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Zur Schätzung von Betafaktoren bei dünnem Aktienhandel

Author

Listed:
  • Knoll Leonhard

    (Prof. Dr. rer. pol., Universität Würzburg)

  • Kruschwitz Lutz

    (Prof. em. Dr. rer. pol., Dr. rer. pol. h. c. Freie Universität Berlin)

  • Lorenz Daniela

    (Prof. Dr. rer. pol., Universität Würzburg Die Verfasser danken Martin Kukuk, Franziska Ziemer und dem anonymen Gutachter für hilfreiche Hinweise.)

Abstract

Werden börsennotierte Unternehmen auf der Basis des CAPM bewertet, ist der Betafaktor ein wesentlicher Parameter des Diskontierungszinses. Bei Nebenwerten wird dabei die Verwendung des eigenen Betas oft mit dem Verweis auf eine zu geringe Liquidität der Aktien abgelehnt. Der Beitrag untersucht, inwieweit dies aus theoretischer und ökonometrischer Sicht begründet ist, und kommt zu dem Ergebnis, dass ein Verwerfen des eigenen Betas regelmäßig nicht zu rechtfertigen ist.

Suggested Citation

  • Knoll Leonhard & Kruschwitz Lutz & Lorenz Daniela, 2019. "Zur Schätzung von Betafaktoren bei dünnem Aktienhandel," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 31(3), pages 189-194, June.
    • Handle: RePEc:bpj:zfbrbw:v:31:y:2019:i:3:p:189-194:n:6
    DOI: 10.15375/zbb-2019-0306
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