The Predictabilty of German Stock Returns / by Judith Klähn.

Format:

Book

Author/Creator:

Klähn, Judith., Author.

Series:

Empirische Finanzmarktforschung/Empirical Finance, 2945-8226

Language:

English

Subjects (All):

Finance.

Financial Economics.

Local Subjects:

Financial Economics.

Physical Description:

1 online resource (XIV, 128 p.)

Edition:

1st ed. 2000.

Place of Publication:

Wiesbaden : Deutscher Universitätsverlag : Imprint: Deutscher Universitätsverlag, 2000.

Language Note:

English

Summary:

Extensive literature investigates the predictability of U.S. equity returns. This does not imply, however, that the results are equally valid for the German equity market. Judith Klähn's central theory is that the German stock market is not comparable to Wall Street. She proves that some of the most important variables in predicting U.S. equity returns are not significant for the German stock market. The author shows that the composition of Germany's investor base plays an important role, and she outlines the variables crucial for the German stock market.

Contents:

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.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references.

ISBN:

3-322-81378-9