Welche Faktoren beeinflussen erwartete Aktienrenditen?

Löffler, Gunter ; Weber, Martin

Document Type: Article
Year of publication: 1997
The title of a journal, publication series: Zeitschrift für Wirtschafts- und Sozialwissenschaften : ZWS
Volume: 117
Issue number: 2
Page range: 209-246
Place of publication: Berlin
Publishing house: Duncker & Humblot
ISSN: 0342-1783
Publication language: German
Institution: Business School > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
Subject: 330 Economics
Abstract: Tests of the Sharpe-Lintner-Mossin-CAPM usually employ historical data to examine the relation bet-ween expected returns and systematic risk. In this paper, we explore an alternative approach. Ex-pected returns are derived from stock price forecasts of institutional investors, and their willing-ness to pay for individual stocks. The analysis reveals that return forecasts vary significantly with beta, but this relation weakens once other factors, notably book-to-market equity, are controlled for. In individual portfolio choice, on the other hand, risks associated with beta and book-to-mar-ket equity are captured by total variance. Our findings are consistent with the weak association between beta and German stock returns, and cast doubt on the use of rational asset-pricing stories to explain the existence of a book-to-market factor in average stock returns.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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