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Kapitalkostenschätzung auf Basis des Capital Asset Pricing Model (CAPM) nach Sharpe, Lintner und Mossin

Kapitalkostenschätzung auf Basis des Capital Asset Pricing Model (CAPM) nach Sharpe, Lintner und Mossin

          
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About the Book

Bachelorarbeit aus dem Jahr 2010 im Fachbereich BWL - Investition und Finanzierung, Note: 2,7, Universität Leipzig (Finanzierung und Investition), Sprache: Deutsch, Abstract: Mehr als vierzig Jahren sind seit der Veröffentlichung eines der wichtigsten Modelle der Finanzmarktökonomie, nämlich das Capital Asset Pricing Modell (CAPM), vergangen. Ausgehend von seinen Modellannahmen über das Verhalten der Investoren und die Kapitalmarktstruktur gelingt es ihm eine intuitive Erklärung über die erwarteten Renditen risikobehafteter Investitionsanlagen zu liefern. Abgesehen von der Kritik in Bezug auf die Problematik seiner Anwendung, leistet es einen guten Beitrag zur Bestimmung von Kapitalkosten und damit auch zur Bewertung von Investitionen oder Unternehmen. Praktisch verursacht die Anwendung des CAPM kontroverse Diskussionen sowohl in Bezug auf die Annahmen, die weder mit der Realität noch mit dem Marktportefeuille vereinbar sind. Darüber hinaus lassen sich die zukünftigen Werte der erwarteten Renditen nicht einfach berechnen und müssen deshalb auf Basis Vergangenheitsdaten geschätzt werden. Die bisherigen empirischen Studien stützen wenig dieses Modell. Aus diesem Grund werden in der Literatur unterschiedlichen Faktor - Modelle vorgeschlagen, die zur Operationalisierung des CAPM im Rahmen einer praxisorientierten Anwendung beitragen sollen. Das Hauptziel der folgenden Arbeit liegt darin, eine möglichst präzise Erklärung erwarteter Renditen anhand empirischer Untersuchungen zu liefern. Dazu werden als erstes die Grundidee des CAPM und die daraus folgenden Implikationen für Schätzung der Kapitalkosten erläutert. Weiterhin wird die Methode der Kleinsten Quadrate als geeignetes Schätzverfahren zukünftiger Betafaktoren vorgestellt. Es werden die zentralen Annahmen dieser Methode, deren möglichen Verletzungen und die sich daraus ergebende Folgen für das geschätzte Modell näher betrachtet. Anschließend werden zwei praktischen Fallstudien zur Schätzung des Betafaktors durchg


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Product Details
  • ISBN-13: 9783656908746
  • Publisher: Grin Verlag Gmbh
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 2 mm
  • Width: 148 mm
  • ISBN-10: 3656908745
  • Publisher Date: 27 Feb 2015
  • Height: 210 mm
  • No of Pages: 36
  • Series Title: German
  • Weight: 63 gr


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