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Temporäre Marktungleichgewichte auf Bondmärkten: Aktive Handelsstrategien auf Basis geschätzter Zinsstrukturkurven

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  • Kellerhals, B. Philipp
  • Uhrig-Homburg, Marliese

Abstract

Auf Anleihemärkten versuchen Investoren mit aktiven Handelsstrategien eine über der risikoadäquaten Marktverzinsung liegende Rendite zu erwirtschaften. Dabei kommen prognoseorientierte Strategien wie auch Anlagepolitiken zur Verwendung, die zeitweilige Marktungleichgewichte zu nutzen versuchen. Letztere untersuchen wir im vorliegenden Artikel für den deutschen Anleihemarkt und prüfen, inwieweit temporäre Preisabweichungen von Anleihen von ihrem wahren Wert in profitable Handelsstrategien umgesetzt werden können.

Suggested Citation

  • Kellerhals, B. Philipp & Uhrig-Homburg, Marliese, 1997. "Temporäre Marktungleichgewichte auf Bondmärkten: Aktive Handelsstrategien auf Basis geschätzter Zinsstrukturkurven," Tübinger Diskussionsbeiträge 108, University of Tübingen, School of Business and Economics.
    • Handle: RePEc:zbw:tuedps:108
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    References listed on IDEAS

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    More about this item

    Keywords

    Anleihen; Zinsstrukturmodelle; Marktgleichgewicht; Handelsstrategien;
    All these keywords.

    JEL classification:

    • 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

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