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Der Size-Effekt am deutschen Aktienmarkt

Author

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  • Stehle Richard

    (Ph.D., Universitätsprofessor an der Humboldt-Universität zu Berlin)

Abstract

In diesem Beitrag wird empirisch untersucht, ob in Deutschland wie in den USA das Phänomen zu beobachten ist, daß Aktien mit niedriger Marktkapitalisierung im Schnitt höhere Renditen erzielen als das Sharpe/Lintner-Modell prognostiziert, Aktien mit hoher Marktkapitalisierung niedrigere (Size-Effekt). Zudem wird unter-sucht, ob neben dem Size-Effekt auch ein Januar-Effekt auftritt und wie die beiden genannten Effekte zusammenhängen. Mit einem umfangreichen Datensatz (1954 bis 1990) und alternativen ökonometrischen Vorgehensweisen wird die Existenz eines Size-Effektes bei bereinigten Renditen nachgewiesen. Damit wird gleichzeitig auch das Sharpe/Lintner-CAPM in seiner strengen Form für den deutschen Markt widerlegt. Wichtige Erklärungshypothesen für die genannten Effekte werden diskutiert.

Suggested Citation

  • Stehle Richard, 1997. "Der Size-Effekt am deutschen Aktienmarkt," Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB), RWS Verlag, vol. 9(3), pages 237-260, September.
    • Handle: RePEc:bpj:zfbrbw:v:9:y:1997:i:3:p:237-260:n:3
    DOI: 10.15375/zbb-1997-0303
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    Citations

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    Cited by:

    1. Stehle, Richard & Seifert, Udo, 2003. "Stock Performance around Share Repurchase Announcements in Germany," SFB 373 Discussion Papers 2003,48, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    2. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    3. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes," Papers 05-10, Sonderforschungsbreich 504.
    4. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
    5. Sabine Artmann & Philipp Finter & Alexander Kempf & Stefan Koch & Erik Theissen, 2012. "The Cross-Section of German Stock Returns: New Data and New Evidence," Schmalenbach Business Review (sbr), LMU Munich School of Management, vol. 64(1), pages 20-43, January.
    6. van Dijk, Mathijs A., 2011. "Is size dead? A review of the size effect in equity returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3263-3274.
    7. Hagemeister, Meike & Kempf, Alexander, 2007. "CAPM und erwartete Renditen: Eine Untersuchung auf Basis der Erwartung von Marktteilnehmern," CFR Working Papers 07-01, University of Cologne, Centre for Financial Research (CFR).
    8. Ehrhardt, Olaf & Koerstein, Ralf, 1999. "Die Simulation langfristiger Überrenditen," SFB 373 Discussion Papers 1999,56, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    9. Schröder, Michael & Rennings, Klaus & Ziegler, Andreas, 2002. "Der Einfluss ökologischer und sozialer Nachhaltigkeit auf den Shareholder Value europäischer Aktiengesellschaften," ZEW Discussion Papers 02-32, ZEW - Leibniz Centre for European Economic Research.
    10. Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01, University of Cologne, Centre for Financial Research (CFR).
    11. Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-043, ZEW - Leibniz Centre for European Economic Research.
    12. Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2011. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01 [rev.], University of Cologne, Centre for Financial Research (CFR).
    13. Daske, Stefan, 2002. "Winner-Loser-Effekte am deutschen Aktienmarkt," SFB 373 Discussion Papers 2002,87, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    14. Christian Fieberg & Armin Varmaz & Thorsten Poddig, 2016. "Covariances vs. characteristics: what does explain the cross section of the German stock market returns?," Business Research, Springer;German Academic Association for Business Research, vol. 9(1), pages 27-50, April.
    15. Elsas, Ralf & El-Shaer, Mahmoud & Theissen, Erik, 2003. "Beta and returns revisited: Evidence from the German stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 1-18, February.

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