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Investmentstile

Investmentstile


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About the Book

Diplomarbeit aus dem Jahr 2007 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1,0, Johannes Kepler Universität Linz (Institut für betriebliche Finanzwirtschaft, Abteilung für Asset Management), Sprache: Deutsch, Abstract: Die vorliegende Arbeit befasst sich mit dem Phänomen des "Size-Effekts" als Kapitalmarktanomalie. In diesem Zusammenhang berichtet Rolf Banz im Jahre 1981 erstmals von dem Phänomen, dass Aktien kleinkapitalisierter Unternehmen langfristig und systematisch risikoadjustierte Überrenditen im Vergleich zu Aktiengesellschaften hoher Marktkapitalisierung aufweisen. Banz nennt dies den "Size-Effekt". In Anlehnung an die zahlreichen Studien, welche das Auftreten des Phänomens in den vergangenen 25 Jahren an diversen internationalen Aktienmärkten immer wieder bestätigen konnten, erfolgt im Zuge dieser Studie eine Untersuchung des österreichischen Aktienmarktes hinsichtlich des Auftretens eines Size-Effekts. Dabei kann auf Basis des Sharpe-Lintner Capital Asset Pricing Models, welches als theoretische Grundlage der Untersuchung dient, aufgezeigt werden, dass im Untersuchungszeitraum von Januar 2000 bis Dezember 2006 am österreichischen Kapitalmarkt kein Size-Effekt nachzuweisen ist. In nahezu allen Jahren erzielten dabei Aktien großer Gesellschaften höhere Renditen als jene kleiner Unternehmen. Die Studie kommt darüber hinaus zu dem Resultat, dass Aktien von Unternehmen mittelgroßer Börsenkapitalisierung im Untersuchungszeitraum die bei weitem höchsten Renditen erzielen konnten. Des Weiteren liefert eine Untersuchung des Renditeverhaltens österreichischer Aktien in den einzelnen Kalendermonaten das Ergebnis, dass auch am heimischen Kapitalmarkt ein "Januar-Effekt" in dem Sinne besteht, dass Aktien im Monat Januar im Schnitt signifikant höhere Renditen erzielen, als im zweitbesten Kalendermonat. Ein in der Literatur oftmals erwähnter Zusammenhang, des Januar- und des Size-Effekts kann jedoch nicht beobachtet werden.


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Product Details
  • ISBN-13: 9783638930413
  • Publisher: Grin Publishing
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 9 mm
  • Weight: 254 gr
  • ISBN-10: 3638930416
  • Publisher Date: 11 Apr 2008
  • Height: 210 mm
  • No of Pages: 148
  • Series Title: German
  • Sub Title: Test für den österreichischen Kapitalmarkt - Eine Untersuchung des Firm-Size-Effekts am österreichischen Aktienmarkt
  • Width: 148 mm


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