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Marktrisikoprämien am deutschen Kapitalmarkt: Ermittlung, Simulation und Vergleich historischer und angebotsseitiger Marktrisikoprämien

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  • Hachmeister, Dirk
  • Ruthardt, Frederik
  • Autenrieth, Matthias

Abstract

Die Diskussion über die richtige methodische Ableitung und Höhe der Marktrisikoprämie wurde durch die Finanzmarkt- und Staatsschuldenkrise neu entfacht. Während in Deutschland der Ansatz impliziter Kapitalkosten als Alternative zu historischen Marktrisikoprämien diskutiert wird, wird in den USA zunehmend auf das Konzept der angebotsseitigen Marktrisikoprämie verwiesen. Dieser Beitrag ermittelt erstmals angebotsseitige Marktrisikoprämien für den deutschen Kapitalmarkt. Darüber hinaus werden historische Marktrisikoprämien für den deutschen Kapitalmarkt in Abhängigkeit vom Beobachtungszeitraum simuliert. Darauf aufbauend kann eine Einschätzung des Konzeptes der angebotsseitigen Marktrisikoprämie für den deutschen Kapitalmarkt erfolgen. Darüber hinaus ergeben sich neue Erkenntnisse zur Stabilität historischer Marktrisikoprämien am deutschen Kapitalmarkt.

Suggested Citation

  • Hachmeister, Dirk & Ruthardt, Frederik & Autenrieth, Matthias, 2014. "Marktrisikoprämien am deutschen Kapitalmarkt: Ermittlung, Simulation und Vergleich historischer und angebotsseitiger Marktrisikoprämien," Hohenheimer Schriften: Rechnungswesen - Steuern - Wirtschaftsprüfung 2014-01, University of Hohenheim, Department of Business Administration.
    • Handle: RePEc:zbw:hohrsw:201401
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    1. Roger G. Ibbotson & Peng Chen, 2003. "Long-Run Stock Returns: Participating in the Real Economy," Yale School of Management Working Papers ysm354, Yale School of Management.
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