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Welche Faktoren beeinflussen erwartete Aktienrenditen? - eine Analyse anhand von Umfragedaten
Löffler, Gunter | Weber, Martin
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 117 (1997), Iss. 2 : pp. 209–246
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Löffler, Gunter
Weber, Martin
Abstract
Tests of the Sharpe-Lintner-Mossin-CAPM usually employ historical data to examine the relation between expected returns and systematic risk. In this paper, expected returns are derived from stock price forecasts of institutional investors, and their willingness to pay for individual stocks. The analysis reveals that return forecasts vary significantly with beta, but this relation weakens once other factors, notably book-to-market equity, are controlled for. In individual portfolio choice, on the other hand, risks associated with beta and book-to-market equity are captured by total variance. Our findings are consistent with the weak association between beta and German stock returns, and cast doubt on the use of rational asset-pricing stories to explain the existence of a book-to-market factor in average stock returns.