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Die Kosten des Indextrackings — Eine Fallstudie über den Exchange Traded Fund DAX®EX

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  • Stephanie E. Lang

    (Universität Regensburg)

  • Klaus Röder

    (Universität Regensburg)

Abstract

Zusammenfassung Seit der Einführung auf US -amerikanischen Märkten im Jahr 1993 werden die Chancen und Risiken von Exchange Traded Funds in der Literatur ausführlich diskutiert. Welche Kostenkomponenten bei börsengehandelten Indexfonds zur Rendite-Abweichung führen, wurde bisher noch nicht empirisch untersucht und wird in diesem Beitrag quantifiziert. Über die Anpassungs- und Reinvestitionstage eines Exchange Traded Fund (ETF) wird eine innovative Methodik zur Extrahierung der Transaktionskosten seitens des Emittenten entwickelt und am Beispiel des DAX®EX als ersten und liquidesten deutschen ETF vorgestellt. Dass die Vorteile von ETF einem Renditeverlust von 0,8 Prozent pro Jahr gegenüberstehen, wird in diesem Artikel dargestellt.

Suggested Citation

  • Stephanie E. Lang & Klaus Röder, 2008. "Die Kosten des Indextrackings — Eine Fallstudie über den Exchange Traded Fund DAX®EX," Schmalenbach Journal of Business Research, Springer, vol. 60(3), pages 298-321, May.
    • Handle: RePEc:spr:sjobre:v:60:y:2008:i:3:d:10.1007_bf03372796
    DOI: 10.1007/BF03372796
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    References listed on IDEAS

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    More about this item

    Keywords

    Active Return; Costs; ETF; Exchange Traded Funds; Index Funds; Index Tracking; Performance; Relative Return; Taxes; Tracking Error; Transaction Costs;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C81 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
    • D23 - Microeconomics - - Production and Organizations - - - Organizational Behavior; Transaction Costs; Property Rights
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • H22 - Public Economics - - Taxation, Subsidies, and Revenue - - - Incidence

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