Empirische Untersuchung zur Bedeutung makroökonomischer Faktoren für Aktienrenditen am deutschen Kapitalmarkt

Abstract

Wir danken Wolfgang Drobetz und einem anonymen Gutachter für ihre hilfreichen Anmerkungen.

Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure

“…Similarly, model 2 is specified with the monthly first differences of the three-month spot rates. Alternatively, other authors including Bessler and Opfer (2003) and Behr and Sebastian (2006) specify models with a level and a heuristic slope factor where the latter is often defined as the difference between the level factor and another mostly shorter-term interest rate. Thus, our model 3 consists of model 1 extended by a second interest rate factor containing monthly changes of the difference between the ten-year and the three-month rate.…”

“…3 Notable exceptions are studies by Lynge and Zumwalt (1980) and Fogler et al (1981) for the US market, where two interest rate factors of different maturities are simultaneously employed. Applications to German data include Elgeti and Maurer (2000), Bessler and Opfer (2003), and Behr and Sebastian (2006) who employ two heuristic level and slope factors.…”

An evaluation of conditional multi-factor models in active asset allocation strategies: an empirical study for the German stock market

“…leading indicators: Nowak (1994), Sauer (1994) ICI Absolute change in the Industrial Confidence Bessler et al (2003) Indicator of European Commission…”

“…LTGB Absolute change in the long-term (10 year) Asprem (1989), Wasserfallen (1989), Nowak (1994), Bessler et al (2003) government bond yield SPREAD Absolute change in the difference between Sauer (1994), Nowak (1994), Lockert (1996), Garz (2000), the long-term government bond yield and Bessler et al (2003) 1-month money market rate (term structure) CPI Log change of Consumer Price Index (CPI) Wasserfallen (1989), Asprem (1989), Sauer (1994), Garz (2000) PPI Log change of Producer Price Index (PPI) leading property for price trends…”

“…Euro to US Dollar Bessler et al (2003) TOTMKUS Return on the Datastream Total Return Asprem (1989) Index for the US stock market HWWA Log change in the HWWA Commodity…”