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Stock-Bond Correlation: Theory & Empirical Results

If we compare the period 1980-1999 (positive stock-bond correlation) with the period 2000-2019 (negative stock-bond correlation), the nominal performance of a diversified stock-bond portfolio is better in the first period than in the second. […] In fact, we know that the expected return of portfolios does not depend on correlation. […] Buy-and-hold investors care little about the level and sign of stock-bond correlation.

Fazit: Es geht nicht um die Performance, sondern um das Risiko.

The 52-Week High and M&A Deals: International Evidence

Offer premia increase (decrease) for targets trading far from (close to) their 52-week high. […] The likelihood to accept an offer jumps by 10.55 percentage points in international markets when the offer exceeds the target’s 52-week high.

Fazit: Bei Fusionen und Übernahmen dienen frühere Hochs als Referenzpunkte in der Preisbildung.

The 52-Week High, Downside Risk, and Corporate Bond Returns

The 52-week high stock anomaly has substantial predictive power for the cross-section of corporate bond returns. […] A long-short bond strategy that trades on the 52-week high earns an alpha of 48 bps per month after controlling for typical bond risk factors (38 bps among investment grade firms, 65 bps among junk grade firms).

Fazit: Anomalien bei Aktien lassen sich auch bei den entsprechenden Anleihen nutzen.

Demand-Side and Supply-Side Constraints in the Market for Financial Advice

While households with low levels of financial literacy are more likely to benefit from advice – potentially including conflicted advice – they are also the least likely to detect misconduct, and perhaps the least likely to understand the value of paying for advice. Regulators should consider not only how regulation changes the quality of advice, but also the fraction of households who are able to receive it and how different groups would have invested without any advice.

Fazit: In der Finanzberatung zählt nicht nur Qualität, sondern auch Quantität.

Do Structured Products Improve Portfolio Performance? A Backtesting Exercise

We show that including structured products in the 60/40 portfolio results in a lower return and lower risk-adjusted performances regardless of what type of structured product is considered. […] The opportunity cost is negative for all structured products and for reasonable levels of risk-aversion.

Fazit: Strukturierte Produkte wirken sich in 60/40-Portfolios nachteilig aus.

Andererseits: Who Should Buy Structured Investment Products and Why?

Investors, particularly those less risk-averse, benefit from products allowing to harvest the variance risk premium, especially when this is estimated to be large or when the initial volatility level is large. It is not implausible that some types of structured investment products may lead to an increase in risk-adjusted returns in excess of the typically large fees and trading costs of this asset class.

Fazit: Der Nutzen von Zertifikaten variiert stark je nach Struktur, Anlagehorizont und Risikoempfinden.

Striking Out: Biases and Losses of Retail Option Traders

The decision-making processes of retail traders are more biased in derivatives than in stocks. We provide novel evidence of investors using the strike price of an option as an objective and instrument-specific reference point that shapes their selling decisions.

Fazit: Die Biases von Privatanlegern wirken sich negativ auf ihre Performance im Optionshandel aus.

Financial Statement Analysis with Large Language Models

GPT’s analysis yields useful insights about the company, which enable the model to outperform professional human analysts in predicting the direction of future earnings. We also document that GPT and human analysts are complementary, rather than substitutes.

Fazit: Große Sprachmodelle düften in Zukunft ein wichtiges Tool sein, mit dem Analysten arbeiten.

Rising Market Power and its Political Discontents

The past decades have witnessed a sharp increase in the concentration of power in the hands of dominant firms. […] [There is] a robust link between the rise of market power and the economic hardship experienced by micro-firms in Europe. […] [There is] a strong effect of growing market concentration on political behavior and attitudes of voters who are economically dependent on the success of small local businesses.

Fazit: Eine gute Erklärung, warum viele Kleinunternehmer in Europa und den USA „gegen das System“ sind.