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Don’t Cry for Me Germania?

Author

Listed:
  • Sebastian Lobe

    (WHL Wissenschaftliche Hochschule Lahr und FACT-Center)

  • Christoph Schmidhammer

    (Schloss Hachenburg)

  • Jennifer Pickel

    (Universität Regensburg)

Abstract

Zusammenfassung Innerhalb kürzester Zeit hat sich die inzwischen vier Jahre alte Tagesanleihe zum bedeutendsten Wertpapier des Bundes, welches an Privatanleger gerichtet ist, neben dem Bundesschatzbrief etabliert. Das Bundesministerium der Finanzen hat jedoch am 5. Juli 2012 verkündet, das gesamte Privatgeschäft mit Finanzprodukten zum Ende 2012 einzustellen. Dieser Aufsatz zeigt empirisch, dass sich (1) die am Euro Over Night Index Average (EONIA) orientierende Tagesanleihe hinsichtlich der Replikationsgüte zwischen dem untersten Rangplatz und dem Mittelfeld vergleichbarer EONIA-Exchange Traded Funds (ETFs) bewegt, und sich (2) die Performance von EONIA-ETFs (auf individueller Ebene und Portfolioebene) durchgehend besser als die der Tagesanleihe darstellt.

Suggested Citation

  • Sebastian Lobe & Christoph Schmidhammer & Jennifer Pickel, 2013. "Don’t Cry for Me Germania?," Schmalenbach Journal of Business Research, Springer, vol. 65(7), pages 688-706, December.
    • Handle: RePEc:spr:sjobre:v:65:y:2013:i:7:d:10.1007_bf03372889
    DOI: 10.1007/BF03372889
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    References listed on IDEAS

    as
    1. Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
    2. Kirby, Chris & Ostdiek, Barbara, 2012. "It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(2), pages 437-467, April.
    3. Shin, Sangheon & Soydemir, Gökçe, 2010. "Exchange-traded funds, persistence in tracking errors and information dissemination," Journal of Multinational Financial Management, Elsevier, vol. 20(4-5), pages 214-234, December.
    4. Gerasimos G Rompotis, 2009. "Interfamily competition on index tracking: The case of the vanguard ETFs and index funds," Journal of Asset Management, Palgrave Macmillan, vol. 10(4), pages 263-278, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    D14; G12; G11;
    All these keywords.

    JEL classification:

    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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