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Langfrist-Prognose von Performance-Indizes: Vergleich einiger Verfahren
[Long-term forecast of performance indices: comparison of some procedures]

Author

Listed:
  • Günter Bamberg

    (Universität Augsburg)

  • Sebastian Heiden

    (Universität Augsburg)

  • Michael Krapp

    (Universität Augsburg)

Abstract

Zusammenfassung Langfrist-Prognosen sind typischerweise problematischer als Kurzfrist-Prognosen. Im Kapitalmarktkontext ist die Sachlage jedoch umgekehrt, da verlässliche Kurzfrist-Prognosen durch Arbitrageure sofort zunichte gemacht würden. Ex ante ist der Performance-Index am Prognosehorizont eine extrem rechtsschief verteilte Zufallsvariable. Prognosen, die auf dessen Modalwert abzielen, sind daher viel zu pessimistisch. Prognosen, die auf den Erwartungswert abzielen, sind dagegen zu optimistisch. Von den drei prominenten Lagemaßen ist nur der Median in der Lage, als Basis für eine verlässliche Prognose zu dienen. Es werden einige Praktiker-Verfahren untereinander und mit einem neuen Prognoseverfahren verglichen, welches auf der erwartungstreuen Schätzung des Medians beruht. Zur Illustration der Verfahren und der resultierenden Prognosen werden Daten des DAX bis 2022 verwendet. Es zeigt sich unter anderem, dass der erwartungstreue Median-Schätzer bessere Prognosen als das beste ‚Praktiker-Verfahren‘ liefert.

Suggested Citation

  • Günter Bamberg & Sebastian Heiden & Michael Krapp, 2023. "Langfrist-Prognose von Performance-Indizes: Vergleich einiger Verfahren [Long-term forecast of performance indices: comparison of some procedures]," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 17(2), pages 161-181, June.
    • Handle: RePEc:spr:astaws:v:17:y:2023:i:2:d:10.1007_s11943-023-00322-0
    DOI: 10.1007/s11943-023-00322-0
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    References listed on IDEAS

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    1. Timo Schmid & Markus Zwick, 2023. "Editorial," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 17(2), pages 109-111, June.

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