An Empirical Analysis of the German Stock Market PDF Download
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Author: Horst B. Kutsch
Publisher:
ISBN: 9783898840286
Category :
Languages : en
Pages : 234
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Book Description
Author: Horst B. Kutsch
Publisher:
ISBN: 9783898840286
Category :
Languages : en
Pages : 234
Get Book Here
Book Description
Author: Christian Schießl
Publisher: Anchor Academic Publishing (aap_verlag)
ISBN: 3954895692
Category : Business & Economics
Languages : en
Pages : 71
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Book Description
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
Publisher: Springer Science & Business Media
ISBN: 3642586643
Category : Business & Economics
Languages : en
Pages : 321
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Book Description
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
Publisher:
ISBN: 9783656469162
Category :
Languages : en
Pages : 98
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Book Description
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
Publisher: GRIN Verlag
ISBN: 3668325227
Category : Business & Economics
Languages : en
Pages : 70
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Book Description
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.
Author: Reiner Quick
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The audit market has changed significantly over the last few years. Clients' internationalisation and their extended service demands have required a diversification that can best be delivered by large and internationally?adjusted audit firms. This demand resulted in important mergers among national as well as with international audit companies going along with a growing concentration on the German audit market. This study is based on the 200 largest German listed stock corporations with respect to average stock capital for the years 1991 and 1994 and is concerned with the investigation into whether the concentration process continues and whether there are developments representing German particularities.
Author: Fabio Martin
Publisher:
ISBN: 9783668720039
Category :
Languages : en
Pages : 42
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Book Description
Bachelor Thesis from the year 2018 in the subject Business economics - General, grade: 1,0, Justus-Liebig-University Giessen, language: English, abstract: The aim of this thesis is to apply the CAPM and the Fama-French model on the German stock market and to see whether the models hold or not. The research methodology in this thesis is mostly an empirical analysis and adopts the approach of Pamane et. al (2014) and Fama and French (1993). However, I will use a different data set and run the test for the CAPM on single stocks rather than on portfolios in order to avoid covariance problems. Firstly, we will calculate the security market line in a two-step regression and then evaluate the influence of non-linear factors and non-systematic risk factors. In addition, the effects of the financial crisis have to be taken into consideration which is why, dummy variables will be used. However, before we interpret the regression results, we make sure that the data are reliable in the first place and correct them if necessary. For the purpose of assessing the Fama-French model, however, we use a quite different approach and follow the original procedure that was used by Fama and French (1993) themselves. This involves classifying the stocks according to size and value and then building a total of four portfolios. Afterwards, returns are computed and regressed against size and value factors. Even though it is quite common to use, for instance, the DAX or the NASDAQ as proxies, I see the chance of facing endogeneity issues when explaining returns of stocks that are listed in the DAX, which is why I will run all tests for a second time but this time using the MDAX instead of DAX as the market portfolio in order to avoid endogeneity problems.
Author: Alexander Schiebel
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Book Description
It seems logical to assume that GAAP aimed at informing investors shows a higher association with share prices (value relevance) than GAAP aimed at protecting creditors. The majority of empirical studies support this assumption. This paper examines the value relevance of IFRS and German GAAP. Regression analyses are applied to companies listing on the Frankfurt Stock Exchange and publishing exclusively either IFRS or German GAAP consolidated financial reports over the period 2000-2004. As a result of Regulation (EC) No 1606/2002, comparative research becomes impossible after 2004: German GAAP will no longer exist on European stock exchanges. The paper's study is restricted to a single capital market in order to eliminate pricing differences between capital markets based in different countries; that has already been done in earlier research. Improved circumstances for investigating value relevance compared with prior research are, however, the selection criteria for the listed companies (emphasis on international transparency requirements, free float and free float market capitalisation) and the share prices used (average price around the end of the business year when the financial reporting data is not yet published). The results of the study show that German GAAP is significantly more value relevant statistically than IFRS. These results have to be interpreted in the light of the selection criteria. It is an unexpected outcome calling for further research.
Author: Patrick Ams
Publisher: Corporate Finance and Governance
ISBN: 9783631603918
Category : Directors of corporations
Languages : en
Pages : 0
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Book Description
Directors' Dealings and Insider Trading are well-known patrons to both, the academic literature and the financial press. While directors' dealings have been regulated in the US and many other countries, the German legislator tightened only a few years ago trading rules for insiders and imposed in July 2002 a notification requirement for directors' dealings. The author addresses directors' dealings and insider trading in Germany from different perspectives. He starts out with a short-term analysis tying in with previous research on the German market and follows with an in-depth long-term analysis. He closes with an ordered-probit model analyzing the relationship between corporate actions and directors' dealings.
Author: Judith Klähn
Publisher: Deutscher Universitätsverlag
ISBN: 9783824471027
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
Ten years ago, most textbooks on financial management advocated the thesis that stock returns are essentially unpredictable. This theory is called the Random Walk Approach to the development of asset prices. The approach said that the stock market is subject to random changes, which are, by definition, unpredictable. Apparent predictabilities, if ever discovered, were either dismissed as statistical artifacts or as data that cannot be exploited after transaction costs. In the meantime, the world of financial economics has turned upside down. We now realize clearly that returns are indeed predictable to a large extent. Recent studies have confirmed that U.S. stock returns are highly predictable. In this new research context, Judith Klahn posed the question whether German stock returns follow the same pattern. The predictability of German stock returns is the topic of her thesis. She is in a position to identify the relevant variables in the German context. Her basic result is that the driving forces of the German stock market and the U.S. stock market differ in most aspects. According to the Handelsblatt, Judith Klahn's statement is: "Deutscher Aktienmarkt ist kaum mit der Wall Street vergleichbar" (No. 120, June 25, 1999, p. 47).
