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Zur Quantifizierung von Risikoprämien deutscher Versicherungsaktien im Kontext von Multifaktorenmodellen

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Author Info
Rolf Elgeti
Raimond Maurer ()
Abstract

Vorgestellt wird eine empirische Studie, welche den Zusammenhang zwischen Rendite und Risiko für ein Sample deutscher Versicherungsaktien im Zeitraum 1975-1998 untersucht. Als Methode wurde ein Multifaktorenmodell mit makroökonomischen Faktoren verwendet. Je nach Untersuchungszeitraum beläuft sich der Anteil der erklärten Varianz auf 9,29% bis 13,62%. Es konnte eine signifikanter negativer Einfluß zwischen der Veränderung des allgemeinen Zinsniveaus und den Risikoprämien von Versicherungsaktien identifiziert werden. Weiterhin ist Wechselkurses der DM zum US-Dollar signifikant

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Paper provided by Department of Finance, Goethe University Frankfurt am Main in its series Working Paper Series: Finance and Accounting with number 59.

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Date of creation: 2000
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Handle: RePEc:fra:franaf:59

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Related research
Keywords: Risikoprämien; Versicherungsaktien; Kapitalmarkt.;

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  8. Rozeff, Michael S. & Kinney, William Jr., 1976. "Capital market seasonality: The case of stock returns," Journal of Financial Economics, Elsevier, vol. 3(4), pages 379-402, October. [Downloadable!] (restricted)
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