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Narrative-mimicking portfolios of recently rising narrative intensities outperform those of declining intensities by about 8% annually, controlling for standard risk factors. Neither stock nor factor price momentum explains narrative momentum, which is stronger for slowly trending narratives. Furthermore, analysts tend to underreact to narrative-sensitive stocks.
Fazit: Anleger unterschätzen die Macht der Narrative.
Transmission Bias in Financial News
Financial news is distorted as it spreads across different news outlets, akin to the „telephone game“. […] We find strong evidence that retelling articles tend to be more opinionated, negative, and less factual and appealing compared to the original story.
Fazit: Finanznachrichten verbreiten sich wie im Spiel „Stille Post“.
Which U.S. Stocks Generated the Highest Long-Term Returns?
Seventeen stocks delivered cumulative returns greater than five million percent, with the highest cumulative return of 265 million percent (or $2.65 million per dollar initially invested) accruing to long-term investors in Altria Group. Annualized compound returns to these top performers were relatively modest, averaging 13.47% across the top seventeen stocks, thereby affirming the importance of „time in the market.“
Fazit: Neue beeindruckende Zahlen von Professor Bessembinder.
Gambling Away Stability: Sports Betting’s Impact on Vulnerable Households
We find sharp increases in sports betting following legalization. This increase does not displace other gambling activity or consumption but significantly reduces households‘ savings allocations, as negative expected value risky bets crowd out positive expected value investments. These effects concentrate among financially constrained households.
Fazit: Sportwetten verringern renditebringende Investments.
Employee Satisfaction and Stock Returns: Evidence from Germany, Austria, and Switzerland
This study examines the association between employee satisfaction and stock performance in Germany, Austria, and Switzerland. […] Firms with high levels of employee satisfaction exhibit significant outperformance in stock returns compared to those with low employee satisfaction levels. High employee satisfaction is associated with annualized abnormal returns ranging from 4.25% to 13.10%
Fazit: Zufriedene Mitarbeiter, zufriedene Anleger.
How is Credit Risk Priced in the German Market for Structured Products?
Structured retail products are unsecured bonds subject to the bankruptcy risk of the issuer. […] Credit risk is priced to some extent, but it is not priced correctly by any issuer. […] The lack of pricing skills, together with lack of attention, is exploited by most banks. Inappropriate pricing is equivalent to higher margins.
Fazit: Im Mittel werden Anleger nur für ein Drittel des Kreditrisikos entschädigt.
MiFID II Research Unbundling: Cross-border Impact on Asset Managers
MiFID II requires EU-based asset managers to separate payments for research from execution costs in trading commissions. Under this unbundling rule, asset managers must either charge research costs explicitly to investors or absorb these costs internally. […] We focus on an alternative channel for bundling research payments available to some, but not all, EU funds: their US twins. We find evidence that for EU funds with twins, their US counterparts increase their total commission spending and their commission rate. […] This incremental increase in commission spending constitutes an effective cross-border subsidization.
Fazit: An den globalen Finanzmärkten müssen Regulierungen international koordiniert werden.
This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news. […] We find that most relevant news, both idiosyncratic and systematic, lead quickly to price jumps, as market efficiency suggests they should. However, in the reverse direction, the vast majority of price jumps do not have identifiable public news that can explain them, in a departure from the ideal of a fair, orderly and efficient market.
Fazit: Es gibt erstaunlich viele Intraday-Kurssprünge ohne relevante Nachrichten.