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What’s Next for Crypto?

As bad actors get washed out, the industry is pushed to find technical solutions that restore public trust and deliver better performance. At the same time, key jurisdictions around the world are deploying regulation that will make the sector more orderly.

Fazit: „Alles wird gut“ in Kryptoland(?)

 

Insider Trading in Cryptocurrency Markets

Using hand collected data on cryptocurrency listing announcements from September 2018 until May 2022, we find abnormal return run-ups prior to the official exchange listing announcements similar to prosecuted cases of insider trading in stock markets. […] We estimate that insider trading occurs ahead of 10-25% of cryptocurrency listings.

Fazit: Der Kryptomarkt ist nach wie vor ein Minenfeld.

 

Anatomy of a Stablecoin’s Failure: The Terra-Luna Case

We review the Terra project’s main features and describe the mechanisms that led to its failure. […] Using hourly prices for 61 cryptocurrencies and transaction data for BTC, LUNA and UST from Kraken digital currency exchange, we quantitatively characterize the trigger events of the crash.

Fazit: Interessante Aufarbeitung der Details zum bisher größten „Krypto-Unfall“.

 

The Term Structure of Interest Rates as Predictor of Stock Market Volatility

We find that the volatility of the slope of the term structure of interest rates has significant forecasting power on stock market volatility for forecasting horizon ranging from one up to twelve months. […] The main channel through which the yield curve volatility affects the stock market is not only related with uncertainty about monetary policy actions or policy rates, but also with uncertainty regarding the future cash flows and dividend payments of US equities.

Fazit: Nicht nur der Verlauf, sondern auch die Volatilität der Zinsstrukturkurve ist relevant für den Aktienmarkt.

 

One for the Money, Two for the Show? The Number of Designated Market Makers and Liquidity

Many exchanges have introduced designated market makers (DMMs) to improve liquidity for small caps. […] Our results suggest that competition between DMMs improves liquidity, and that it can be advantageous for a firm to hire more than one DMM.

Fazit: Mehrere Market Maker führen zu besserer Liquidität.

 

Luck or Skill: What Drives Hedge Fund Performance Persistence?

Up to 80% of hedge funds appear to be lucky performers. […] These funds are unlikely to experience significant outperformance in the future. […] After the 2008 crisis, the proportion of genuinely persistent funds got significantly reduced.

Fazit: Hedgefonds sind eher Mythos als zuverlässige Performer.

 

Non-Standard Errors in Asset Pricing: Mind Your Sorts

We establish substantial variation in the design choices made by researchers when constructing asset pricing factors. By purposely data mining over two thousand different versions of each factor, we find that Sharpe ratios exhibit substantial variation within a factor due to different construction choices.

Fazit: Je nachdem, wie ein Faktor im Detail erstellt wird, können die Ergebnisse stark variieren.

 

The Peer Effect of Punishment of Firm Executives

Using a sample of 2590 Chinese listed firms, this paper finds that punishing managers decreases peer firms‘ misconduct. […] Punishment imposes more prominent inhibiting effect on peer state-owned enterprises, which are relatively insulated from traditional governance mechanisms.

Fazit: Strafen für Fehlverhalten wirken in China abschreckend.

 

The Greater the Volume, the Greater the Analyst

Using hand-collected annual income data from tax records in Sweden, I show that analysts‘ compensations increase in the trading turnover that their recommendations generate. Analysts are paid 0.002 % of broker-trading volume, or approximately 1 % of broker’s commission revenues.

Fazit: Das bestätigt den Interessenskonflikt von Sell-Side-Analysten (unabhängiges Research vs. Generierung von Umsätzen).

 

Return Extrapolation and Day/Night Effects

Traders with extrapolative beliefs may have a tendency to trade in the morning, driving up prices at the start of the day when past returns are positive. Negative past returns have relatively little effect, as the result of short selling constraints, producing unconditionally high opening prices. […] One may view routinely inflated opening prices as a sequence of „mini bubbles“.

Fazit: Ein weiterer Erklärungsansatz für die Overnight-Anomalie.

 

When Do Systematic Strategies Decay?

We confirm that published anomalies tend to deliver about 50% of the in-sample performance when evaluated outside of the sample. […] Such decay may arise for (at least) two different reasons: arbitrage or overfitting. […] The balance of evidence is in favor of the overfitting story.

Fazit: Overfitting ist das größere Problem für systematische Strategien.

 

Why NOT to Invest in ESG Funds?

We recommend that investors with an interest in social goals do not invest in ESG funds, because these funds are misaligned with the principles of ESG and, furthermore, investing in ESG funds diverts capital away from companies with the highest potential for positive change through ESG practices.

Fazit: ESG-Fonds tragen nicht wirklich zu mehr Nachhaltigkeit bei.

 

Thirty Years of Academic Finance

Over the last 30 years, the total number of articles published yearly has increased from 571 (by 19 outlets) to 3,617 (by 31 outlets). […] The average number of authors per article has increased from 1.81 to 2.71. […] The percentage of articles with at least one female author has increased significantly from 15% to 45%.

Fazit: Es gibt heute mehr Studien als je zuvor.