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Regression Betas and Implied Betas: Their Respective Implications for the Equity Risk Premium

  • Olaf Stotz

    (Rheinisch-Westfälische Technische Hochschule Aachen, Lehr- und For- schungsgebiet Allgemeine Betriebswirtschaftslehre, Templergraben 64, D-52056 Aachen)

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    In diesem Beitrag wird eine alternative Methode zur Schätzung des CAPM-Betafaktors vorgestellt. Aus einem Residual- Income- Modell werden implizite Betafaktoren abgeleitet, die mit den Schätzungen auf Basis üblicher Regressionsmethoden (OLS) verglichen werden. Die empirischen Ergebnisse zeigen, dass implizite Betafaktoren realisierte Querschnittsrenditen von Aktien besser erklären können als Regressionsbetas. Implizite Betafaktoren führen am deutschen Aktienmarkt zu einer positiven Marktrisikoprämie von ca. 4%, während Regressionsbetas zu keiner positiven bzw. negativen Marktrisikoprämie führen

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    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 40 (2007)
    Issue (Month): 2 ()
    Pages: 317-341

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    Handle: RePEc:kuk:journl:v:40:y:2007:i:2:p:317-341
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