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Multifaktormodelle zur Erklärung deutscher Aktienrenditen: Eine empirische Analyse

Author

Listed:
  • Andreas Ziegler

    (Group for Sustainability and Technology (SusTec) der Eidgenössischen Technischen Hochschule (ETH) Zürich
    Universität Zürich)

  • Michael Schröder

    (Zentrum für Europäische Wirtschaftsforschung (ZEW))

  • Anja Schulz

    (Humboldt-Universität zu Berlin)

  • Richard Stehle

    (Humboldt-Universität zu Berlin)

Abstract

Zusammenfassung Dieser Aufsatz untersucht mit linearen Zeitreihen-Regressionen, inwieweit Multifaktormodelle nach Fama/French (1993) für den deutschen Aktienmarkt die Renditen von Aktienportfolios (sortiert auf der Grundlage des Marktwertes sowie des Quotienten aus Buch- und Marktwert) erklären können. Analog zu vergleichbar angelegten Studien für den US-amerikanischen, den kanadischen und den britischen Aktienmarkt ergibt sich, dass ein Dreifaktorenmodell, das neben der Überschussrendite des Aktienmarktportfolios zwei weitere Risikofaktoren des Aktienmarktes enthält (die sich aus dem Marktwert sowie dem Quotienten aus Buch- und Marktwert ableiten), eine höhere Erklärungskraft für die Überschussrendite von Aktienportfolios besitzt als das mit dem traditionellen Capital Asset Pricing Model nach Sharpe (1964) und Lintner (1965) kompatible Einfaktormodell. Dagegen weisen zwei Risikofaktoren des Anleihemarktes (die sich aus der Zinsstruktur und dem Ausfallrisiko ableiten) in einem Fünffaktorenmodell keinen zusätzlichen Erklärungsgehalt auf. Im Vergleich zum US-amerikanischen und britischen Aktienmarkt bildet das Dreifaktorenmodell für den deutschen Aktienmarkt die zeitliche Streuung der Portfoliorenditen etwas schlechter ab. Demgegenüber weisen die untersuchten Ein- und Multifaktormodelle für den deutschen Aktienmarkt eine bessere Kompatibilität mit dem Capital Asset Pricing Model bzw. mit erweiterten Capital Asset Pricing Models auf als für den US-amerikanischen Aktienmarkt, das heißt die Konstanten sind für die Bundesrepublik Deutschland im Vergleich zu den USA weniger häufig und im Dreifaktorenmodell nie signifikant von Null verschieden. Bei empirischer Gültigkeit des Capital Asset Pricing Models sollten allerdings auch die Konstanten im entsprechenden Einfaktormodell nicht signifikant von Null verschieden sein. Bei Portfolios mit einem großen Marktwert oder einem hohen Quotienten aus Buch- und Marktwert ist dies aber für den deutschen Aktienmarkt teilweise nicht der Fall. Insgesamt deuten diese Ergebnisse ähnlich wie für den US-amerikanischen auch für den deutschen Aktienmarkt auf eine notwendige Erweiterung des Capital Asset Pricing Models hin.

Suggested Citation

  • Andreas Ziegler & Michael Schröder & Anja Schulz & Richard Stehle, 2007. "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: Eine empirische Analyse," Schmalenbach Journal of Business Research, Springer, vol. 59(3), pages 355-389, May.
    • Handle: RePEc:spr:sjobre:v:59:y:2007:i:3:d:10.1007_bf03371701
    DOI: 10.1007/BF03371701
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    2. Wallmeier, Martin & Tauscher, Kathrin, 2012. "A Note on the Impact of Portfolio Overlapping in Tests of the Fama and French Three-Factor Model," FSES Working Papers 433, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland.
    3. Schäffner, Daniel, 2007. "Bestimmung des Ausgangsniveaus der Kosten und des kalkulatorischen Eigenkapitalzinssatzes für eine Anreizregulierung des Energiesektors," WIK Discussion Papers 293, WIK Wissenschaftliches Institut für Infrastruktur und Kommunikationsdienste GmbH.

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    More about this item

    Keywords

    G1; G12;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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