Returns on German Stocks 1954 to 2013

Credit and Capital Markets - Kredit und Kapital, 48(3), pp. 427-476.

40 Pages Posted: 18 Sep 2014 Last revised: 1 Sep 2015

See all articles by Richard Stehle

Richard Stehle

Humboldt University of Berlin - School of Business and Economics

Martin H. Schmidt

Humboldt University of Berlin - School of Business and Economics

Date Written: March 4, 2015

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.

Keywords: Germany, market portfolio, market index, long-term return, data quality, stock market peculiarities, CDAX

JEL Classification: G10

Suggested Citation

Stehle, Richard and Schmidt, Martin H., Returns on German Stocks 1954 to 2013 (March 4, 2015). Credit and Capital Markets - Kredit und Kapital, 48(3), pp. 427-476.. Available at SSRN: https://ssrn.com/abstract=2497359 or http://dx.doi.org/10.2139/ssrn.2497359

Richard Stehle (Contact Author)

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany
+49-30-2093-5761 (Phone)
+49-30-2093-5666 (Fax)

HOME PAGE: http://www.wiwi.hu-berlin.de/professuren/bwl/bb/

Martin H. Schmidt

Humboldt University of Berlin - School of Business and Economics ( email )

Spandauer Str. 1
Berlin, D-10099
Germany
+49-30-2093-5761 (Phone)
+49-30-2093-5666 (Fax)

HOME PAGE: http://www.wiwi.hu-berlin.de/professuren/bwl/bb/

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