The predictability of German stock returns/ Judith Klähn ; with a foreword by Hellmuth Milde
Author(s)
Bibliographic Information
The predictability of German stock returns/ Judith Klähn ; with a foreword by Hellmuth Milde
（Gabler Edition Wissenschaft, . Empirische Finanzmarktforschung = Empirical finance / herausgegeben von Pieter Krahnen und Richard Stehle）
Deutscher Univsitäts-Verlag : Gabler, c2000
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Note
Originally presented as the author's thesis (Ph. D.)--Universität Trier, 1998
Includes bibliographical references
Description and Table of Contents
Description
Judith Klahn proves that some of the most important variables in predicting U.S. equity returns are not significant for the German stock market. She shows that the composition of Germany's investor base plays an important role, and she outlines the variables crucial for the German stock market.
Table of Contents
1. Introduction.- 2. Theoretical Framework for Return Predictability.- 3. Literature Review on Empirical Studies.- 3.1 Tests for the U.S. Equity Market.- 3.2 Tests for Different National Equity Markets.- 3.3 Summary of Results on Monthly Return Predictability.- 3.4 Are Markets Integrated? Literature Review.- 4. Statistical Methods.- 4.1 Ordinary Least Squares.- 4.2 WHITE Correction for Heteroskedasticity.- 4.3 Generalized Method of Moments.- 4.3.1 General Method.- 4.3.2 Special Case: Ordinary Least Squares.- 4.3.3 Special Case: WHITE Correction for Heteroskedasticity.- 5. Data.- 5.1 Frequency of Data.- 5.2 German Market Index and Industry Portfolios.- 5.3 Statistical Properties of Instruments Used in Previous Studies.- 5.4 Instruments Used.- 5.5 Summary Statistics.- 6. Empirical Results.- 6.1 German Instruments.- 6.1.1 Test for Multicollinearity.- 6.1.2 Test for the Market Index.- 6.1.3 Test for the Industry Portfolios.- 6.2 German and World Instruments.- 6.2.1 Test for Multicollinearity.- 6.2.2 Test for the Market Index.- 6.2.3 Test for the Industry Portfolios.- 6.3 German and U.S. Instruments.- 6.3.1 Test for Multicollinearity.- 6.3.2 Test for the Market Index.- 6.3.3 Test for the Industry Portfolios.- 6.4 Summary of Results.- 6.5 Are World or U.S. Instruments More Important in Predicting German Stock Returns?.- 6.6 Test for Reunification Effects.- 6.7 Do German Instruments also Predict U.S. Stock Returns?.- 7. Conclusion.- 8. References.
by "Nielsen BookData"