TY  - UNPD
A1  - Elsas, Ralf
A1  - El-Shaer, Mahmoud
A1  - Theissen, Erik
T1  - Beta and returns revisited : evidence from the German stock market
T2  - Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 47
N2  - Traditional tests of the CAPM following the Fama / MacBeth (1973) procedure are tests of the joint hypotheses that there is a relationship between beta and realized return and that the market risk premium is positive. The conditional test procedure developed by Pettengill / Sundaram / Mathur (1995) allows to independently test the hypothesis of a relation between beta and realized returns. Monte Carlo simulations show that the conditional test reliably identifies this relation. In an empirical examination for the German stock market we find a significant relation between beta and return. Previous studies failed to identify this relationship probably because the average market risk premium in the sample period was close to zero. Our results provide a justification for the use of betas estimated from historical return data by portfolio managers.
T3  - Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting - 47 
KW  - Capital Asset Pricing Model
KW  - Market risk premium
KW  - Beta and return
KW  - Deutschland
KW  - Capital-Asset-Pricing-Modell
KW  - Kapitalertrag
KW  - Betafaktor
KW  - Aktienmarkt
KW  - Risikoprämie
KW  - Schätzung
KW  - Geschichte 1960-1995
Y1  - 1999
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/55357
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-553576
UR  - https://www.econbiz.de/archiv/f/uf/finanzierung/beta_and_returns_revisited.pdf
PB  - Johann-Wolfgang-Goethe-Universität, Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
CY  - Frankfurt am Main
ER  -