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Welche Faktoren beeinflussen erwartete Aktienrenditen? - eine Analyse anhand von Umfragedaten

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Löffler, G., Weber, M. Welche Faktoren beeinflussen erwartete Aktienrenditen? - eine Analyse anhand von Umfragedaten. Journal of Contextual Economics – Schmollers Jahrbuch, 117(2), 209-246. https://doi.org/10.3790/schm.117.2.209
Löffler, Gunter and Weber, Martin "Welche Faktoren beeinflussen erwartete Aktienrenditen? - eine Analyse anhand von Umfragedaten" Journal of Contextual Economics – Schmollers Jahrbuch 117.2, 1997, 209-246. https://doi.org/10.3790/schm.117.2.209
Löffler, Gunter/Weber, Martin (1997): Welche Faktoren beeinflussen erwartete Aktienrenditen? - eine Analyse anhand von Umfragedaten, in: Journal of Contextual Economics – Schmollers Jahrbuch, vol. 117, iss. 2, 209-246, [online] https://doi.org/10.3790/schm.117.2.209

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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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Article Details

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.