The predictability of German stock returns:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Wiesbaden
Dt. Univ.-Verl.
2000
Wiesbaden Gabler |
| Series: | Gabler Edition Wissenschaft : Empirical finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 128 S. 21 cm |
| ISBN: | 3824471027 |
Staff View
MARC
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| 245 | 1 | 0 | |a The predictability of German stock returns |c Judith Klähn |
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Record in the Search Index
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| adam_text | Contents
1. Introduction 1
2. Theoretical Framework for Return Predictability 9
3. Literature Review on Empirical Studies 15
3.1 Tests for the U.S. Equity Market 16
3.2 Tests for Different National Equity Markets 22
3.3 Summary of Results on Monthly Return Predictability 27
3.4 Are Markets Integrated? Literature Review 29
4. Statistical Methods 33
4.1 Ordinary Least Squares 33
4.2 WHITE Correction for Heteroskedasticity 35
4.3 Generalized Method of Moments 36
4.3.1 General Method 36
4.3.2 Special Case: Ordinary Least Squares 40
4.3.3 Special Case: WHITE Correction for Heteroskedasticity 42
5. Data 45
5.1 Frequency of Data 45
5.2 German Market Index and Industry Portfolios 46
5.3 Statistical Properties of Instruments Used in Previous Studies 48
5.4 Instruments Used 53
5.5 Summary Statistics 57
6. Empirical Results 59
6.1 German Instruments 59
6.1.1 Test for Multicollinearity 59
6.1.2 Test for the Market Index 63
6.1.3 Test for the Industry Portfolios 68
6.2 German and World Instruments 71
6.2.1 Test for Multicollinearity 71
6.2.2 Test for the Market Index 72
6.2.3 Test for the Industry Portfolios 79
6.3 German and U.S. Instruments 84
6.3.1 Test for Multicollinearity 85
6.3.2 Test for the Market Index 87
6.3.3 Test for the Industry Portfolios 96
6.4 Summary of Results 97
6.5 Are World or U.S. Instruments More Important in Predicting German Stock
Returns? 97
6.6 Test for Reunification Effects 105
6.7 Do German Instruments also Predict U.S. Stock Returns? 107
7. Conclusion 113
8. References 117
XI
Tables
Table 1 Forecasting variables used in studies on the U.S. equity market 27
Table 2 Forecasting variables used in studies on the German equity market 28
Table 3 Industry classification 47
Table 4 Test for unit roots: augmented DICKEY / FULLER test 51
Table 5 Test for unit roots: augmented DICKEY / FULLER test 52
Table 6 Summary statistics for the instrumental variables 57
Table 7 Summary statistics for the industry portfolios 58
Table 8 Correlation of the German instrumental variables 60
Table 9 Variance inflation factors 62
Table 10 Forecasting German excess stock returns with German instruments 65
Table 11 Distribution of stock ownership in Germany and the United States 66
Table 12 Forecasting variables used in studies on different national equity 67
markets
Table 13 Forecasting German excess stock returns with German instruments 69
Table 14 Correlation of the German and world instrumental variables 72
Table 15 Variance inflation factors 73
Table 16 Forecasting German excess stock returns with German and world 74
instruments
Table 17 Forecasting German excess stock returns with German and world 76
instruments including the ratio of the German GDP per capita in
DM to the world GDP per capita in U.S. dollars
Table 18 Variance inflation factors 78
Table 19 Forecasting German excess stock returns with German and world 80
instruments including the ratio of the German GDP per capita to
the world GDP per capita, both measured in U.S. dollars
Table 20 Forecasting German excess stock returns with German and world 82
instruments
Table 21 Correlation of the German and U.S. instrumental variables 85
Table 22 Variance inflation factors 86
Table 23 Forecasting German excess stock returns with German and U.S. 88
instruments
Table 24 Forecasting German excess stock returns with German and U.S. 90
instruments including the ratio of the German GDP per capita in
DM to the U.S. GDP per capita in U.S. dollars
Table 25 Variance inflation factors 91
