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Embedded Leverage and the Beta Anomaly
Accounting for firm-level leverage fundamentally alters empirical tests of the beta anomaly. […] The negative relationship between abnormal returns and beta disappears once betas are adjusted for leverage. […] The beta anomaly is not an inherent rejection of equilibrium asset pricing rather a result of beta estimates distorted by embedded financial leverage.
Fazit: Das CAPM funktioniert weitaus besser, wenn man die Betas um die Verschuldung bereinigt.
Active ETFs as Attention Assets: Retail Trading Meets Managed Funds
Despite delivering weaker performance than active mutual funds – both before and after fees – active ETFs have grown rapidly in recent years. […] Active ETFs tap into the surge of retail activity and behavioral patterns shaped by attention-driven trading. […] AETF managers benefit from a highly convex flow-performance relationship over short horizons, in which both large gains and large losses can attract attention and inflows. This result creates an incentive for unskilled managers to spike volatility so that they end up on either extreme.
Fazit: Eine gute Erklärung, weshalb aktive ETFs riskanter sind als klassische aktive Fonds.
The Private Equity Illusion: Revisiting Risks, Returns, and Realities
Private equity’s apparent outperformance is largely a result of leverage, valuation smoothing, and selective reporting practices. Once adjusted for these factors, private equity returns converge to public equity benchmarks, while volatility and correlations rise significantly. In particular, the diversification benefits often claimed by private equity are overstated.
Fazit: Private Equity ähnelt Aktienanlagen, ist aber stärker fremdfinanziert und illiquide.
What the London Stock Exchange Can Teach Us About Private Equity: A Closer Look
We find that over the last 5, 10, 15, and 25 years, LPE has outperformed public markets on an unadjusted basis, sometimes by a substantial amount. We only observe substantial underperformance for starting years around the global financial crisis and for the last three years of the sample period.
Fazit: Private Equity polarisiert zunehmend; ich stimme eher den Skeptikern zu.
A New Puzzle Piece for the „Sell in May, and Go Away“ Anomaly: Regulatory Disclosures
By analyzing all regulatory SEC disclosures from 2004 to 2023, including filings from publicly listed companies, insiders, institutional investors, funds, and other market participants, we identify an annually recurring pattern in disclosure volume. This pattern aligns with the Halloween effect periods, with an increase in disclosure volume during the winter (November to April) and a decline during the summer (May to October).
Fazit: Ein weiterer Erklärungsansatz für den Halloween-Effekt