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Winner-Loser-Effekte am deutschen Aktienmarkt

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  • Daske, Stefan

Abstract

Die Veröffentlichung von DE BONDT und THALER (1985) markiert den Beginn einer intensiven wissenschaftlichen Auseinandersetzung über die Existenz, den Umfang, die Ausbeutbarkeit und die Formen von Winner-Loser-Effekten. Diese beschreiben eine beobachtete potenzielle Anomalie, nach der ein Anleger durch Investition in Aktien, die über einen gewissen Zeitraum eine deutlich geringere Rendite als der relevante Markt aufwiesen (so genannte Loseraktien, nachfolgend als Verliereraktien bezeichnet), eine Überrendite erzielen kann. Dies gilt ebenso für den Leerverkauf von Aktien, die sich besser als der jeweilige Markt entwickelt haben (so genannte Winneraktien, im Folgenden Gewinneraktien).1 Gewinneraktien werden also tendenziell zu Verliereraktien, Verliereraktien zu Gewinneraktien. POWER/LONIE (1993) meinen sogar, dass the, overreaction-effect[2] has a claim to be regarded as one of the most important anomalies investigated during the 1980s' (S. 326). Schließlich ist es jedem Durchschnittsanleger leicht möglich, Winner-Loser-Effekte gewinnbringend auszunutzen, sofern diese tatsächlich existieren. Marktineffizienzen in Form von fehlerhaften Bewertungen müssten aus theoretischer Sicht durch rational handelnde Arbitrageure ausgebeutet werden und dürften somit keinen Bestand haben. Es gibt aber eine beträchtliche Anzahl von Wissenschaftlern, die die Informationseffizienz des Kapitalmarktes und die ihr zugrunde liegende Rationalitätsannahme als wirklichkeitsfremd ansehen und dies durch psychologische und spieltheoretische Ergebnisse belegen wollen. Ziel der vorliegenden Arbeit ist es, eine Untersuchung zu langfristigen Winner-Loser-Effekten am deutschen Kapitalmarkt vorzustellen, die sich über einen längeren Untersuchungszeitraum erstreckt als bisherige deutsche Studien. Außerdem soll gezeigt werden, dass unter Berücksichtigung des Risikos von Gewinner- respektive Verliereraktien keine signifikanten Überrenditen mit den beschriebenen Handelstrategien erzielt werden konnten, obwohl bei ausschließliche r Orientierung an der Rendite Winner-Loser-Effekte auch in Deutschland zu verzeichnen sind. Zunächst werden jedoch die Erklärungsansätze für das Auftreten der langfristigen Winner-Loser-Anomalie ausführlich diskutiert. Im dritten Abschnitt wird ein detaillierter Überblick über vorliegende empirische Studien zu Winner-Loser-Effekten gegeben und anschließend die Untersuchungsmethodik für den Test auf Existenz von Winner-Loser-Effekten und damit in Zusammenhang stehende Problemfelder beleuchtet. Im fünften Abschnitt erfolgt schließlich die Darstellung der eigenen Untersuchungsergebnisse. Abschnitt sechs enthält abschließende Bemerkungen.

Suggested Citation

  • Daske, Stefan, 2002. "Winner-Loser-Effekte am deutschen Aktienmarkt," SFB 373 Discussion Papers 2002,87, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:200287
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