The Predictabilty of German Stock Returns

1. Introduction.- 2. Theoretical Framework for Return Predictability.- 3. Literature Review on Empirical Studies.- 3.1 Tests for the U.S. Equity Market.- 3.2 Tests for Different National Equity Markets.- 3.3 Summary of Results on Monthly Return Predictability.- 3.4 Are Markets Integrated? Literature Review.- 4. Statistical Methods.- 4.1 Ordinary Least Squares.- 4.2 WHITE Correction for Heteroskedasticity.- 4.3 Generalized Method of Moments.- 4.3.1 General Method.- 4.3.2 Special Case: Ordinary Least Squares.- 4.3.3 Special Case: WHITE Correction for Heteroskedasticity.- 5. Data.- 5.1 Frequency of Data.- 5.2 German Market Index and Industry Portfolios.- 5.3 Statistical Properties of Instruments Used in Previous Studies.- 5.4 Instruments Used.- 5.5 Summary Statistics.- 6. Empirical Results.- 6.1 German Instruments.- 6.1.1 Test for Multicollinearity.- 6.1.2 Test for the Market Index.- 6.1.3 Test for the Industry Portfolios.- 6.2 German and World Instruments.- 6.2.1 Test for Multicollinearity.- 6.2.2 Test for the Market Index.- 6.2.3 Test for the Industry Portfolios.- 6.3 German and U.S. Instruments.- 6.3.1 Test for Multicollinearity.- 6.3.2 Test for the Market Index.- 6.3.3 Test for the Industry Portfolios.- 6.4 Summary of Results.- 6.5 Are World or U.S. Instruments More Important in Predicting German Stock Returns?.- 6.6 Test for Reunification Effects.- 6.7 Do German Instruments also Predict U.S. Stock Returns?.- 7. Conclusion.- 8. References.

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.