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Financial professionals are not well-calibrated when estimating confidence intervals for future stock market returns. […] They expand the confidence intervals after a miss and contract them after a hit. […] Forecasters as a group reach an equilibrium at much too narrow confidence intervals and hit rates close to 40%.
Fazit: Finanzmarktprognosen liegen häufig daneben, weil sie zu genau sind.
The Statistical Limit of Arbitrage
Arbitrageurs learn about alphas from historical data. When alphas are weak and rare, estimation errors hinder arbitrageurs – even those employing optimal machine learning techniques – from fully exploiting all true pricing errors. This statistical limit to arbitrage widens the equilibrium bounds of alphas beyond what traditional arbitrage pricing theory predicts.
Fazit: Theoretisch ist Arbitrage einfach, praktisch dagegen keineswegs.
A Unified Framework for Value and Momentum
The model implies that expected returns can be estimated via valuation ratios adjusted for expected future cash flow growth, where we find that momentum is a reasonable proxy for earnings growth in stocks which provides a novel interpretation of the momentum factor.
Fazit: Momentum weist auf künftiges Ertragswachstum hin.
Some Anonymous Options Trades Are More Equal than Others
Retail option trades are required to be executed on exchanges where they are anonymous and should be treated equally. Yet, surprisingly, we find a large dispersion in their execution quality across retail brokers. […] In terms of round-trip execution costs relative to notional, average costs across brokers range from around zero to 7%. […] We only placed option market orders; other orders such as limit orders may be treated differently.
Fazit: Man sollte bei Optionen keine Market Orders platzieren.
On the Nature of Size Effect: Biased Beliefs Behind Bad News Drift
We find that the previously documented variability of the size effect can be primarily attributed to the impact of post-bad-news drift in response to time-varying new information. […] Overreaction to past poor performance and underreaction to prospective outperformance of small firms are the primary reasons for the undervaluation of small stocks. […] Our study is the first to […] reveal mispricing as the primary cause of the size effect.
Fazit: Der Size-Effekt scheint stärker zu sein als bisher vermutet.
Rethinking the Stock Market Participation Puzzle: A Qualitative Approach
Many noninvestors have a basic understanding of equity markets, the equity premium, and diversification. However, they often fail to recognize that in informationally efficient markets – where prices reflect all known information – screening and monitoring equity investments are unlikely to significantly impact returns and loss probabilities. […] This misconception of how equity markets work results in a so far underappreciated perception of high entry and participation costs.
Fazit: Viele Menschen glauben, dass es beim Investieren hohe Einstiegshürden gibt.
Understanding the Valuation Gap between State-Owned and Non-State-Owned Enterprises
We study valuation differentials between state-owned-enterprises and non-state-owned-enterprises listed in the Chinese A-share market over the past 20 years at the portfolio level. […] The phenomenon of SOEs having lower valuations than NSOEs is prevalent in most industries. […] Our work provides evidence in favor of the applicability of classical valuation theories in the Chinese stock market.
Fazit: Scheinbar sind Bewertungsunterschiede zwischen staatlichen und nicht-staatlichen Firmen keine Anomalien.
The Long-Lasting Effects of Living under Communism on Attitudes towards Financial Markets
Exposure to the anti-capitalist ideology of the communist GDR system leads to persistently lower stock-market participation on average. […] Individuals with repeatedly negative experiences with the communist system adapt much faster to a capitalist system than those with positive memories of living under communism. We also show that wealth accumulation of those who abstain from capital markets is adversely affected.
Fazit: Die Ergebnisse dürften allgemein auf antikapitalistische Ideologien zutreffen.
Simple Market Evidence Predicts Corporate Bankruptcy Better Or As Well Than Complex Models
U.S. publicly-listed stocks sufficiently incorporate available information about catastrophic losses in bankruptcy. […] More complex models using accounting information generate noise around informative market evidence. That is, the complexity offered by existing models of corporate bankruptcy prediction was unnecessarily complex.
Fazit: Einfache Marktdaten können Firmenpleiten genauso gut oder besser vorhersagen.
How to Improve Commodity Momentum Using Intra-Market Correlation
We use the relationship between short-term and long-term correlations as a predictor for when to apply momentum or reversal trading depending on market conditions. […] This ratio between 20-day and 250-day correlation provides a reliable signal identifying when commodities are trending strongly enough for momentum to distinguish between winners and losers.
Fazit: Interessanter Ansatz für bessere Momentum- und Mean-Reversion-Strategien bei Rohstoffen.
Structural increases in market liquidity primarily drive anomaly decay, accounting for approximately 60% of the observed decline. In contrast, publication events and general market changes contribute to a lesser extent. […] Leveraging the 2001 decimalization event as a liquidity shock, we find that liquidity plays a pivotal role in facilitating anomaly decay.
Fazit: Anomalien verschwinden hauptsächlich aufgrund zunehmender Liquidität.