Judith Klähn

The Predictabilty of German Stock Returns

• Broschiertes Buch

Produktbeschreibung

Ten years ago, most textbooks on financial management advocated the thesis that stock returns are essentially unpredictable. This theory is called the Random Walk Approach to the development of asset prices. The approach said that the stock market is subject to random changes, which are, by definition, unpredictable. Apparent predictabilities, if ever discovered, were either dismissed as statistical artifacts or as data that cannot be exploited after transaction costs. In the meantime, the world of financial economics has turned upside down. We now realize clearly that returns are indeed predictable to a large extent. Recent studies have confirmed that U.S. stock returns are highly predictable. In this new research context, Judith Klahn posed the question whether German stock returns follow the same pattern. The predictability of German stock returns is the topic of her thesis. She is in a position to identify the relevant variables in the German context. Her basic result is thatthe driving forces of the German stock market and the U.S. stock market differ in most aspects. According to the Handelsblatt, Judith Klahn's statement is: "Deutscher Aktienmarkt ist kaum mit der Wall Street vergleichbar" (No. 120, June 25, 1999, p. 47).

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Produktdetails

• Gabler Edition Wissenschaft
• Verlag: Deutscher Universitätsverlag / Gabler
• Artikelnr. des Verlages: 978-3-8244-7102-7
• 2000.
• Seitenzahl: 144
• Erscheinungstermin: 28. Juni 2000
• Englisch
• Abmessung: 210mm x 148mm x 9mm
• Gewicht: 218g
• ISBN-13: 9783824471027
• ISBN-10: 3824471027
• Artikelnr.: 36110713

Autorenporträt

Dr. Judith Klähn promovierte bei Prof. Dr. Hellmuth Milde am Lehrstuhl für Geld, Kredit, Finanzierung der Universität Trier. Sie ist als Investmentbankerin bei der Deutsche Bank Securities im Bereich Asset Backed Securities in New York tätig.

Inhaltsangabe

1. Introduction.- 2. Theoretical Framework for Return Predictability.- 3. Literature Review on Empirical Studies.- 3.1 Tests for the U.S. Equity Market.- 3.2 Tests for Different National Equity Markets.- 3.3 Summary of Results on Monthly Return Predictability.- 3.4 Are Markets Integrated? Literature Review.- 4. Statistical Methods.- 4.1 Ordinary Least Squares.- 4.2 WHITE Correction for Heteroskedasticity.- 4.3 Generalized Method of Moments.- 5. Data.- 5.1 Frequency of Data.- 5.2 German Market Index and Industry Portfolios.- 5.3 Statistical Properties of Instruments Used in Previous Studies.- 5.4 Instruments Used.- 5.5 Summary Statistics.- 6. Empirical Results.- 6.1 German Instruments.- 6.2 German and World Instruments.- 6.3 German and U.S. Instruments.- 6.4 Summary of Results.- 6.5 Are World or U.S. Instruments More Important in Predicting German Stock Returns?.- 6.6 Test for Reunification Effects.- 6.7 Do German Instruments also Predict U.S. Stock Returns?.- 7. Conclusion.- 8. References.