Working paper series / Johann-Wolfgang-Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften : Finance & Accounting
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134
Der Bestimmung risikoadäquater Diskontierungssätze kommt bei der Unternehmensbedeutung eine zentrale Bedeutung zu. Wird zu deren Bestimmung in der praktischen Anwendung das CAPM verwendet, gilt es dabei, risikolose Zinssätze und Risikoprämien zu bestimmen, für die erwartete Renditen des Marktportfeuilles und Beta-Faktoren als Maßgrößen für das systematische Risiko benötigt werden. Passend zu den zu bewertenden erwarteten Überschussgrößen sollten auch die zur Diskontierung verwendeten Renditeforderungen die im Bewertungszeitpunkt erwarteten künftigen Renditen vergleichbarer Anlagen widerspiegeln. Die weitaus meisten Beiträge zur Operationalisierung des CAPM leiten die Renditeforderungen jedoch aus historischen Kapitalmarktrenditen ab. Wir zeigen in diesem Beitrag auf, wie erwartete künftige Renditen aus beobachtbaren Größen, vor allen den Zinsstrukturkurven und den beobachtbaren Analystenprognosen, zukunftsorientiert abgeleitet werden können. Damit wird eine konzeptionell schlüssigere Bewertung der im Bewertungszeitpunkt erwarteten künftigen Überschüsse mit den zeitgleich erwarteten künftigen Renditen ermöglicht.
92
The classical approaches to asset allocation give very different conclusions about how much foreign stocks a US investor should hold. US investors should either allocate a large portion of about 40% to foreign stocks (which is the result of mean/variance optimization and the international CAPM) or they should hold no foreign stocks at all (which is the conclusion of the domestic CAPM and mean/variance spanning tests). There is no way in between.
The idea of the Bayesian approach discussed in this article is to shrink the mean/variance efficient portfolio towards the market portfolio. The shrinkage effect is determined by the investor's prior belief in the efficiency of the market portfolio and by the degree of violation of the CAPM in the sample. Interestingly, this Bayesian approach leads to the same implications for asset allocation as the mean-variance/tracking error criterion. In both cases, the optimal portfolio is a combination of the market portfolio and the mean/variance efficient portfolio with the highest Sharpe ratio.
Applying both approaches to the subject of international diversification, we find that a substantial home bias is only justified when a US investor has a strong belief in the global mean/variance efficiency of the US market portfolio and when he has a high regret aversion of falling behind the US market portfolio. We also find that the current level of home bias can be justified whenever-regret aversion is significantly higher than risk aversion.
Finally, we compare the Bayesian approach of shrinking the mean/variance efficient portfolio towards the market portfolio to another Bayesian approach which shrinks the mean/variance efficient portfolio towards the minimum-variance portfolio. An empirical out-of-sample study shows that both Bayesian approaches lead to a clearly superior performance compared to the classical mean/variance efficient portfolio.
47
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.