IDEAS home Printed from https://ideas.repec.org/p/lmu/msmdpa/10015.html
   My bibliography  Save this paper

Gleichlauf-Effekte nach Indexumstellungen

Author

Listed:
  • Jaron, Martin

Abstract

Gleichlauf-Effekte in Preisen sollen anhand von Indexumstellungen des HDAX(vormals DAX100) überprüft werden. Konsistent mit dem Modell von Barberis u.a. (2005) kann für Indexaufnahmen und -entnahmen nicht fundamentalbasiertes Comovement aufgedeckt werden. Im Vergleich zu US-amerikanischen Studien führen Marktakteure am deutschen Kapitalmarkt eine Reklassifikation für Indexaufnahmen bereits im Vorfeld der Ankündigung durch. Dies spricht für eine transparente Indexpolitik, die Indexumstellungen antizipierbar macht. Fundamentalbasierte Faktoren können die Ergebnisse nicht ohne Weiteres erklären. Die Evidenz für preisrelevante Präferenz-Faktoren unterstreicht die Bedeutung von Marktfriktionen und Noise-Tradern für das Asset Pricing.

Suggested Citation

  • Jaron, Martin, 2008. "Gleichlauf-Effekte nach Indexumstellungen," Discussion Papers in Business Administration 10015, University of Munich, Munich School of Management.
    • Handle: RePEc:lmu:msmdpa:10015
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    Comovement; Beta; Indexaufnahmen;
    All these keywords.

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:lmu:msmdpa:10015. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mareike Seifried (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.