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Zur Quantifizierung von Risikoprämien deutscher Versicherungsaktien im Kontext von Multifaktorenmodellen


  • Rolf Elgeti
  • Raimond Maurer



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

Suggested Citation

  • Rolf Elgeti & Raimond Maurer, 2000. "Zur Quantifizierung von Risikoprämien deutscher Versicherungsaktien im Kontext von Multifaktorenmodellen," Working Paper Series: Finance and Accounting 59, Department of Finance, Goethe University Frankfurt am Main.
  • Handle: RePEc:fra:franaf:59

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    References listed on IDEAS

    1. Willig, Robert D, 1976. "Consumer's Surplus without Apology," American Economic Review, American Economic Association, vol. 66(4), pages 589-597, September.
    2. Paul Kleindorfer & Howard Kunreuther, 1999. "Challenges Facing the Insurance Industry in Managing Catastrophic Risks," NBER Chapters,in: The Financing of Catastrophe Risk, pages 149-194 National Bureau of Economic Research, Inc.
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    Risikoprämien; Versicherungsaktien; Kapitalmarkt.;

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