The influence of XTFs on risk and return of households’ investment portfolios

Faculty/Professorship: Finance  ; Fakultät Sozial- und Wirtschaftswissenschaften: Abschlussarbeiten 
Author(s): Wanger, Hans Philipp 
Publisher Information: Bamberg : Otto-Friedrich-Universität
Year of publication: 2021
Pages: XIII, 219 ; Illustrationen, Diagramme
Supervisor(s): Oehler, Andreas  ; Egner, Thomas ; Gerholz, Karl-Heinz  
Language(s): English
Dissertation, Otto-Friedrich-Universität Bamberg, 2021
DOI: 10.20378/irb-51640
Licence: Creative Commons - CC BY - Attribution 4.0 International 
URN: urn:nbn:de:bvb:473-irb-516409
In this doctoral thesis, XTFs are considered as plain-vanilla Exchange Traded Funds which pursue a passive investment approach and replicate a broad, internationally diversified market index.

The thesis pursues two research goals. First, to investigate whether XTFs enhance risk and return of household portfolios when taking multiple relevant asset classes into account – not only stocks. Second, to examine whether employing XTFs in household portfolios is reasonable when including practical constraints and risk measures that reflect households’ actual investment situation and interpretation of risk more closely compared to previous literature.

To meet these research goals, three empirical analyses are conducted. The analyses are built on the foundations of neoclassical finance theory, new institutional economics, market microstructure theory, financial intermediation, as well as behavioral finance and economics. For the empirical investigations, two data sets of the German central bank (Deutsche Bundesbank) are combined: The Panel on Household Finances-survey and the Securities Holdings Statistics-base. The thesis ends by discussing the empirical analyses' results, possible limitations to the findings' generalizability, and implications for different stakeholders.
GND Keywords: Haushalt; Kapitalanlage; Investmentfonds; Management; Risikoverhalten
Keywords: XTF, ETF, Household Finance, Household Portfolios, Portfolio Optimization, Risk-adjusted Performance, Downside-risk Measures, Reinvesting Payouts
DDC Classification: 330 Economics  
650 Management & public relations  
RVK Classification: QK 800     QK 530   
Type: Doctoralthesis
Release Date: 15. November 2021

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