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Zur Quantifizierung von Risikoprämien deutscher Versicherungsaktien im Kontext von Multifaktorenmodellen

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  • Rolf Elgeti
  • Raimond Maurer

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    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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    Bibliographic Info

    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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    Keywords: Risikoprämien; Versicherungsaktien; Kapitalmarkt.;

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