Year: 2015
Author: Stehle, Richard, Schmidt, Martin H.
Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 3 : pp. 427–476
Abstract
Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the returns implied by major German stock market indices. In each of the four sub-periods we look at, which together cover the full 60 years, our time series is fully in line with at least one of the indices. In addition to looking at nominal rates of return we look at real returns and at excess returns with respect to the one-month money market interest rate. We show that the riskiness of a 20-year investment in German stocks, measured by the frequency of negative excess returns, has not increased but rather decreased since the middle of the 1960s.
Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.3790/ccm.48.3.427
Credit and Capital Markets – Kredit und Kapital, Vol. 48 (2015), Iss. 3 : pp. 427–476
Published online: 2015-09
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 50
Keywords: G10 Germany market portfolio market index long-term return data quality stock market peculiarities CDAX
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| Section Title | Page | Action | Price |
|---|---|---|---|
| Richard Stehle / Martin H. Schmidt: Returns on German Stocks 1954 to 2013 | 1 |