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Kapitalwertmethode bei nicht-flacher Zinsstrukturkurve

  • Kohn, Wolfgang
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    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.

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    File URL: http://econstor.eu/bitstream/10419/83786/1/kapitalwert.pdf
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    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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