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Predictability of Stock Returns: An application of presentvalue state-space models to the German Stock Market

Lux, Yannik
Master thesis
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2288378.pdf (1.610Mb)
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http://hdl.handle.net/11250/2625331
Utgivelsesdato
2019
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Samlinger
  • Master of Science [1552]
Sammendrag
In my thesis, I introduce a state-space representation of the present-value model to

analyze predictability in the aggregated German stock market. The proposed model

uses the information contained in annualized price-dividend ratios and realized dividend

growth rates and defines relations to the latent state variables in the form of

expected returns and expected dividend growth rates. I apply the Kalman Filter to

generate estimates of the model parameters using a conditional Maximum Likelihood

Estimation. The corresponding optimization problem is solved via an adjusted

version of the Simulated Annealing algorithm. The final model produces good estimates

for dividend-growth rates, while it lacks quality in terms of the estimation of

stock returns.
Beskrivelse
Master of Science in Business - QTEM Masters Network - Handelshøyskolen BI, 2019
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