An empirical comparison of alternative models of capital asset pricing in Germany

Sauer, Andreas; Murphy, Austin

doi:10.1016/0378-4266(92)90084-d

Cited by 22 publications

(12 citation statements)

References 36 publications

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“…The support for the CCAPM found in this portfolio stratification is consistent with Wheatley (1988) and presents a challenge to the conventional CAPM. Nonrejection of the CAPM and CCAPM in the final period is also consistent with Sauer and Murphy (1992) who fail to reject either model for the German data.…”

Section: Estimation and Empirical Resultssupporting

confidence: 80%

“…Studies using non‐U.S. data include, for example, Hamori (1992) and Sauer and Murphy (1992). Hamori finds support for the CCAPM with German data, whereas Sauer and Murphy find the CAPM to be a better explanatory model of the risk‐return relation for the same economy.…”

Section: Introductionmentioning

confidence: 99%

“…The third category, limited to Wheatley (1988), provides limited empirical support for the CCAPM. Studies using non-U.S. data include, for example, Hamori (1992) and Sauer and Murphy (1992). Hamori finds support for the CCAPM with German data, whereas Sauer and Murphy find the CAPM to be a better explanatory model ofthe risk-return relation for the same economy.The purpose of this paper is to employ a different breed of econometric tests known as nonnested tests to select between the CAPM and CCAPM using data from the U.S. stock market.…”

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confidence: 99%

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Nonnested Procedures in Econometric Tests of Asset Pricing Theories

Elyasiani

Nasseh

2000

J of Financial Research

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In this paper nonnested tests are used to contrast the performance ofthe capital asset pricing (CAPM) and consumption capital asset pricing (CCAPM) theories in describing the U.S. stock market. The procedures employed include the N-test, the NT-test, the W-test, the J-test, and the Encompassing test. The tests are carried out using data on firms as well as portfolios based on beta, capitalization, and Standard Industrial Classification codes. The findings indicate that although during 1973-82 the CAPM dominates the CCAPM, during 1978-87 the results are mixed, and during 1983-92 the CCAPM dominates. The finding in favor of the CCAPM in 1983-92 conflicts with much of the existing literature, which favors the CAPM.

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Section: Estimation and Empirical Resultssupporting

confidence: 80%

Section: Introductionmentioning

confidence: 99%

mentioning

confidence: 99%

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Nonnested Procedures in Econometric Tests of Asset Pricing Theories

Elyasiani

Nasseh

2000

J of Financial Research

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“…The relationship between returns and the direction of herding is most strongly pronounced for the formation period, where the difference on average excess returns between portfolios B1 to B5 and S1 to S5 amounts to 6.38%, which is consistent with prior findings referring to positive feedback strategies. 32 We do not explicitly control for systematic risk since the proper pricing of beta risk is doubtful in the German market (Sauer and Murphy, 1992). Moreover, since our investigation period encompasses both a boom and a crash period, it is arguable that beta factors display stability.…”

Section: Resultsmentioning

confidence: 99%

Herding in the German Mutual Fund Industry

Walter¹,

Weber²

2006

Euro Fin Management

161

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"This paper analyses the trading activity of German mutual funds in the 1998-2002 period to investigate whether German mutual fund managers are engaged in herding behaviour. Another objective of the study is to determine the impact of this herd-like trading on stock prices. Our results provide evidence of herding and positive feedback trading by German mutual fund managers. We show that a significant portion of herding detected in the German market is associated with spurious herding as a consequence of changes in benchmark index composition. Investigating the impact of mutual fund herding on stock prices, we find that herding seems to neither destabilise nor stabilise stock prices." Copyright Blackwell Publishers Ltd, 2006.

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“…Hence, based on the slope criterion the CAPM hypothesis cannot be accepted for the portfolios in the context of DSE market which was supportive to the findings of Michailidis et al (2006) in the Greek stock market and Sehgal (1997) and Manjunatha and Mallikarjunappa (2006) in the Indian stock market. So, CAPM is not a good indicator of asset pricing in Bangladesh stock market which is contradicted to the studies of developed country's stock market (Sauer and Murphy, 1992;Limmack and Ward, 1990) and developing country's stock market (Srinivasan, 1988;Dhankar and Kumar, 2007).…”

Section: Estimates Of the Ols Regression Of The Constructed Portfoliosmentioning

confidence: 89%

Analyzing and Estimating Portfolio Performance of Bangladesh Stock Market

Hasan

Kamil

Mustafa

et al. 2013

American Journal of Applied Sciences

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Capital Asset Pricing Model (CAPM) is one of the most important developments in the finance literature. Simply, CAPM is a model that describes the relationship between risk and expected return. The theoretical validity of CAPM is well tested and accepted but the practical validity of CAPM is in questioned. This study is designed to analyze and estimate the portfolio performance of Bangladesh stock market in a CAPM framework. For this study, monthly stock returns from 80 companies for the period of January 2005 to December 2009 are chosen. In order to examine whether the CAPM is satisfied in the portfolio or not, the 80 stocks are arranged in descending order of beta and 10 portfolios are being made of eight stocks in each. The All Share Price Index (DSI) is used as a proxy for the market portfolio and Bangladesh government 3-Month T-bill rate is used as the proxy for the risk-free asset. The results of this analysis show that the intercept terms are not significantly different from zero, linearity in the securities market line and insignificant unique risk for the 10 portfolios during the period. But, the results in term of slope contradict the CAPM hypothesis and indicate evidence against the CAPM in the portfolios. This analysis will obviously be used as a basis of reference for future investigates and the researchers and they will get proper instruction from this study.

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An empirical comparison of alternative models of capital asset pricing in Germany

Cited by 22 publications

References 36 publications

Nonnested Procedures in Econometric Tests of Asset Pricing Theories

Nonnested Procedures in Econometric Tests of Asset Pricing Theories

Herding in the German Mutual Fund Industry

Analyzing and Estimating Portfolio Performance of Bangladesh Stock Market

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