Macroeconomic Factors and Stock Returns in Germany

  • Wolfgang Bessler
  • Heiko Opfer
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)


The objective of this study is to investigate the importance of various macroeconomic factors in explaining the return structure for a bank index and five German industrial indices for the period from 1974 to 2000. The empirical analysis focuses on the decomposition of variances and the estimation of beta coefficients for various macroeconomic factors. A rolling regression technique is applied in order to identify a possible time variation of the regression coefficients. Overall we find empirical evidence of the time variation of the explanatory power and the regression coefficients. Moreover, banks are especially exposed to interest rate risk.


Interest Rate Stock Return Excess Return Beta Coefficient Interest Rate Risk 
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Copyright information

© Springer-Verlag Berlin · Heidelberg 2005

Authors and Affiliations

  • Wolfgang Bessler
    • 1
  • Heiko Opfer
    • 1
  1. 1.Center for Finance and BankingJustus-Liebig-University GiessenGiessenGermany

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