Value Stocks Beat Growth Stocks An Empirical Analysis For The German Stock Market

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Value Stocks Beat Growth Stocks An Empirical Analysis For The German Stock Market

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Author : Christian Schießl
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2014-02-01

Value Stocks Beat Growth Stocks An Empirical Analysis For The German Stock Market written by Christian Schießl and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-01 with Business & Economics categories.

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?

Value Versus Growth An Empirical Analysis Of Equity Fund Managers Capabilities To Generate Alpha

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Author : Thomas Müller
language : en
Publisher: GRIN Verlag
Release Date : 2012-04-25

Value Versus Growth An Empirical Analysis Of Equity Fund Managers Capabilities To Generate Alpha written by Thomas Müller and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-25 with Business & Economics categories.

Bachelor Thesis from the year 2012 in the subject Business economics - Business Management, Corporate Governance, grade: 1,00, EBS European Business School gGmbH, language: English, abstract: Portfolio managers face the challenge to achieve excess returns comparative to a benchmark for their private or institutional clients. Researchers such as Fama and French (1992, 1996) or Lakonishok, Shleifer, and Vishny (1994) caused a stir with their findings that various investment styles tend to accomplish superior returns over a long-term horizon. Their findings proposed that value stocks tend to outperform growth stocks. This bachelor thesis raises the question whether value or growth fund managers are able to achieve a persistent outperformance relative to their internal and external benchmark. The findings have a crucial influence on investors considering an investment into the equity market by an active or passive portfolio management approach.

Testing The Capm On The German Stock Market

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Author : Daniel Loskamp
language : en
Publisher: GRIN Verlag
Release Date : 2007-12

Testing The Capm On The German Stock Market written by Daniel Loskamp and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12 with categories.

Seminar paper from the year 2005 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, course: Asset Management Seminar, 34 entries in the bibliography, language: English, abstract: Although the model is widely accepted and practically used as explained above, it is nevertheless far from being perfect as outlined in its record of empirical studies.9 Generally criticized is on the one hand that the underlying assumptions of the model are very theoretical and thus not able to illustrate reality and on the other one that there are problems in implementing well-founded tests of the model relating to the choice of the right market portfolio.10 But, the success of the CAPM will remain as long as there is no other model which offers as " ...] powerful and intuitively pleasing predictions about how to measure risk and the relation between risk and return."11 The objective of this study is to empirically test the CAPM on the German stock market. Since most of the empirical studies that have been made in the past focus on the U.S. stock market, this paper will try to find out if the results of these U.S. empirical studies can also be shown on the German stock market. Therefore, the goal of this paper is to analyze the relationship between risk and return on the German stock market to find out whether the CAPM holds.

Evaluation Of The Momentum Strategy On The German Stock Exchange

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Author : Eugen Stumpf
language : en
Publisher: GRIN Verlag
Release Date : 2013-07-26

Evaluation Of The Momentum Strategy On The German Stock Exchange written by Eugen Stumpf and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-26 with Business & Economics categories.

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?

Common Risk Factors In The German Stock Market

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Author : Daniel Bathe
language : en
Publisher: GRIN Verlag
Release Date : 2008-05-05

Common Risk Factors In The German Stock Market written by Daniel Bathe and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-05 with Business & Economics categories.

Diploma Thesis from the year 2007 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, University of Tubingen, language: English, abstract: This paper develops a multifactor model for explaining the difference in average returns for the German stock market in the period between July 1990 and June 2007. The methodology of Fama and French (1993) is adopted to determine possible common risk factors in that market. Despite the enormous and strong stock markets movements and the high volatility during that period, the three factors RM-RF, SMB and HML seem to be able to capture cross-sectional variation in average returns for portfolios formed on various sorting criteria based on publicly available financial data. In addition, the analysis shows a negative (risk?) premium for small size stocks, which is a surprising result since it contradicts previous studies for the German, but also international markets. For stocks with a high book-to-market value, a strong positive premium is found. This value effect is consistent over time and statistically significant. Positive premiums seem to exist for high E/P and C/P stocks as well. These market anomalies show that returns are indeed predictable in the German market over long time horizons. High BM, E/P and C/P stocks do outperform stocks with low ratios in these categories significantly and consistent over time. However, the evidence in this analysis highlights that the common explanation in rational asset-pricing models of an outperformance due to some economic risk factors that are proxied by HML and SMB must be strongly questioned. Portfolios consisting of value stocks outperform growth portfolios in all possible states of the stock market. This evidence is contradictory to the ‘marginal value of wealth’ assumption in the rational asset pricing models presented. Additionally, there is a January effect in stock returns which cannot be captured by a risk-based, rational asset pricing model. Thus, the evidence suggests that it is in fact investor irrationality which is causing differences in average returns across stocks. RM-RF, SMB and HML can be described as common factors helping to explain return differences, but it is very likely that it is not underlying economic risk, but investor behavior which is causing the presented market anomalies and return predictability.

