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Beta and Returns Revisited: Evidence from the German Stock Market · Study

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PreprintBeta and Returns Revisited: Evidence from the German Stock Market

Ralf Elsas2000

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Preprintgreen2000

Beta and Returns Revisited: Evidence from the German Stock Market

Ralf Elsas · Mahmoud El-Shaer · Erik Theissen

49 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1981The relationship between return and market value of common stocks 2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets

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Details

Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations49

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.199428

openalex_workW1604418653

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Cited by

2004Are Calculated Betas Good for Anything?2016Betas Used by Professors: A Survey With 2,500 Answers 2010Determinants of Expected Stock Returns: Large Sample Evidence from the German Market 2001Financing Patterns: Measurement Concepts and Empirical Results