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Researchers cannot take it for granted that an asset’s price always reflects its expected discounted payoff. […] It does not make sense to organize our entire field around the concept of discount rates if we cannot count on investors actually using one. […] Every model should not start with price equals expected discounted payoff.
Fazit: Alle Modelle sind falsch, aber einige sind nützlich.
AI-Powered (Finance) Scholarship
This paper describes a process for automatically generating academic finance papers using large language models. It demonstrates the process‘ efficacy by producing hundreds of complete papers on stock return predictability. […] The different versions include creative names for the signals, contain custom introductions providing different theoretical justifications for the observed predictability patterns, and incorporate citations to existing (and, on occasion, imagined) literature supporting their respective claims.
Fazit: Das Paper zeigt das Potenzial von KI in der Forschung, ist aber auch ein abschreckendes Beispiel für HARKing (Hypothesizing After Results are Known).
The Price Impacts of Informed Investors
We find a class of trader that gains $3 billion in trading on private information but without having an immediate effect on prices. […] The accounts in our sample that behave in a way consistent with private information do not have permanent price impact, whereas the accounts in our sample that have permanent price impact behave in a way consistent with trading on public information. This result is disappointing for price discovery in financial markets.
Fazit: Erstaunlicherweise scheint Price Impact eher ein Indikator für öffentliche als für private Informationen zu sein.
Learning from the Wisdom of Mutual Fund Managers
We define Stock Active Share (SAS) as the degree to which a stock in a benchmark index is actively weighted by mutual funds relative to its index weight. We analyze the risk-return characteristics of portfolios ranked by SAS values, finding that the top quantile portfolio delivers significant monthly risk-adjusted returns, highlighting mutual fund managers‘ capital allocation proficiency.
Fazit: Ein Portfolio von Aktien mit den größten Abweichungen von der Benchmark kann Überrenditen erzielen.
Analysts‘ Forecasting Models and Uncertainty About the Past
We access detailed data from analysts‘ complete forecasting models and identify the dynamics between the demand for information by analysts and the supply of information by firms through formal and informal disclosures. […] One consequence of unmet information demand from analysts is the novel concept of uncertainty about the past. We show that this uncertainty has significant capital market implications.
Fazit: Es gibt auch eine gewisse „Unsicherheit über die Vergangenheit“, da Unternehmen nicht alle Informationen bereitstellen.
Do Factor Strategies Beat the Market? Sometimes Yes. Sometimes No.
In the case of the size effect, the huge wealth advantage piled up 1964-1981 would take a long, long time to be diluted out even in very long-term averages. Likewise, large value outperformed for every single 120-month roll ending within the original Fama-French sample period 1963-1990. The post-2007 malaise in value will have to continue for some time, and deepen further, before that surge over four decades could be meaningfully diluted in the long-term monthly averages.
Fazit: Auf Faktorrenditen ist kein Verlass, sie können über Jahrzehnte enttäuschen.
Beyond the Twilight Zone: The Restructuring and Resurrection of Zombie Firms
Disclosures of business (or operational) restructuring activities are crucial predictors of zombie firms‘ revival and faster exit from zombie status. In contrast, financial restructuring disclosures alone generally have insignificant predictive power. […] Our disclosure-based approach offers a practical framework for identifying and predicting potentially recoverable zombie firms.
Fazit: Zombies können vorrangig durch eine operative Restrukturierung wiederbelebt werden.
Index Rebalancing and Stock Market Composition: Do Index Funds Incur Adverse Selection Costs?
The ownership-ratio rule causes index funds to mechanically rebalance towards stocks that issue relatively more shares and away from stocks that bought back more shares. […] We estimate that the long-short rebalancing portfolio, which represents index funds‘ intensive margin rebalancing trades, has an annual alpha of nearly -4%. This is in contrast to index funds‘ scaling portfolio, which has an annual alpha indistinguishable from zero.
Fazit: Indexfonds leiden unter schlecht getimten relativen Rebalancings.
Re-Adjusted Financial Statement Data: Challenges in Replicating Research
By utilizing Compustat Snapshot products, which preserve point-in-time data, we reveal how ongoing re-adjustments to Compustat data significantly alter key financial figures such as sales and earnings, which can introduce material differences in research findings. The changes in financial statement data due to these adjustments can lead to inconsistent replication of prior studies and introduce biases that affect the relation between financial statement variables and stock returns.
Fazit: Ohne Point-in-Time-Daten lassen sich frühere Forschungsergebnisse kaum replizieren.
The Financial Media and Investor Monitoring
The media caters more to equity investors than to debt investors overall, due to their differential demand for public information. […] The media seems to respond to the demand of institutions more than retail investors, perhaps because a more significant portion of the media’s revenue comes from institutions. […] The financial media covers only a limited subset of firms, and even within the set of covered firms the intensity of coverage varies substantially.
Fazit: Die Berichterstattung über ein Unternehmen hängt von dessen Anlegerbasis ab.
Does Trend-Following Still Work on Stocks?
By analyzing over 75 years of data and more than 66,000 trades, the paper confirms the profitability of trend-following systems, driven by a small number of outsized winners that compensate for more frequent, smaller losses. The strategy’s ability to thrive in various market conditions underscores its robustness, even in the face of evolving market dynamics.
Fazit: Trendfolge bei Aktien funktioniert noch, wenn man die Transaktionskosten minimiert.
Investors often use the yield as a proxy for the expected return of bonds. […] The evidence discussed, based on U.S. 10-year Treasury Notes and Bloomberg bond indices, generally supports the approach of forecasting the return of a bond or bond index using the yield to maturity of the bond or the index. Conventional wisdom seems to have it approximately right.
Fazit: Yield to Maturity ist ein guter Indikator für mittelfristige Anleiherenditen.
Unlike mutual fund shares, ETF shares can be shorted, which enables investors to bet against manager performance. […] We show that active exchange-traded funds (AETFs) exhibit over five times greater flow-performance sensitivity than mutual funds, indicating that AETF managers face harsher penalties for poor performance. Underperforming managers [are] more likely to exit the industry, thereby enhancing overall sector efficiency and allowing more high-performing managers to remain.
Fazit: Das könnte zum rasanten Wachstum aktiver ETFs in den letzten Jahren beigetragen haben.