The Predictabilty of German Stock Returns

1. Front Matter

   Pages I-XIV

   PDF

2. Introduction

   • Judith Klähn

   Pages 1-8

3. Theoretical Framework for Return Predictability

   • Judith Klähn

   Pages 9-13

4. Literature Review on Empirical Studies

   • Judith Klähn

   Pages 15-32

5. Statistical Methods

   • Judith Klähn

   Pages 33-43

6. Data

   • Judith Klähn

   Pages 45-58

7. Empirical Results

   • Judith Klähn

   Pages 59-112

8. Conclusion

   • Judith Klähn

   Pages 113-115

9. References

   • Judith Klähn

   Pages 117-128

Ten years ago, most textbooks on financial management advocated the thesis that stock returns are essentially unpredictable. This theory is called the Random Walk Approach to the development of asset prices. The approach said that the stock market is subject to random changes, which are, by definition, unpredictable. Apparent predictabilities, if ever discovered, were either dismissed as statistical artifacts or as data that cannot be exploited after transaction costs. In the meantime, the world of financial economics has turned upside down. We now realize clearly that returns are indeed predictable to a large extent. Recent studies have confirmed that U.S. stock returns are highly predictable. In this new research context, Judith Klahn posed the question whether German stock returns follow the same pattern. The predictability of German stock returns is the topic of her thesis. She is in a position to identify the relevant variables in the German context. Her basic result is that the driving forces of the German stock market and the U.S. stock market differ in most aspects. According to the Handelsblatt, Judith Klahn's statement is: "Deutscher Aktienmarkt ist kaum mit der Wall Street vergleichbar" (No. 120, June 25, 1999, p. 47).

• Empirische Finanzmarktforschung
• Finanzmarkt
• German stock market
• Germany
• market research
• statistical method
• statistics
• stock market
• value-at-risk

Dr. Judith Klähn promovierte bei Prof. Dr. Hellmuth Milde am Lehrstuhl für Geld, Kredit, Finanzierung der Universität Trier. Sie ist als Investmentbankerin bei der Deutsche Bank Securities im Bereich Asset Backed Securities in New York tätig.

Policies and ethics