Übersicht zu einigen Zusammenhängen und möglichen Erklärungsansätzen ausgewählter Renditeanomalien an Aktienmärkten

Abstract

In the anomaly discussion, two explanatory approaches are diametrically opposed. On the one hand, market inefficiencies may result in the observed rate-ofreturn patterns. But it is also possible on the other hand that risk factors are the determinants of rate-of-return generation. However, the anomaly discussion neglects almost entirely the reliability allowing derogations of the CAPM to be identified. It follows therefrom that it cannot be precluded that rate-of-return anomalies represent just statistical artefacts. This contribution therefore systematises rate-of-return anomalies and introduces possible explanatory methods. It not only shows in a comprehensive manner index figure-related rate-of-return anomalies, but also correlations between the rate-of-return anomalies represented and possible explanatory approaches. In this context, the robustness of the anomalies to time-variable beta factors are tested and answers are attempted to whether selected index figures represent risk factors in a multi-factorial model or whether they represent anomaly factors.