Zur Bedeutung von Cost-Average-Effekten bei Einzahlungsplänen und Portefeuilleumschichtungen

Thomas Langer () and Niels Nauhauser ()
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Thomas Langer: Westfälischen Wilhelms-Universität Münster Lehrstuhl für BWL, insbesondere Finanzierung, Postal: Universitätsstraße 14-16 48143 Münster
Niels Nauhauser: University of Mannheim

No 02-50, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

Abstract: In this paper, we analyze the cost average (CA) phenomenon that many practitioners assume to have a positive impact on the success of a stock investment. We present conceptual thoughts on the appropriate way of measuring the return of different strategies and compare the risk/return characteristica of a CA-strategy with other strategies using simulated and empirical data. In the simulations, we further examine how the equity premium size and the volatility and autocorrelation of the stock returns influence the strategy comparison. In the empirical part, we analyze the effectiveness of a CA-strategy for long term investments into the DAX as well as for short term investments into the Nemax 50 and the Nasdaq Composite. We find that based on return expectation and variance a CA-strategy is always dominated by other strategies and must be considered suboptimal.

Pages: 30 pages
Date: 2002-10-15
New Economics Papers: this item is included in nep-rmg
Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
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Citations: View citations in EconPapers (1)

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http://www.sfb504.uni-mannheim.de/publications/dp02-50.pdf (application/pdf)

Related works:
Working Paper: Zur Bedeutung von Cost-Average-Effekten bei Einzahlungsplänen und Portefeuilleumschichtungen (2002)
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