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The Predictabilty of German Stock Returns

Author: Judith Klähn
Publisher: Wiesbaden : Deutscher Universitätsverlag, 2000.
Series: Empirische Finanzmarktforschung / Empirical Finance.
Edition/Format:   eBook : Document : English : Gabler edition WissenschaftView all editions and formats
Summary:
Extensive literature investigates the predictability of U.S. equity returns. This does not imply, however, that the results are equally valid for the German equity market. Judith Klähn's central theory is that the German stock market is not comparable to Wall Street. She proves that some of the most important variables in predicting U.S. equity returns are not significant for the German stock market. The author  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Judith Klähn
ISBN: 9783322813787 3322813789
OCLC Number: 851754281
Description: 1 online resource (xiv, 128 pages).
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 --
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 --
6.2 German and World Instruments --
6.3 German and U.S. Instruments --
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.
Series Title: Empirische Finanzmarktforschung / Empirical Finance.
Other Titles: Dissertation Universität Trier 1998
Responsibility: by Judith Klähn.

Abstract:

Dissertation Universitat Trier 1998  Read more...

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