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@PHDTHESIS{Jaunich:50408,
author = {Jaunich, Arthur Oliver},
othercontributors = {von Nitzsch, Rüdiger},
title = {{A}nlagestrategie {B}ehavioral {F}inance : die {B}edeutung
verhaltensorientierter {A}nlagestrategien in der
amerikanischen und deutschen {F}ondsindustrie},
address = {Aachen},
publisher = {Publikationsserver der RWTH Aachen University},
reportid = {RWTH-CONV-112954},
pages = {VI, 247 S. : graph. Darst.},
year = {2008},
note = {Aachen, Techn. Hochsch., Diss., 2008},
abstract = {This dissertation investigates empirically the degree of
implementation of Behavioral Finance theory in the
investment fund industry. In a first step the author
identifies the most prominent Behavioral Finance based
investment strategies according to academic literature.
Then, based on regression analysis, the author examines the
extent to which German and U.S. mutual fund managers apply
Behavioral Finance based investment strategies, and how
great the resulting success is. The findings show that,
while their degree of implementation remains low
particularly in Germany, Behavioral Finance based investment
strategies do, on the whole, have a positive impact on fund
performance. The established financial theory builds on
efficient markets and rational behavior of market
participants. It further postulates that stock prices
immediately as well as comprehensively incorporate all
available information, and that active asset management
cannot sustainably generate positive excess returns.
However, extensive empirical research shows that stock
prices do not always fully adjust to new relevant
information. The relatively recent Behavioral Finance theory
addresses in particular the emergence of systematic
distortions in asset prices, driven by emotions and
cognitive biases. In contrast to the established view,
Behavioral Finance theory builds on limited arbitrage and
market participants that do not always act rationally. In
particular over- and underreaction can cause that asset
prices deviate from the fundamentally justified levels in a
predictable manner. Hence, active investment strategies that
use the insights of Behavioral Finance and exploit
systematic market distortions should generate significant
excess returns. Measured by the number of pertinent research
projects the most important behavioral investment strategies
are the momentum, contrarian, and earnings surprise
strategies, whose justification is usually directly and
almost exclusively associated with the bounded rationality
of human decision behavior. On the other hand, the author
also includes in the investigations the classic style
strategies size and value, even though there is controversy
in the pertinent literature as to whether the profitability
of these strategies might not also be explicable as
justified risk premium in an efficient market setting with
rational market participants. The author calculates
historical returns for each strategy over the test period
1/1990 to 12/2005. The results show that several strategies
generate significant excess returns if applied to the US and
German stock market. However, the volatility of strategy
returns over time points out that the underlying market
inefficiencies are by far not as systematic and predictable
as the Behavioral Finance theory suggests. Applying multiple
linear regression analysis the author measures the degree of
implementation of different sets of behavioral and style
strategies within the US and German fund industry. The
sample of investigated funds comprises in total 2,778 US
American and 111 German actively managed equity funds with a
local investment focus. The empirical analysis shows the
following results: A small group of US American funds, so
called Behavioral Finance funds, explicitly refers to
Behavioral Finance in the external communication. As a
matter of fact some of these funds apply behavioral
investment strategies and generate positive excess returns.
Prominent examples are the Fuller $\&$ Thaler funds that are
grounded in the academic field of Behavioral Finance.
Although behavioral strategies represent only a fraction of
the overall investment strategy of these funds, results
support a positive correlation between degree of
implementation of the strategies and fund performance. Thus,
applying behavioral as well as style strategies pays out for
the managers of (and investors in) selective Behavioral
Finance funds. Whereas also the results for the other US
funds indicate a certain degree of implementation of style
strategies and selective use of behavioral strategies, the
German funds analyzed here rarely apply these strategies.
The latter rather focus on replicating the overall market
index and do that with very limited success. Two possible
explanations come to mind that could explain the yet limited
degree of implementation of behavioral and style strategies:
i) transaction costs that might erase the excess return of a
strategy when it comes to practical implementation, and ii)
the attempt of fund managers to avoid dissonance that would
emerge from a possible negative deviation from market
return. Complementary analysis shows that excess returns of
selective investment strategies remain significant when
accounting for transaction costs. The possibility of
dissonance avoidance is not assessed in further detail, but
could mark a starting point for future research in this
field.},
keywords = {Anlageverhalten (SWD) / Investmentfonds (SWD) /
Markteffizienz (SWD)},
cin = {812520},
ddc = {330},
cid = {$I:(DE-82)812520_20140620$},
typ = {PUB:(DE-HGF)11},
urn = {urn:nbn:de:hbz:82-opus-25771},
url = {https://publications.rwth-aachen.de/record/50408},
}
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