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Author : Horst B. Kutsch
Release : 1999
Genre :
Kind : eBook
Book Rating : 286/5 ( reviews)
Book Synopsis An Empirical Analysis of the German Stock Market by : Horst B. Kutsch
Download or read book An Empirical Analysis of the German Stock Market written by Horst B. Kutsch. This book was released on 1999. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Schießl
Release : 2014-02-01
Genre : Business & Economics
Kind : eBook
Book Rating : 692/5 ( reviews)
Book Synopsis Value Stocks beat Growth Stocks: An empirical Analysis for the German Stock Market by : Christian Schießl
Download or read book Value Stocks beat Growth Stocks: An empirical Analysis for the German Stock Market written by Christian Schießl. This book was released on 2014-02-01. Available in PDF, EPUB and Kindle. Book excerpt: Based on a 'free of survivorship-bias' sample of German stocks listed at the Frankfurt stock exchange, the study investigates the ability of hedge portfolio formation structures, built of three value premium proxies (P/B, P/E, and DY), the size factor, and the technical momentum factor, to generate excess returns in the period 1992 to 2011. First, the author characterizes and defines the significant terms that are in connection with value and growth investing. He continues with the discussion of asset pricing with the CAPM, the Fama and French three-factor model, and the Carhart extension, and then describes the expected stock returns that are of capital importance. Moreover, the author deals with related studies for the German stock market. He gives a detailed description of the empirical analysis before he draws his conclusions. The author's purpose is to answer the following core questions: Is there a value premium in the German market between 1992 and 2011? Is there a reversed size premium like recent empirical findings suggest? Do high momentum stocks perform better than low momentum stocks? Is there a significant seasonal pattern in hedge portfolio returns? The combination of which factors best explains expected stock returns?
Author : Wolfgang Bühler
Release : 2012-12-06
Genre : Business & Economics
Kind : eBook
Book Rating : 643/5 ( reviews)
Book Synopsis Empirical Research on the German Capital Market by : Wolfgang Bühler
Download or read book Empirical Research on the German Capital Market written by Wolfgang Bühler. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: This collection of fifteen original articles results from a cooperative intensive program of research on the German capital market. The program objectives included the development of expertise in modern empirical methods in financial economics and the derivation of results that might be specific to the German capital market. The four parts of the book are dedicated to: - problems of market structure and organization - information and capital market - risk and return - futures and options Altogether, the book gives an overview of empirical research on capital markets in Germany and helps to understand their nature. It also shows the application of modern techniques in financial research.
Author : Eugen Stumpf
Release : 2013-08
Genre :
Kind : eBook
Book Rating : 162/5 ( reviews)
Book Synopsis Evaluation of the Momentum Strategy on the German Stock Exchange by : Eugen Stumpf
Download or read book Evaluation of the Momentum Strategy on the German Stock Exchange written by Eugen Stumpf. This book was released on 2013-08. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1.3, University of Applied Sciences Essen, language: English, abstract: This work covers the momentum effect on financial markets and a trading strategy based on this effect. The research focuses on the German Stock Exchange data from the last decade. The data are divided into two sections in order to build two different types of virtual portfolios. One section contains the data of the DAX index, and the second section is filled with securities from the MDAX. Two hypotheses are to be verified. First, is momentum still available in a time of mass internet availability, like during the past decade? And second, is momentum stronger in MDAX due to smaller firm sizes and corresponding lower market efficiency?
Author : Carsten Fritz
Release : 2016-10-21
Genre : Business & Economics
Kind : eBook
Book Rating : 227/5 ( reviews)
Book Synopsis Empirical Analysis of Mutual Funds investing in German Equity (1995-2015) by : Carsten Fritz
Download or read book Empirical Analysis of Mutual Funds investing in German Equity (1995-2015) written by Carsten Fritz. This book was released on 2016-10-21. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2016 in the subject Economics - Finance, grade: 1,3, University of Regensburg (Centre of Finance), language: English, abstract: Financial markets are as complex as ever due to an accelerating development in the last decades. Especially evaluations of mutual fund performance have been a subject of interest since the introduction of financial services. In this thesis, a study on the performance of mutual funds investing in German equity from July 1995 to June 2015 is conducted. The aim is to find out if fund managers have sufficient skill to generate risk adjusted return in order to cover the cost imposed on the investors. Another purpose is to provide investors with relevant results. Inter alia, Jensen one-factor, Fama and French three-factor and the Carhart four-factor model are used as different benchmark models for performance. Paired bootstrap simulations suggest that, net of cost, a small fraction of fund managers do have sufficient skill to cover cost. For the bottom ranked funds, there is statistical evidence that their poor performance is caused by bad management, rather than by bad luck. The results for gross returns show that there is an unneglectable fraction of fund managers with good performance not due to luck. Compared to net returns, there is stronger evidence of skill, negative as well as positive. Form an investor’s point of view it seems rather beneficial to invest in passively managed vehicles. High costs eat into the return, and they are the main reason why the majority of actively managed funds end up with sub-par performance.
