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Comparing Past and Present Inflation

This paper highlights that the way that housing inflation was measured in the CPI made previous inflationary cycles look more volatile and responsive to Fed policy. […] Our observations imply that the current inflation regime is closer to that of the late 1970s than it may at first appear.

Fazit: Der US-Häusermarkt ist heute ein erhebliches Hindernis für eine rasche Verringerung der Inflation.

 

The End of the Crypto-Diversification Myth

We show that retail investors‘ net trading volumes of stocks and cryptocurrencies are positively correlated. […] We provide suggestive evidence showing that this micro-level pattern emerged in March 2020 and that stocks preferred by crypto-traders exhibit a stronger correlation with Bitcoin, especially when the cross-asset retail volume is high.

Fazit: Die zuletzt hohe Korrelation zwischen dem S&P 500 und Bitcoin kann durch das Trading-Verhalten von Privatanlegern erklärt werden.

 

The Illusion of the Metaverse and Meta-Economy

The meta-economy includes metaverse tokens that cannot be defined as reliable means of exchange due to their explosive behaviour and unstable performance; (ii) the metaverse is characterised by a failed meta-economy in which economic governance drives metaverse commerce; and (iii), as particular case studies, The Sandbox and Decentraland are metaverses with an unsuitable meta-economy.

Fazit: Derzeit ist das Metaverse nichts als eine spekulative digitale Welt.

 

Do Market-Wide Circuit Breakers Calm the Markets or Panic Them?

We show that although Market-Wide Circuit Breakers panic the markets in the first few minutes after the market reopens by inducing heightened volatility and wider spreads, they also boost trading volume, especially for the stocks that were hit hard. Furthermore, we do not find strong empirical support for the magnet effect hypothesis, a major unintended consequences of circuit breakers.

Fazit: Circuit Breaker tragen dazu bei, die Märkte zu stabilisieren.

 

Self-Declared Benchmarks and Fund Manager Intent: Cheating or Competing?

Investor learning, institutional investor governance and product market competition are associated with decreases in mismatched benchmarks. […] At the same time, we find that in spite of these forces, funds with entrenched managers are still more likely to employ a mismatched benchmark.

Fazit: Die meisten Fonds korrigieren unangemessene Benchmarks mit der Zeit.

 

Forbearance in Institutional Investment Management: Evidence from Survey Data

68%, 65%, and 42% of respondents report average holding periods of longer than 5 years for public equity, fixed income and hedge funds. […] There is also surprising tolerance for underperformance: 66%, 56%, and 50% of respondents report a willingness to tolerate underperformance for 3 years or longer.

Fazit: Institutionelle Anleger sind ziemlich geduldig, vor allem in den USA.

 

Global Profit Shifting of Multinational Companies: Evidence from CbCR Micro Data

The companies in our sample report 7% (30%) of their global profits in countries with effective average tax rates below 5% (15%), but only 0.4% (10%) of their employees and 3% (20%) of their tangible assets are located there. We find that globally, these firms reduce their tax burden by EUR 53 billion (15% of their overall tax payments) by shifting profits to low tax countries. […] Globally, 60% of profit shifting is carried out by the 10% largest multinational firms.

Fazit: Eine globale Mindeststeuer für große multinationale Unternehmen trifft die Richtigen.

 

Confidence without Competence: Online Financial Search and Consumer Financial Decision-Making

Using Google to access financial information elevates financial confidence and increases financial risk-taking, even when it does not improve relevant financial knowledge or performance. […] Increased reliance on the Internet for financial information is associated with increased willingness to take financial risk.

Fazit: Der Google-Effekt stärkt das Selbstvertrauen, aber verbessert nicht unbedingt die Kompetenz.

 

Investor ESG Tastes and Asset Pricing: Evidence from the Primary Bond Market

Green bonds are significantly more oversubscribed than their conventional counterparts offered by the same issuer. […] The resulting offering spread of green bonds is lower than their conventional counterparts (greenium). After controlling for investor demand, the offering spread of green bonds no longer statistically differs from conventional bonds.

Fazit: Das Greenium ist hauptsächlich auf die höhere Nachfrage nach grünen Anleihen zurückzuführen.

 

Night Moves: Is the Overnight Drift the Grandmother of All Market Anomalies?

The hypothesis of retail trading likely goes a long way toward explaining the phenomenon at both the level of the overall stock market, and that of individual stocks. There is likely some additional interplay with other market participants, along with balance sheet, risk and funding charges that also account for some of the observed effect.

Fazit: Die Aktivitäten von Privatanlegern können den Übernachteffekt weitgehend erklären.

 

Countercyclical Debt Repurchases: Why Do Firms Buy Back Their Debt?

Our model indicates that equity holders strategically choose how much debt to buy back. The buybacks then improve the firm’s credit rating. […] The buybacks can reduce firms’ credit spread, by 10 to 15 basis points for Investment Grade A firms, and by 20 to 60 basis points for Speculative Grade BB firms.

Fazit: Der Rückkauf ausstehender Anleihen zu niedrigen Preisen bewirkt einen Werttransfer von Anleihegläubigern zu Aktionären.

 

Market Return Around the Clock: A Puzzle

We study how the excess market return depends on the time of the day using E-mini S&P 500 futures actively traded for almost 24 hours. Strikingly, four hours around European open account for the entire average market return. […] The EU-open puzzle is difficult to explain, but resolution of information uncertainty is the most promising explanation.

Fazit: Positive Aktienmarktrenditen entstehen in vier Stunden um die Eröffnung der europäischen Börsen.

 

Can the Past Hinder Investor Learning?

We find that portfolio decisions made near the account opening and in the most recent period significantly influence investors‘ future choices. Reliance on these past decisions leads to a 3.16% reduction in performance during the months when investors trade.

Fazit: Privatanleger werden zu stark von ihren früheren Entscheidungen beeinflusst und lernen kaum dazu.

 

Leveraging Overconfidence

Margin investors trade more, speculate more, and have worse security selection ability than cash investors. A long-short portfolio that follows the trades of margin investors loses 35 bps per day. […] Our evidence indicates that overconfidence – not better information – is a primary motivation for retail investors to trade, to their detriment, on margin.

Fazit: Overconfidence und Hebeleinsatz sind eine gefährliche Kombination.

 

Short-term Momentum

While the previous month’s low-turnover stocks exhibit a strong short-term reversal effect, the previous month’s high-turnover stocks exhibit an almost equally strong continuation effect. This finding is not limited to the United States but extends to 22 international developed markets. […] In addition, short-term momentum exhibits far less crash risk than does conventional momentum.

Fazit: Kurzfristiges Momentum ist profitabel und vor allem bei liquiden Large Caps ausgeprägt.

 

Carry Momentum

Assets whose carry is trending up, namely, assets with high carry momentum, tend to have higher returns than those with low carry momentum. […] An increase in carry raises investors’ belief in the attractiveness of an asset, leading to the possibility for higher demand in the market and in turn to the potential for higher prices and positive returns.

Fazit: Assets mit hohem Carry-Momentum weisen tendenziell höhere Renditen auf.