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1997-12-01Buch DOI: 10.18452/3854
Semiparametric Modelling of the Cross-Section of Expected Returns in the German Stock Market
dc.contributor.authorStehle, Richard
dc.contributor.authorBunke, Olaf
dc.contributor.authorSommerfeld, Volker
dc.date.accessioned2017-06-15T22:21:22Z
dc.date.available2017-06-15T22:21:22Z
dc.date.created2006-06-09
dc.date.issued1997-12-01
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4506
dc.description.abstractAccording to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the cross-sectional variation of US stock returns better than other combinations of two variables. They report also that in the 1963-1990 period beta has virtually no explanatory power. This paper looks at a comparable data set for Germany for the time period 1968-1990. We analyze this data set in order to identify a “best” nonlinear model for the relationship between rates of return, beta, size and book-to-market. The model and corresponding regression estimates are chosen by “cross-validation” among a very rich class of parametric, semiparametric and nonparametric alternatives. The coefficients in the model are estimated each year. The major result is that the parametric model proposed by Fama/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest partial correlation with the stock return. In most of the annual regressions the corresponding coefficients have the correct sign and are statistically significant.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectModel selectioneng
dc.subjectcross-validationeng
dc.subjectcapital asset pricing modeleng
dc.subjectGerman stock marketeng
dc.subjecttime series of cross-sectional dataeng
dc.subject.ddc330 Wirtschaft
dc.titleSemiparametric Modelling of the Cross-Section of Expected Returns in the German Stock Market
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10064740
dc.identifier.doihttp://dx.doi.org/10.18452/3854
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages14
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1997
local.edoc.container-issue95
local.edoc.container-year1997
local.edoc.container-erstkatid2135319-0

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