Using data on all firms listed in the top segment of the Frankfurt Stock Exchange during the years 1960 to 2007, we investigate how the (Sharpe-Lintner) CAPM performs under the assumption that the German capital market is totally segmented from other capital markets. We also check whether this...

Previous estimates of the mean 3-year buy-and hold abnormal returns of German IPO stocks range from -52.20% to 1.66%. It is difficult to justify this significant variation in abnormal returns, given the almost identical calculation procedures and the large overlap in sample periods. We argue...

Our study deals with the process of beta estimation and focuses on companies which are subject to European network regulation. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant...

Durchschnittsrenditen deutscher Aktien 1954 – 1988 Im Zeitraum 1954 bis Ende 1988 waren passive Kapitalanlagen in deutschen Aktien mit merklich höheren Durchschnittsrenditen verbunden als Kapitalanlagen in festverzinslichen Wertpapieren, insbesondere bei Einbeziehung von Steuern und der...

Seit seiner Einführung im Jahre 1988 hat sich der DAX zum wichtigsten Indikator für die Performance deutscher Aktien entwickelt. Im vorliegenden Beitrag werden die Ergebnisse einer Rückberechnung des DAX für den Zeitraum von Januar 1955 bis Dezember 1987 vorgestellt und die damit verbundenen...

Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the...