Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/170345
Authors: 
Will, Matthias Georg
Year of Publication: 
2011
Series/Report no.: 
Diskussionspapier 2011-8
Abstract: 
This paper presents an empirical approach that combines competing paradigms of modeling in empirical capital market research. The approach simultaneously estimates the explanatory power of fundamentals, expectations, and historic yield patterns, making it possible to test the extent to which the efficient market hypothesis, fundamental data analysis, and behavioral finance contribute to explaining stock market yield. The core of the approach is a dynamic panel model (Arellano-Bond estimator with an MA restriction of the residuals), complemented with an upstream factor analysis to reduce multicollinearity. Due to the complexity of the data set, a great many parameters that influence the yield can be determined. Highly significant parameter estimates are possible even though the information in the data set is interdependent. For the German stock market (the 160 companies listed in DAX, MDAX, SDAX, and TecDAX), the quarterly yield is analyzed for the period between 2004 and 2009. The model has high explanatory power for the entire observation period, even in light of the fact that the period includes the financial crisis of 2008.
Subjects: 
Stock Market
Fundamentals
Factor-Analysis
Dynamic Panel Analysis
Arellano-Bond Estimator
JEL: 
G12,C33
C38
Persistent Identifier of the first edition: 
ISBN: 
978-3-86829-390-6
Document Type: 
Working Paper
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