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Zur Bedeutung von Cost-Average-Effekten bei Einzahlungsplänen und Portefeuilleumschichtungen

Author

Listed:
  • Langer, Thomas
  • Nauhauser, Niels

Abstract

In dieser Arbeit analysieren wir das Phänomen des Cost Averaging (CA), dem in der Anlagepraxis eine positive Wirkung auf den Anlageerfolg zugeschrieben wird. Wir präsentieren einige grundlegende Überlegungen zur geeigneten Renditeoperationalisierung bei einem Strategienvergleich und stellen anhand simulierter und empirischer Daten die Rendite- und Risikocharakteristika von CA-Strategien anderen Anlagestrategien gegenüber. In den Simulationen wird zudem der Einfluss der Equity Premium, der Aktienmarktvolatilität und einer Autokorrelation der Renditen auf den Vorteilhaftigkeitsvergleich analysiert. In den empirischen Untersuchungen werden langfristige Anlagen in den DAX, aber auch sehr kurzfristige Investitionen in den Nemax 50 und den Nasdaq Composite betrachtet. Unsere Analysen zeigen, dass die CA-Strategie auf Basis von Erwartungswert und Varianz der Vermögensendwerte von einer Vielzahl von Buy&Hold-Strategien dominiert wird und als suboptimal angesehen werden muss.

Suggested Citation

  • Langer, Thomas & Nauhauser, Niels, 2002. "Zur Bedeutung von Cost-Average-Effekten bei Einzahlungsplänen und Portefeuilleumschichtungen," Papers 02-50, Sonderforschungsbreich 504.
    • Handle: RePEc:mnh:spaper:2781
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    File URL: https://madoc.bib.uni-mannheim.de/2781/1/dp02_50.pdf
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    References listed on IDEAS

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    1. Normann, Marcel & Langer, Thomas, 2001. "Altersvorsorge, Konsumwunsch und mangelnde Selbstdisziplin : zur Relevanz deskriptiver Theorien für die Gestaltung von Altersvorsorgeprodukten," Papers 01-40, Sonderforschungsbreich 504.
    2. Normann, Marcel & Langer, Thomas, 2001. "Altersvorsorge, Konsumwunsch und mangelnde Selbstdisziplin: Zur Relevanz deskriptiver Theorien für die Gestaltung von Altersvorsorgeprodukten," Sonderforschungsbereich 504 Publications 01-40, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    3. Eugene F. Fama & Kenneth R. French, 2002. "The Equity Premium," Journal of Finance, American Finance Association, vol. 57(2), pages 637-659, April.
    4. Knight, John R. & Mandell, Lewis, 1992. "Nobody gains from dollar cost averaging analytical, numerical and empirical results," Financial Services Review, Elsevier, vol. 2(1), pages 51-61.
    5. James Claus & Jacob Thomas, 2001. "Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets," Journal of Finance, American Finance Association, vol. 56(5), pages 1629-1666, October.
    6. Constantinides, George M., 1979. "A Note on the Suboptimality of Dollar-Cost Averaging as an Investment Policy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(2), pages 443-450, June.
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    Cited by:

    1. Klos, Alexander & Langer, Thomas & Weber, Martin, 2002. "Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?," Sonderforschungsbereich 504 Publications 02-49, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.

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