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I use detailed portfolio data and granular fixed effects to confirm the causal relationship between unrealized loss and insurer elasticity to liquidity shocks. […] Due to the favorable treatment of unrealized loss under held-to-maturity accounting, insurers are disincentivized to respond to trading gains that would simultaneously incur the losses of regulatory capital. […] Banks also hold a significant portion of their securities holdings under held-to-maturity accounting, which increase the relevance of this channel for the aggregate market.
Fazit: Buchverluste sind ein wichtiger Einflussfaktor für die Markteleastizität.
The Real Cost of Retail Trading
We find strong evidence that firms exploit meme events to raise capital. Firms with credit ratings are significantly more likely to issue debt in the months immediately following a meme event, while firms without credit ratings are significantly more likely to issue equity. […] But we see little evidence that these firms deploy the capital they raise to increase their investment, nor do we find that these firms perform better going forward.
Fazit: Meme-Events führen zu einer Fehlallokation von Kapital.
Closing the Stock Market: Why Keep Investors from Trading?
There is a long history of governments closing stock exchanges to avoid panic and declines in share prices when some event causes a high degree of uncertainty in financial markets. […] Exchanges were closed primarily due to war, revolution and financial crises. […] Officials feared that excess volatility could lead to excessive declines in stock and bond prices imposing losses on investors and market makers. However, the closure of stock exchanges hurt investors since it reduced liquidity and shifted trading to over-the-counter markets.
Fazit: Elektronisches Trading macht es heute unwahrscheinlich, das die Börsen für längere Zeit schließen.
The Hidden Costs of Networking and How it Affects Mutual Fund Managers
Better-connected managers deliver poorer performance and add less value. […] Connected managers also appear to exert less effort in their portfolio decisions, as evidenced by their funds‘ lower deviations from their peers in sector and style exposures, lower tracking error, and lower active share. I also uncover some evidence that within-firm connectedness can lead to a misallocation of capital in the mutual fund industry. […] Well-connected managers‘ assets under management surpass their optimal capacity level, while the worst-connected managers tend to manage insufficient assets.
Fazit: Gut vernetzte Fondsmanager performen schlechter.
Box Jumping: Portfolio Recompositions to Achieve Higher Morningstar Ratings
Funds strategically modify their portfolios to prompt a reclassification into different size/value style boxes that are less competitive, and in which their performance record will rank them higher – resulting in a ratings upgrade. […] However, the trades made in order to prompt the re-classification result in future underperformance, and the funds more broadly underperform in the future in their new non-native style box.
Fazit: Manche Fonds passen ihre Portfolios bewusst so an, dass sie in eine bessere Morningstar-Box fallen.
Is Smaller Better? Examining the Decrease in Trade Sizes in Financial Markets
Financial markets have undergone drastic transformations over our sample period of 2016-2022. In particular the average trade size has declined from 125 shares to about 40 shares. In conjunction with this, the use of odd lots has risen from 30% to almost toppling 80%. […] These small trades do appear to carry more than their own weight with price formation, with 92% of all price contribution coming from trades of 100 shares or less in the last year of our sample period. The one share trade is especially efficient at driving changes in prices. It contributes to almost 10% of all price formation despite being only 0.07% of the total market volume.
Fazit: Die kleinsten Trades haben den größten relativen Anteil an der Preisfindung.
You Can Only Lend What you Own: Inferring Daily Institutional Trading from Security Lending Supply
Institutions are only required to disclose their equity positions quarterly (via 13-F filings) and may seek to obscure their holdings to minimize transaction costs and maximize the value of their information. […] Changes in the total amount of equity holdings that institutions make available for lending proxies changes in institutional ownership. […] Lendable shares change at daily frequency, allowing us to track daily institutional trading.
Fazit: Institutionelles Trading lässt sich zeitnah anhand der zur Aktienleihe verfügbaren Bestände messen.