Size and Book-to-Market Effects in the German Stock Market, 2005-2009

Inhaltsverzeichnis (Table of Contents)

• 1. Introduction
• 2. Literature Review
  • 2.1. Size
  • 2.2. Validity of the CAPM-ẞ
  • 2.3. Book-to-Market
• 3. Data
  • 3.1. Data Sources
  • 3.2. Data Preparation
  • 3.3. Data Problems
• 4. Methodology and Empirical Results
  • 4.1. CAPM-B
  • 4.2. Size
  • 4.3. Book-to-Market
  • 4.4. Cross-Sectional Regressions
• 5. Conclusions
• Appendix
• References

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This thesis aims to investigate the size and book-to-market effects in the German stock market from 2005 to 2009. The research seeks to determine whether these two factors significantly influence stock returns in the German market.

• Size and Book-to-Market Effects
• CAPM-Beta Validity
• Data Analysis and Empirical Results
• Cross-Sectional Regressions
• Conclusions on German Stock Market Dynamics

Zusammenfassung der Kapitel (Chapter Summaries)

The first chapter provides an introduction to the thesis, outlining its objective and scope. Chapter two reviews relevant literature on the size and book-to-market effects, exploring their theoretical underpinnings and empirical findings. This section includes a discussion on the validity of the Capital Asset Pricing Model (CAPM) and its implications for the research. Chapter three delves into the data sources, preparation, and potential problems encountered. Chapter four presents the methodology and empirical results, analyzing the relationships between size, book-to-market, and stock returns. This chapter utilizes cross-sectional regressions to provide insights into the influence of these factors on stock performance.

Schlüsselwörter (Keywords)

The key focus areas of the thesis are size and book-to-market effects, CAPM-Beta, stock returns, data analysis, cross-sectional regressions, and the German stock market. The research investigates the influence of company size and book-to-market ratios on stock returns in the German market during the period 2005-2009.