Determinanten erwarteter Renditen am deutschen Aktienmarkt — Eine empirische Untersuchung anhand ausgewählter Kennzahlen

Martin Wallmeier
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Martin Wallmeier: Universität Augsburg

Schmalenbach Journal of Business Research, 2000, vol. 52, issue 1, 27-57

Abstract: Summary The paper explores the cross-sectional determinants of stock returns in Germany, using the following variables: beta, earnings yield, cash flow yield, financial leverage, size, and book-to-market equity. Various statistical specifications are applied to a comprehensive data set that extends from 1967 to 1994. The findings reveal a significant relation between expected returns and the two variables cash flow yield and book-to-market equity. The impact of size appears to be less pronounced. In general, the portion of the explained variation in average stock returns is rather small. The results bear a striking resemblance to the evidence on the cross-section of expected stock returns accumulated in some other European countries and especially the U.S. and Japan. Some findings point to market overreaction causing the dependencies, whereas we do not find evidence in favor of the hypothesis that the fundamental variables proxy for omitted risk factors.

Date: 2000
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DOI: 10.1007/BF03372607

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