Table 26 Forecasting German excess stock returns with German and U.S. 92
instruments including the ratio of the German GDP per capita to
the U.S. GDP per capita, both measured in U.S. dollars
Table 27 Forecasting German excess stock returns with German and U.S. 94
instruments
xni
1
Table 28 Comparison of the results ¦ ff
Table 29 Regression of German excess stock returns on the KM
contemporaneous world excess market return and German and
U.S. instruments
Table 30 Regression of German excess stock returns on the 1®
contemporaneous U.S. excess market return and German and
world instruments
Table 31 Regression of world excess stock returns on the contemporaneous 1(8
U.S. excess market return
Table 32 Regression of German excess stock returns on the lagged U.S. 1W
excess market return and the residual
Table 33 Reunification effects 1M
Table 34 Forecasting U.S. excess stock returns with U.S. instruments 1®
Table 35 Forecasting U.S. excess stock returns with German and U.S. H
instruments
XIV
|
| any_adam_object | 1 |
| author | Klähn, Judith |
| author_GND | (DE-588)122025784 |
| author_facet | Klähn, Judith |
| author_role | aut |
| author_sort | Klähn, Judith |
| author_variant | j k jk |
| building | Verbundindex |
| bvnumber | BV013164280 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)45968813 (DE-599)BVBBV013164280 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| physical | XIV, 128 S. 21 cm |
| publishDate | 2000 |
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| publisher | Dt. Univ.-Verl. Gabler |
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| series2 | Gabler Edition Wissenschaft : Empirical finance |
| spelling | Klähn, Judith Verfasser (DE-588)122025784 aut The predictability of German stock returns Judith Klähn Wiesbaden Dt. Univ.-Verl. 2000 Wiesbaden Gabler XIV, 128 S. 21 cm txt rdacontent n rdamedia nc rdacarrier Gabler Edition Wissenschaft : Empirical finance Zugl.: Trier, Univ., Diss., 1998 Vorhersagbarkeit (DE-588)4260601-9 gnd rswk-swf Entwicklung (DE-588)4113450-3 gnd rswk-swf Aktienkursprognose (DE-588)4122774-8 gnd rswk-swf Aktienmarkt (DE-588)4130931-5 gnd rswk-swf Prognose (DE-588)4047390-9 gnd rswk-swf Aktienrendite (DE-588)4126593-2 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Aktienrendite (DE-588)4126593-2 s Prognose (DE-588)4047390-9 s USA (DE-588)4078704-7 g DE-604 Aktienmarkt (DE-588)4130931-5 s Entwicklung (DE-588)4113450-3 s Vorhersagbarkeit (DE-588)4260601-9 s Aktienkursprognose (DE-588)4122774-8 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008969264&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Klähn, Judith The predictability of German stock returns Vorhersagbarkeit (DE-588)4260601-9 gnd Entwicklung (DE-588)4113450-3 gnd Aktienkursprognose (DE-588)4122774-8 gnd Aktienmarkt (DE-588)4130931-5 gnd Prognose (DE-588)4047390-9 gnd Aktienrendite (DE-588)4126593-2 gnd |
| subject_GND | (DE-588)4260601-9 (DE-588)4113450-3 (DE-588)4122774-8 (DE-588)4130931-5 (DE-588)4047390-9 (DE-588)4126593-2 (DE-588)4011882-4 (DE-588)4078704-7 (DE-588)4113937-9 |
| title | The predictability of German stock returns |
| title_auth | The predictability of German stock returns |
| title_exact_search | The predictability of German stock returns |
| title_full | The predictability of German stock returns Judith Klähn |
| title_fullStr | The predictability of German stock returns Judith Klähn |
| title_full_unstemmed | The predictability of German stock returns Judith Klähn |
| title_short | The predictability of German stock returns |
| title_sort | the predictability of german stock returns |
| topic | Vorhersagbarkeit (DE-588)4260601-9 gnd Entwicklung (DE-588)4113450-3 gnd Aktienkursprognose (DE-588)4122774-8 gnd Aktienmarkt (DE-588)4130931-5 gnd Prognose (DE-588)4047390-9 gnd Aktienrendite (DE-588)4126593-2 gnd |
| topic_facet | Vorhersagbarkeit Entwicklung Aktienkursprognose Aktienmarkt Prognose Aktienrendite Deutschland USA Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008969264&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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