Macroeconomic Factors and Stock Returns in Germany

01.01.2005

Asset Pricing, Empirische Kapitalmarktforschung

Daniel Baier and Klaus-Dieter Wernecke (Hrsg.): Innovations in Classification, Data Science, and Information Systems, Springer-Verlag, Heidelberg-Berlin, 419-426 (2004)

Autoren

Bessler, W. Opfer, H.

Abstract

The objective of this study is to investigate the importance of various macroeconomic factors in explaining the return structure for a bank index and five German industrial indices for the period from 1974 to 2000. The empirical analysis focuses on the decomposition of variances and the estimation of beta coefficients for various macroeconomic factors. A rolling regression technique is applied in order to identify a possible time variation of the regression coefficients. Overall we find empirical evidence of the time variation of the explanatory power and the regression coefficients. Moreover, banks are especially exposed to interest rate risk.

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