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Stehle, R., Schmidt, M. Returns on German Stocks 1954 to 2013. Credit and Capital Markets – Kredit und Kapital, 48(3), 427-476. https://doi.org/10.3790/ccm.48.3.427
Stehle, Richard and Schmidt, Martin H. "Returns on German Stocks 1954 to 2013" Credit and Capital Markets – Kredit und Kapital 48.3, 2015, 427-476. https://doi.org/10.3790/ccm.48.3.427
Stehle, Richard/Schmidt, Martin H. (2015): Returns on German Stocks 1954 to 2013, in: Credit and Capital Markets – Kredit und Kapital, vol. 48, iss. 3, 427-476, [online] https://doi.org/10.3790/ccm.48.3.427

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Returns on German Stocks 1954 to 2013

Stehle, Richard | Schmidt, Martin H.

Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 3 : pp. 427–476

12 Citations (CrossRef)

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Article Details

Author Details

Prof. Richard Stehle, Humboldt-Universität Berlin, School of Business and Economics. Mail address: Unter den Linden 6, 10099 Berlin

Dipl.-Kfm (FH) Martin H. Schmidt, Humboldt-Universität Berlin, School of Business and Economics. Mail address: Unter den Linden 6, 10099 Berlin

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  9. Another German Fama/French Factor Data Set

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  10. Do Insiders and Their Imitators Trade Profitably? Index-Specific Evidence from Germany

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Abstract

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 returns implied by major German stock market indices. In each of the four sub-periods we look at, which together cover the full 60 years, our time series is fully in line with at least one of the indices. In addition to looking at nominal rates of return we look at real returns and at excess returns with respect to the one-month money market interest rate. We show that the riskiness of a 20-year investment in German stocks, measured by the frequency of negative excess returns, has not increased but rather decreased since the middle of the 1960s.

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