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Do Index Funds Benefit Investors?
A small investor who shifts wealth from individual stocks and bonds to the Fund reaps an individual benefit, but, by slightly raising the demand for stock, also slightly increases the price of stock. From the small investor’s point of view, the positive effect of diversification is large and the negative effect of the price increase is small – but the price increase is a pecuniary externality that is felt by all investors.
Fazit: Interessantes Modell zur Aktiv-Passiv-Debatte.
The Unintended Consequences of Rebalancing
We present the first evidence of aggregate price effects for U.S. stocks and bonds driven by systematic rebalancing activity. […] On average, these rebalancing pressures lead equity returns to fall by more than 16 bps and bond returns to increase by approximately 4 bps the following day. The opposite effect occurs when bonds outperform stocks. […] Rebalancing pressures largely revert in less than two weeks.
Fazit: Trotz kleiner Nachteile ist Rebalancing insgesamt vorteilhaft.
Decomposing Equity Returns: Earnings Growth vs. Multiple Expansion
Small-cap and low-volatility stocks have delivered solid earnings growth but lagged due to stagnant valuations, while Emerging Markets equities have suffered from weak earnings growth despite rising valuations. For a turnaround, Emerging Markets equities need improved operating performance, especially in China, Korea, and EMEA, while small-cap and low-volatility stocks do not really have a profitability problem but need to regain favor among investors.
Fazit: In den USA könnte es eine Multiple Contraction geben.
The Cross-Section of Subjective Expectations: Understanding Prices and Anomalies
On average, high price ratio stocks have high subjective cash flow expectations which are not met by future realized earnings. […] Earnings surprises predict a sequence of gradual adjustments in subjective cash flow expectations and prices over the next several years. […] The presence of stubborn expectations helps to explain how errors in cash flow expectations can have a large impact on the level of prices, as it becomes riskier for informed traders to bet against these expectations.
Fazit: „Markets can remain irrational longer than you can remain solvent.“ (Gary Shilling)
How the 4% Rule Would Have Failed in the 1960s: Reflections on the Folly of Fixed Rate Withdrawals
The 4% rule never did work outside the laboratory. The search for historical support must always be [fruitless], regardless of reductions in the withdrawal rate to something less than 4%. […] A rate so low as to survive all the historical record thus far (…) will almost certainly starve the client of income they could reasonably have enjoyed in the 99% of cases apart from the worst-case scenario. That is a failure of decumulation planning.
Fazit: Im echten Leben sollten Entnahmeraten flexibel sein.
All-to-All Trading in the U.S. Treasury Market
The adoption of all-to-all trading in the Treasury market could be a potential solution to enhancing market resilience. This approach would enable any market participant to trade directly with any other participant, which could be beneficial during periods of market stress when the capacity of traditional intermediaries may be strained.
Fazit: Das könnte bessere Liquidität in Stressphasen und niedrigere Transaktionskosten ermöglichen.
Issuing Equity in the Face of Bad News
Our findings challenge the notion that bad news alone is enough to halt equity issuances, as some firms still proceed with their plans even after experiencing significant negative returns during the filing period. Our results suggest that idiosyncratic and industry factors play a more significant role in the decision to issue equity than market-wide information. […] Some firms issue equity as a defense against delisting.
Fazit: Manche Kapitalerhöhungen werden auch in schlechten Zeiten durchgezogen.
Reverse Timing of Insider Trading
We examine cumulative abnormal returns (CARs) around insider transactions and find that insiders appear to be „perfect“ timers. […] Instead of placing trades conditional on material nonpublic information, corporate executives may pre-schedule their trades first and time information disclosure later. […] We observe a higher percentage of positive news coverage before insider sell transactions than after and a higher percentage of negative news coverage before insider buy transactions than after.
Fazit: Manager scheinen Zeitpunkt und Inhalt von Veröffentlichungen zu ihren Gunsten zu beeinflussen.
An Alpha in Affordable Housing?
There appear to be limits to arbitrage that plague the low-tier rental market segment. Most landlords display strong local bias and lack the resources to scale up due to financial constraints. The largest institutional landlords who could arbitrage away the returns are held back by reputation concerns and potential diseconomies of scale. Tenants in low-rent properties lack the resources to buy the homes they rent. This equilibrium allows for medium-scale geographically-concentrated investors to earn excess returns, at the expense of low-income tenants.
Fazit: Die günstigsten 10 Prozent der Wohngebäude erzielen viel höhere Renditen als die teuersten 10 Prozent.