Advertisement

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)

Abstract

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.

Keywords

Interest Rate Stock Return Excess Return Beta Coefficient Interest Rate Risk 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. BESSLER, W. (2001): Maximalbelastungstheorie und Zinsrisikomanagement. In: H. Schmidt, H. Ketzel, and St. Prigge (Eds.): Moderne Konzepte fuer Finanzmaerkte, Beschaeftigung und Wirtschaftsverfassung. Mohr Siebeck, Tuebingen, 15–48.Google Scholar
  2. BESSLER, W. and BOOTH, G.G. (1994): Interest Rate Sensitivity of Bank Stock Returns in a Universal Banking System. Journal of International Financial Markets, Institutions and Money, 3, 117–136.Google Scholar
  3. BESSLER, W. and MURTAGH, J.P. (2003a): An International Study of the Risk Characteristics of Banks and Non-Banks. WP, University of Giessen.Google Scholar
  4. BESSLER, W. and OPFER, H. (2003b): Eine empirische Untersuchung zur Bedeutung makrooekonomischer Einflussfaktoren auf Aktienrenditen am deutschen Kapitalmarkt. WP, University of Giessen.Google Scholar
  5. CHEN, N.-F., ROLL, R., and ROSS, S.A. (1986): Economic Forces and the Stock Market. Journal of Business, 59, 383–403.CrossRefGoogle Scholar
  6. ENTORF, H. (2000) Der deutsche Aktienmarkt, der Dollar und der Aussenhandel. Zeitschrift fuer Betriebswirtschaft, 70, 515–539.Google Scholar
  7. FLANNERY, M.J. and JAMES, CM. (1984): The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions. Journal of Finance, 39, 1141–1154.Google Scholar
  8. NEWEY, W.K. and WEST, K.D. (1987): A Simple, Positive Semi-Definite, Heteroskedasticity and Autokorrelation Consistent Covariance Matrix. Econometrica, 55, 703–708.MathSciNetGoogle Scholar
  9. NOWAK, T. (1994): Faktormodelle in der Kapitalmarkttheorie. Botermann & Botermann Verlag, Koeln.Google Scholar
  10. SAUER, A. (1994): Faktormodelle und Bewertung am deutschen Aktienmarkt. Fritz Knapp Verlag, Frankfurt am Main.Google Scholar

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

Personalised recommendations