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Author: | Möller, H. P. |
Title: | Die Bewertung risikobehafteter Anlagen an deutschen Wertpapierbörsen. |
Journal: | Schmalenbachs Zeitschrift für Betriebswirtschaftliche Forschung
1988 : SEP, VOL. 40:9, p. 779-797 |
Index terms: | CAPITAL MARKETS CAPITAL ASSET PRICING RETURN ON INVESTMENT STOCK EXCHANGES FEDERAL REPUBLIC OF GERMANY |
Language: | ger |
Abstract: | With the Capital Asset Pricing Model /CAMP/ the theory of capital markets focuses on the valuation of one period investments with risky returns. The CAPM provides a simplification and optimization of the decisions on such investments. The topic is the empirical relation between risk and return on the German stock exchanges. According to the CAPM the expected return is a simple linear function of systematic risk. Five models are used to describe the empirical relation between these variables. On the basis of weekly returns between 1961 and 1979 of the 233 biggest German industrial and transportation shares, a simple linear model conforming with the CAPM turns out to be the best model. |
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