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|
Dissertation, Otto-Friedrich-Universität Bamberg, 2021
|Licence:||Creative Commons - CC BY - Attribution 4.0 International|
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 |
|Release Date:||15. November 2021|
originated at the
University of Bamberg
University of Bamberg