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Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Author

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  • Hanauer, Matthias
  • Kaserer, Christoph
  • Rapp, Marc Steffen

Abstract

Der deutsche Aktienmarkt sah sich in den letzten 15 Jahren substantiellen Veränderungen gegenüber, welche unter anderem in eine zunehmende Internationalisierung und deutlich erhöhten Streubesitz mündeten. In der vorliegenden Arbeit untersuchen wir, inwieweit dies die aus klassischen Multifaktormodellen bekannten Risikofaktoren beeinflusste. Basierend auf den Renditen derCDAX-Unternehmen von Juli 1996 bis Juni 2011 dokumentieren wir vier wesentliche Ergebnisse. Erstens finden wir eine insignifikant (positive) Marktrisikoprämie, eine signifikant negative Größenprämie (Size Premium), eine signifikant positive Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier Faktoren untereinander nur schwach bzw. negativ korreliert und teilweise mit internationalen Gegenstücken nur schwach korreliert. Drittens zeigt sich, dass Renditen von Aktienportfolios, sortiert nach Marktkapitalisierung und Buch-Marktwert-Verhältnis, durch ein Dreifaktorenmodell nach Fama French (1993) substantiell besser erklärt werden, als durch ein Einfaktormodell in Anlehnung an das klassische Capital Asset Pricing Model. Der zusätzliche Erklärungsbeitrag des Momentumfaktors in Anlehnung an Carhart (1997) ist hingegen marginal. Letztendlich argumentieren wir daher vor dem Hintergrund der bekannten Literatur und unserer Ergebnisse für eine länderspezifische Erweiterung des Capital Asset Pricing Models.

Suggested Citation

  • Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen, 2011. "Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)," CEFS Working Paper Series 2011-01, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
    • Handle: RePEc:zbw:cefswp:20111
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    References listed on IDEAS

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    1. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Philipp Dirkx & Franziska J. Peter, 2020. "The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 72(4), pages 661-684, October.
    2. Friedrich-Carl Franz & Tobias Regele, 2016. "Beating the DAX, MDAX, and SDAX: investment strategies in Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(2), pages 161-204, May.

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    More about this item

    Keywords

    CAPM; multi-factor models; asset pricing; asset pricing anomalies; anomalies; Fama French; Carhart; risk factors; value; size; momentum; Germany;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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