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Kapitalwertmethode bei nicht-flacher Zinsstrukturkurve

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  • Kohn, Wolfgang
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    Abstract

    In der einfachen finanzmathematischen Welt herrscht ein konstanter Zinssatz. Wird die Modellwelt hinsichtlich einer nicht flachen Zinsstruktur abgeändert, so sollten die Barwertfaktoren um zwischenzeitliche Zinszahlungen (Zinseszinsen) neutralisiert werden. Die Berechnung der Barwertfaktoren mittels der Duplizierung von Zahlungsströmen (Bootstrapping) führt zu Kapitalwerten, die steigende bzw. fallende Finanzierungskosten der Investition besser im Kapitalwert berücksichtigen. Die Kapitalwerte der Investitionen fallen bzw. steigen gegenüber der herkömmlichen Berechnung und berücksichtigen damit besser die Markterwartungen aus der Zinsstrukturkurve. Die Unternehmensentscheidungen wirken damit stabilisierender auf die konjunkturelle Entwicklung. Ferner wird gezeigt, dass eine Barwertmarge bzw. Rentabilitätsmarge berechnet werden kann, die die Differenz zur gegebenen Zinsstruktur angibt, bei der der Kapitalwert Null wird. Alle Ergebnisse entsprechen dem traditionellen Ansatz, wenn die Zinsstruktur flach ist. -- The simple financial world assumes a constant interest rate over time (flat yield curve). If this restriction is released for a non constant interest rate (non-flat yield curve) the compounded interest should be neutralized for this interest payments. The net present value with neutralized interest payments (bootstraping method) leads towards net present values which takes better increasing and decreasing interest terms structures into account which results in lower or higher net present values. Therefore the investment decisions are more in line with the interest term structure. Further on a net present value margin is introduced, which shows for a given interest term structure the margin when the net present value is zero. It is an extension of the internal return of investment. All calculations are in line with a flat interest term structure.

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    Bibliographic Info

    Paper provided by ZBW - German National Library of Economics in its series EconStor Preprints with number 83786.

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    Date of creation: 14 Oct 2013
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    Handle: RePEc:zbw:esprep:83786

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    Keywords: Kapitalwertmethode; Zinsstrukturkurve; Marktzinsmodell; Finanzmathematik;

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    1. Capi?ski,Marek & Kopp,Ekkehard, 2012. "Discrete Models of Financial Markets," Cambridge Books, Cambridge University Press, number 9781107002630, April.
    2. Capi?ski,Marek & Kopp,Ekkehard, 2012. "Discrete Models of Financial Markets," Cambridge Books, Cambridge University Press, number 9780521175722, April.
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