The impact of crises and recessions on excess equity returns

dc.contributor.advisor	Qiu, J.
dc.contributor.author	Keizer, Mirjam
dc.date.issued	2016-08-24
dc.description.abstract	This study examines excess return on equities and the effect of financial crises and recessions on excess equity returns. Excess equity returns are observed in three northern European countries: The Netherlands, Germany, and Belgium and three southern European countries: Italy, Spain, and Greece. Excess returns on equity in the United States are also included in the study. The Capital Asset Pricing Model and the Arbitrage Pricing Theory are often used to price equities. The statistical analysis uses a modification of the Arbitrage Pricing Theory in order to explain excess return on equity in the countries that are involved in the study. The results show that both the presence of a recession and the probability of an upcoming recession have a significantly negative influence on the level of excess returns on equity. However, the other variables that are used as explanatory variables in this model have an ambiguous impact on the level of excess equity returns. Mirjam	en_US
dc.identifier.uri	http://hdl.handle.net/123456789/3226
dc.language.iso	en	en_US
dc.thesis.faculty	Faculteit der Managementwetenschappen	en_US
dc.thesis.specialisation	Financial Economics	en_US
dc.thesis.studyprogramme	Master Economics	en_US
dc.thesis.type	Master	en_US
dc.title	The impact of crises and recessions on excess equity returns	en_US

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