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Saisonale Effekte am Aktienmarkt und deren historische Evidenz als Grundlage für eine Anlagestrategie

Saisonale Effekte am Aktienmarkt und deren historische Evidenz als Grundlage für eine Anlagestrategie

          
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About the Book

Diplomarbeit aus dem Jahr 2008 im Fachbereich BWL - Bank, Börse, Versicherung, Note: 1,00, Johannes Kepler Universität Linz (Institut für betriebliche Finanzwirtschaft - Abteilung für Asset Management), Veranstaltung: Betriebliche Finanzwirtschaft, Sprache: Deutsch, Abstract: "Sell in May and go away" ist eine unter Investoren weit verbreitete Börsenweisheit. In der Behavioral Finance werden dieser und ähnliche Effekte als Kalenderanomalien bezeichnet. Ziel dieser Diplomarbeit ist es, die wichtigsten dieser Effekte einer Analyse zu unterziehen und die daraus gewonnenen Erkenntnisse in einer Investmentstrategie umzusetzen. Um einen Überblick über das Thema zu erhalten, wurde zunächst die wissenschaftliche Literatur zu den einzelnen Kalenderanomalien untersucht. In einem zweiten Schritt wurden zwölf Aktienindizes auf fünf saisonale Effekte hin untersucht. Die Beobachtungszeiträume gehen dabei bei einzelnen Indizes bis in die 50er Jahre zurück. Ein Hauptaugenmerk wurde dabei auf die historische Entwicklung der einzelnen Effekte in den jeweiligen Indizes gelegt. Damit wurde überprüft, ob die über lange Zeiträume beobachteten Anomalien auch in der Gegenwart noch evident sind. Nach dieser eingehenden, theoretischen und empirischen Analyse der jeweiligen Effekte konnte die Relevanz dieser Effekte für eine Investmentstrategie bestimmt werden. Vor der Entwicklung einer eigenen Investmentstrategie galt es, bereits am Markt befindliche Investmentprodukte zu suchen. Diese Investmentprodukte wurden schließlich hinsichtlich ihrer Performance, ihrer Outperformance und ihrer Ausstattungsmerkmale untersucht und verglichen. Im Anschluss an die Marktanalyse wurde eine eigene, auf saisonalen Effekten beruhende Anlagestrategie entwickelt. Diese Strategie wurde in zwei Teilstrategien zerlegt um für die verschiedenen Anlegergruppen praktikable Lösungen anzubieten. In einem letzten Schritt wurden die zuvor entwickelten Strategien mithilfe von historischen Kursdaten hinsichtlich ihrer Out


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Product Details
  • ISBN-13: 9783640155415
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • No of Pages: 110
  • Series Title: German
  • Weight: 154 gr
  • ISBN-10: 3640155416
  • Publisher Date: 05 Sep 2008
  • Binding: Paperback
  • Language: German
  • Returnable: N
  • Spine Width: 7 mm
  • Width: 148 mm


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Saisonale Effekte am Aktienmarkt und deren historische Evidenz als Grundlage für eine Anlagestrategie
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