Analysis of risk premiums in the European stock market

  • Studies on the empirical validation of beta-return relationship postulated in the CAPM has a relatively long history. The first study was conducted by John Lintner in 1965, shortly after the introduction of the model. In one of the recent studies, Malcolm Baker (forthcoming) examines two portfolios, one consisting of the 30% of U.S. stocks with the lowest beta, another of the 30% with the highest beta. By the end of the period, the low-beta portfolio significantly outperforms the high-beta portfolio (Economist, 2016). Following two recognized testing methods developed by Lintner (1965) and Fama/MacBeth (1973), this bachelor thesis examines the nature of the relationship between beta and return for the German stock market. The sample periods observed in this study range from January 1973 to May 2016 depending on the testing method. The obtained results are then compared with the outcome of the previous studies for the European stock market. The analysis reveals that the relationship between beta and return is insignificant in most of the models. These results are consistent with the European stock market, if the unconditional cross-sectional analysis is considered.

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Metadaten
Author:Anastasia Lyulekina
URN:urn:nbn:de:kobv:b721-opus4-13646
Referee:Ursula Walther
Advisor:Alexander Bönsch
Document Type:Bachelor Thesis
Language:English
Date of first Publication:2019/01/04
Publishing Institution:Hochschulbibliothek HWR Berlin
Granting Institution:Hochschule für Wirtschaft und Recht Berlin
Date of final exam:2016/08/15
Release Date:2019/01/04
Page Number:58
Institutes:FB I - Wirtschaftswissenschaften / International Business Management (IBMAN) B.A.
Licence (German):License LogoUrheberrechtsschutz