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

Listed author(s):
  • Hachmeister, Dirk
  • Ruthardt, Frederik
  • Autenrieth, Matthias
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    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.

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    Paper provided by University of Hohenheim, Department of Business Administration in its series Hohenheimer Schriften: Rechnungswesen - Steuern - Wirtschaftsprüfung with number 2014-01.

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    Date of creation: 2014
    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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