IDEAS home Printed from https://ideas.repec.org/b/wfo/wstudy/37583.html
   My bibliography  Save this book

Die volkswirtschaftliche Rolle von Investmentfonds und die Ertragschancen langfristiger Aktienveranlagungen

Author

Listed:
  • Thomas Url

    (WIFO)

Abstract

Österreichische Investmentfonds tragen nur 0,1% zur gesamtwirtschaftlichen Wertschöpfung bei, ihre die Finanzierungsleistung ist aber wesentlich bedeutender. Sie halten 5,7% an den Verpflichtungen des In- und Auslands (in Österreich) als Anlagevermögen. Die Finanzmarktturbulenzen seit Herbst 2008 werfen die Frage auf, ob Veranlagungen in ein Aktienportfolio bei langem Veranlagungshorizont sinnvoll sind? Aktien bieten einen höheren erwarteten Ertrag als Veranlagungen auf dem Geld- oder Anleihemarkt. In den letzten 40 Jahren betrug die in Euro umgerechnete nominelle erwartete Rendite zwischen jährlich 9,1% (USA) und 12,2% (Japan); für europäische Aktien lag sie mit 10,7% innerhalb dieser Bandbreite. Die hohen Erwartungswerte für Renditen auf Aktien gehen allerdings mit einem beträchtlichen Schwankungspotential einher. Dieses Schwankungspotential wird in der vorliegenden Studie durch Bootstrap-Simulationen eines ökonometrischen Modells für den Geldmarktsatz und einige Überschussrenditen ermittelt. Die simulierten Konfidenzintervalle werden mit dem Veranlagungshorizont enger und zeigen, dass Kapitalverluste aus einer Aktienveranlagung in Europa (ohne Großbritannien) nach Berücksichtigung der Inflation (real) ab einem Veranlagungshorizont von 25 bis 30 Jahren mit einer Irrtumswahrscheinlichkeit von 5% ausgeschlossen werden können. Die Ausweitung des Veranlagungszeitraums auf 100 Jahre schafft keine 100%-Sicherheit gegenüber realen Kapitalverlusten. Diesem Verlustpotential steht ein erhebliches Ertragspotential gegenüber: Bei einer Veranlagungsdauer von 25 bis 30 Jahren kann ein europäisches Aktienportfolio (ohne Großbritannien) mit einer Wahrscheinlichkeit von 5% eine durchschnittliche reale Verzinsung von über 13,7% jährlich bringen.

Suggested Citation

  • Thomas Url, 2009. "Die volkswirtschaftliche Rolle von Investmentfonds und die Ertragschancen langfristiger Aktienveranlagungen," WIFO Studies, WIFO, number 37583, August.
  • Handle: RePEc:wfo:wstudy:37583
    Note: With English abstract.
    as

    Download full text from publisher

    File URL: https://www.wifo.ac.at/wwa/pubid/37583
    File Function: abstract
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. John Y. Campbell & Yeung Lewis Chanb & M. Viceira, 2013. "A multivariate model of strategic asset allocation," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 39, pages 809-848, World Scientific Publishing Co. Pte. Ltd..
    2. John Y. Campbell, 2008. "Viewpoint: Estimating the equity premium," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(1), pages 1-21, February.
    3. Bodie, Zvi & Merton, Robert C. & Samuelson, William F., 1992. "Labor supply flexibility and portfolio choice in a life cycle model," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 427-449.
    4. Campbell, John Y., 1999. "Asset prices, consumption, and the business cycle," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 19, pages 1231-1303, Elsevier.
    5. Ľuboš Pástor & Robert F. Stambaugh, 2012. "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, vol. 67(2), pages 431-478, April.
    6. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
    7. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
    8. Bec, Frédérique & Gollier, Christian, 2006. "Assets Returns Volatility and Investment Horizon: The French Case," IDEI Working Papers 467, Institut d'Économie Industrielle (IDEI), Toulouse, revised 30 Nov 2008.
    9. Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, April.
    10. John Y. Campbell, 2007. "Estimating the Equity Premium," NBER Working Papers 13423, National Bureau of Economic Research, Inc.
    11. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    12. Pu Shen, 2005. "How long is a long-term investment?," Economic Review, Federal Reserve Bank of Kansas City, vol. 90(Q I), pages 5-32.
    13. Thomas Url, 2001. "Die Euro-Umstellung am WIFO," WIFO Monatsberichte (monthly reports), WIFO, vol. 74(12), pages 761-766, December.
    14. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Thomas Url, 2017. "Die Lebensversicherung aus einer individuellen und gesamtwirtschaftlichen Perspektive," WIFO Studies, WIFO, number 60505, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
    2. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
    3. Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2022. "Testing for episodic predictability in stock returns," Journal of Econometrics, Elsevier, vol. 227(1), pages 85-113.
    4. George Chacko & Luis M. Viceira, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," The Review of Financial Studies, Society for Financial Studies, vol. 18(4), pages 1369-1402.
    5. John Y. Campbell & Luis M. Viceira, 2005. "The Term Structure of the Risk–Return Trade-Off," Financial Analysts Journal, Taylor & Francis Journals, vol. 61(1), pages 34-44, January.
    6. John Y. Campbell & Yeung Lewis Chanb & M. Viceira, 2013. "A multivariate model of strategic asset allocation," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 39, pages 809-848, World Scientific Publishing Co. Pte. Ltd..
    7. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
    8. Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
    9. Munk, Claus, 2020. "A mean-variance benchmark for household portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 116(C).
    10. Daniel Giamouridis & Athanasios Sakkas & Nikolaos Tessaromatis, 2017. "Dynamic Asset Allocation with Liabilities," European Financial Management, European Financial Management Association, vol. 23(2), pages 254-291, March.
    11. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
    12. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003. "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, vol. 113(486), pages 1-25, March.
    13. Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3590-3612, November.
    14. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
    15. Ľuboš Pástor & Robert F. Stambaugh, 2012. "Are Stocks Really Less Volatile in the Long Run?," Journal of Finance, American Finance Association, vol. 67(2), pages 431-478, April.
    16. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
    17. Jakub W. Jurek & Luis M. Viceira, 2011. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," Review of Finance, European Finance Association, vol. 15(1), pages 29-74.
    18. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers 2004-8, Copenhagen Business School, Department of Finance.
    19. Laborda, Ricardo & Olmo, Jose, 2017. "Optimal asset allocation for strategic investors," International Journal of Forecasting, Elsevier, vol. 33(4), pages 970-987.
    20. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wfo:wstudy:37583. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Florian Mayr (email available below). General contact details of provider: https://edirc.repec.org/data/wifooat.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.