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ETFs gradually invest in money market funds (MMFs) when they accumulate dividend receipts and periodically withdraw from MMFs when they distribute dividends. […] Given ETFs‘ discretion to set their dividend distribution schedules, one policy implication that could smooth money market fluctuations would be mandating funds to disburse dividends at a higher frequency.
Fazit: Der Dividendenzyklus von ETFs beinflusst die Flows in bzw. aus Geldmarktfonds und sogar die Renditen von Treasuries.
The indexing gold standard of cap-weighting can be improved upon when index construction uses a company’s fundamentals to choose stocks – and then capweights them. […] Using RACWI, which […] de-links index constituents from the stock’s recent price movement, we can create a superior cap-weighted index fund.
Fazit: Interessante Idee, mit der sich bessere Indizes als Grundlage für ETFs erstellen lassen (könnten).
Tail Risk Hedging: The Search for Cheap Options
Equity options selected by our price-based heuristic have diverse firm characteristics, with less than half of them being SPX constituent stocks. During normal market conditions, their diversified return behavior leads to almost 20% of the OTM put options moving into-the-money, thus compensating for the risk expenditure and mitigating portfolio drag. When market is under distress, the heightened correlation in the market results in more than 65% of these OTM put options moving deep into-the-money, thus providing the necessary tail risk hedge for the SPX holding.
Fazit: Interessanter Ansatz für Tail Hedges, der auch in ruhigen Marktphasen überzeugen könnte
Feedback Trading: The Intra-Day Case of Retail Derivatives
Retail investors consciously respond to intra-day returns of the underlying for up to two hours, showing a strong pattern of negative feedback trading. […] Retail investors who use warrants to feedback trading on intra-day returns are noise traders who earn, on average, negative returns. […] Those that trade small amounts, low-priced warrants and market orders perform worst.
Fazit: Privatanleger betreiben verlustbringendes Intraday Trading mit Hebelzertifikaten.
Betting on Elusive Returns: Retail Trading in Complex Options
Complex option trading is elevated around earnings announcements, with corresponding trading volume from t-2 to t+1 accounting for more than 12% to 28% of total complex options trading volume. […] Retail investors systematically overestimate the realized volatility based on complex option price spreads. […] Retail investors are on average uninformed and are attracted to low priced, high leverage strategies.
Fazit: Kleinanleger machen auch im kurzfristigen Optionshandel oft Verluste.
What Do Mutual Fund Managers‘ Private Portfolios Tell Us About Their Skills?
While some managers invest in their own funds, the majority of managers do not. The managers who do invest in their own funds subsequently perform better.
Fazit: Fondsmanager wissen (im Gegensatz zu ihren Anlegern), ob sie in der Lage sind, outzuperformen.
What Diffuses in Stock Prices? The Role of News and Noise in Global Networks
Investors can differentiate between noise and news and tend to process first market-wide news and afterward firm-specific news. This underreaction to the arrival of news is caused by the investors‘ limited attention to firm-specific news. […] The cross-sectional return difference between firms exposed to negative news from linked firms and those exposed to positive news amounts to approximately 7% per year.
Fazit: Es dauert bis zu drei Monate, bis Anleger firmenspezifische Nachrichten verarbeitet haben.
House Prices and Ultra-Low Interest Rates: Exploring the Non-Linear Nexus
In a low interest rate environment such as the period between 2015 and 2021, non-linearities in the house price response to interest rate changes are important: an increase of real interest rates from ultra-low levels could lead to downward pressure on real house prices three to eight times higher than the literature suggests.
Fazit: Das Abwärtspotenzial bei Hauspreisen könnte größer sein als gedacht.