 financially-trained participants highlights the importance of educating young, aspiring finance industry professionals in decision-making under uncertainty, and particularly the theory and art of investment-sizing. We hope our Crystal Ball game will be a helpful tool.
Fazit: Selbst mit den Nachrichten von morgen würde man heute keine sicheren Gewinne machen.
Index Disruption: The Promise and Pitfalls of Self-Indexed ETFs
An increasing number of ETF issuers are creating proprietary indices in-house to avoid paying fees to third party index providers. […] Self-indexed ETFs often charge higher fees than their public-index counterparts. […] ETF issuers which offer both self-indexed ETFs and wealth management services are incentivized to promote their own high-cost self-indexed products to clients.
Fazit: Interessenskonflikte verhindern, dass Self-Indexing-ETFs günstiger sind.
Stealthy Shorts: Informed Liquidity Supply
Short sellers, despite being widely recognized as informed investors, are also associated with improved market liquidity. […] Contrary to conventional wisdom, we show that the most informed short sellers are actually liquidity suppliers, not liquidity demanders. […] A result that contradicts much of the existing literature in this area.
Fazit: Informierte Trader stellen strategisch Liquidität bereit.
Inefficiencies of Carbon Trading Markets
Empirical evidence indicates that cap-and-trade systems can achieve a reduction in emissions. Our paper uses asset pricing methods and granular transaction data to uncover significant inefficiencies in the prominent cap-and-trade system which can substantially limit its effectiveness and provide evidence of intense speculative trading by informed participants.
Fazit: Der Emissionshandel ist weit weniger effizient als vermutet.
Over the past decade, the well-known index effect for the S&P 500 has disappeared, with the average addition or deletion experiencing abnormal returns near zero. […] The declining index effect is driven primarily by two factors: in the role of migrations from the S&P MidCap Index, as well as an overall increase in the market’s ability to provide liquidity to index changes. A third factor, increased predictability of index changes, also plays a small role.
Fazit: Der Indexeffekt beim S&P 500 ist verschwunden.
We combine a large sample of 5,028 U.S. buyout, venture capital, and real estate funds from 1987 to 2022 to estimate the alphas of private capital asset classes under realistic simulations. […] Buyout as an asset class has provided a positive and statistically significant Alpha. […] The venture capital alpha was positive but statistically unreliable and the real estate alpha was, if anything, negative.
Fazit: Die risikobereinigte Performance an Private Markets wird hier mit einer realistischen Methode gemessen.
Does understanding the cross-section of stock returns need exotic risk factors, first introduced by Fama and French (1993)? The evidence we presented says no. Rather, the risk premia identified by Fama and French appear to reflect corrections of measurable expectations errors about earnings growth.
Fazit: Die Autoren schlussfolgern, dass man eigentlich gar keine zusätzlichen Risikofaktoren braucht.
The returns to anomaly signals should begin to accrue as soon as anomaly signals are publicly revealed. We examine a simple but important follow-up question: Can an investor trade before information is released? We first show that many anomaly signals are highly predictable. […] On average, an investor who trades on predictable anomalies using the previous quarter’s information generates an additional return of 3% to 4%.
Fazit: Teile der Renditen von Anomalien treten schon vor den eigentlichen Signalen auf.
We create a panel covering most commercial banks from 1865 through 2023 to study the history of failing banks in the United States. Failing banks are characterized by rising asset losses, deteriorating solvency, and an increasing reliance on expensive non-core funding. Commonalities across failing banks imply that failures are highly predictable using simple accounting metrics from publicly available financial statements.
Fazit: Bank Runs sind fast nie Ursache einer Pleite, aber oft Auslöser.