Halbrationaler Überschwang

Im Jahr 1996 sah sich der Yale-Ökonom Robert Shiller um, nahm historische Aufzeichnungen unter die Lupe und kam zu dem Schluss, dass der amerikanische Aktienmarkt überbewertet war. Bei hohem Kurs-Gewinn-Verhältnis waren die zukünftigen langfristigen Aktienerträge immer niedrig. Aber nun lagen die Preise der Titel im S&P 500-Index 29 Mal höher als die durchschnittlichen Erträge des letzten Jahrzehnts.

Auf Grundlage der von Shiller und John Campbell von der Harvard-Universität durchgeführten ökonometrischen Regressionsanalyse prognostizierte Shiller im Jahr 1996, dass Titel des S&P 500 im nächsten Jahrzehnt eine schlechte Investition sein werden. Im Jahrzehnt bis Januar 2006, so Shiller, würde der reale Wert von S&P 500-Aktien fallen. Sogar nach Einrechnung der Dividenden schätzte er den wahrscheinlichen Wert investitionsbereinigter Erträge für die S&P 500-Anleger auf null – also weit unter dem ungefähr bei 6 % liegendem jährlichen Ertrag, den man für den amerikanische Aktienmarkt als typisch annahm.

Shillers Argumente waren zwingend. Sie überzeugten Alan Greenspan, der darauf hin am American Enterprise Institute im Dezember 1996 seine berühmte Rede vom „irrationalen Überschwang“ hielt. Und ganz gewiss überzeugten Shillers Argumente auch mich.

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