Übersicht zu einigen Zusammenhängen und möglichen Erklärungsansätzen ausgewählter Renditeanomalien an Aktienmärkten
Year: 2005
Author: Schneider, Sebastian
Credit and Capital Markets – Kredit und Kapital, Vol. 38 (2005), Iss. 2 : pp. 235–283
Abstract
In the anomaly discussion, two explanatory approaches are diametrically opposed. On the one hand, market inefficiencies may result in the observed rate-ofreturn patterns. But it is also possible on the other hand that risk factors are the determinants of rate-of-return generation. However, the anomaly discussion neglects almost entirely the reliability allowing derogations of the CAPM to be identified. It follows therefrom that it cannot be precluded that rate-of-return anomalies represent just statistical artefacts. This contribution therefore systematises rate-of-return anomalies and introduces possible explanatory methods. It not only shows in a comprehensive manner index figure-related rate-of-return anomalies, but also correlations between the rate-of-return anomalies represented and possible explanatory approaches. In this context, the robustness of the anomalies to time-variable beta factors are tested and answers are attempted to whether selected index figures represent risk factors in a multi-factorial model or whether they represent anomaly factors.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.38.2.235
Credit and Capital Markets – Kredit und Kapital, Vol. 38 (2005), Iss. 2 : pp. 235–283
Published online: 2005-02
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 49
Author Details
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