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CAPM extensions in the German stock market

  • This paper prices risk factors in the Capital Asset Pricing Model (CAPM) to explain portfolio returns of the German stock market. Using a two-part regression procedure, we show that beta exhibits slight significance in capturing the variations of asset returns. When higher co-moments and Fama French factors are added to the model, we find a moderate improvement in the significance levels of all risk factors and in the overall explanatory power of the model. Moreover, following the conditional beta method employed in Pettengill et al. (1995), we show that risk factors perform fairly well in crosssection settings, especially in the down-market condition. Our chosen long time horizon shows that the composite model with all factors included performs better in post-recession periods.

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Metadaten
Author:Thuy Duong Nguyen
URN:urn:nbn:de:kobv:b721-opus4-10680
Referee:Ursula Walther
Advisor:Axel Hellmann
Document Type:Master's Thesis
Language:English
Date of first Publication:2018/11/07
Publishing Institution:Hochschulbibliothek HWR Berlin
Granting Institution:Hochschule für Wirtschaft und Recht Berlin
Date of final exam:2018/07/25
Release Date:2018/11/07
Page Number:79
Institutes:FB I - Wirtschaftswissenschaften
Licence (German):License LogoUrheberrechtsschutz