Time-variable asset pricing models for the German stock market: Empirical study on the significance of macroeconomic influencing factors


Asset Pricing, Empirical Capital Market Research

453 S., Deutscher Universitäts Verlag (2004)


Opfer, H.


A key focus of modern capital market research is the analysis of risk/return relationships in the stock market. The macroeconomic multifactor models offer a promising approach to research. The time stability of coefficients in the asset pricing models is commonly assumed, but, from an economic point of view, there are clear arguments for a time-variable structure of the corresponding coefficients.

In an extensive empirical study, Heiko Opfer analyses the influence of macroeconomic factors on trends in returns in the German stock market. In doing so, he uses both static and dynamic asset pricing models in addition to different model structures. The empirical results confirm that macroeconomic factors are relevant for trends in returns and can describe these factors well. Both the beta coefficients and the risk premiums have a time-variable structure, which can be justified from an economic standpoint.

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