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Empirische Identifikation von Wertpapierrisiken

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Springer Nature
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N/A
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GTIN
9783824467297
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New
Product Description

Seit langem befat sich die Kapitalmarktforschung intensiv mit den Fragen, inwieweit finanzierungstheoretische Kapitalmarktmodelle empirisch validiert werden knnen und von welchen Risikofaktoren Wertpapierrenditen beeinflut werden. Daniel Rsch unterscheidet die verschiedenen Modelltypen in Faktoren-, Arbitrage- und Gleichgewichtsmodelle und vergleicht ihre empirische berprfbarkeit. Der Autor analysiert die in Theorie und Praxis eingesetzten statistischen Verfahren und zeigt, da diese Methoden fr die Identifikation von Wertpapierrisiken untauglich und daher fr den praktischen Einsatz nicht zu empfehlen sind.

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