Analysis Of Benjamin Graham S Investment Strategies And Application To The German Market

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Author : Nina Schmiedt
language : en
Publisher:
Release Date : 2017

Analysis Of Benjamin Graham S Investment Strategies And Application To The German Market written by Nina Schmiedt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

This paper discusses the major investment styles, and looks at value investing in detail. It explains Benjamin Grahams strategies and principles, as well as those of Warren Buffett, Peter Lynch and John Templeton, who developed their own value investing strategies taking Grahams main principles as a basis. In the empirical part, the paper adjusts and applies a number of Grahams criteria and principles to the companies in the various German DAX indices. 9 portfolios are built out of different combinations of 31 companies. The portfolios are analyzed over a time period of 2005 and 2015.The research questions are as follows:To what extent are Benjamin Grahams investment philosophy and strategies applicable to todays financial environment?-How can Benjamin Grahams criteria be adapted to the contemporary German stock market?The empirical analysis found that weighing has a major influence on the profitability of the portfolio as the majority of the equal weighted portfolios outperformed the DAX in contrast to those weighed by market value per share. Compared to other indices almost all portfolios outperformed the other indices in both portfolio versions. The overall conclusion was that, if adjusted, Grahams criteria are still valid and profitable in todays financial markets.*****This paper discusses the major investment styles, and looks at value investing in detail. It explains Benjamin Grahams strategies and principles, as well as those of Warren Buffett, Peter Lynch and John Templeton, who developed their own value investing strategies taking Grahams main principles as a basis. In the empirical part, the paper adjusts and applies a number of Grahams criteria and principles to the companies in the various German DAX indices. 9 portfolios are built out of different combinations of 31 companies. The portfolios are analyzed over a time period of 2005 and 2015.The research questions are as follows:To what extent are Benjamin Grahams investment philosophy and strategies applicable to todays financial environment?-How can Benjamin Grahams criteria be adapted to the contemporary German stock market?The empirical analysis found that weighing has a major influence on the profitability of the portfolio as the majority of the equal weighted portfolios outperformed the DAX in contrast to those weighed by market value per share. Compared to other indices almost all portfolios outperformed the other indices in both portfolio versions. The overall conclusion was that, if adjusted, Grahams criteria are still valid and profitable in todays financial markets.

An Empirical Analysis Of The German Stock Market

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Author : Horst B. Kutsch
language : en
Publisher:
Release Date : 1999

An Empirical Analysis Of The German Stock Market written by Horst B. Kutsch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.

Financial Market Bubbles And Crashes

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Author : Harold L. Vogel
language : en
Publisher: Springer Nature
Release Date : 2021-12-17

Financial Market Bubbles And Crashes written by Harold L. Vogel and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-17 with Business & Economics categories.

Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and are defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.

The Value Of Social Media For Predicting Stock Returns

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Author : Michael Nofer
language : en
Publisher: Springer
Release Date : 2015-04-21

The Value Of Social Media For Predicting Stock Returns written by Michael Nofer and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-21 with Computers categories.

Michael Nofer examines whether and to what extent Social Media can be used to predict stock returns. Market-relevant information is available on various platforms on the Internet, which largely consist of user generated content. For instance, emotions can be extracted in order to identify the investors' risk appetite and in turn the willingness to invest in stocks. Discussion forums also provide an opportunity to identify opinions on certain companies. Taking Social Media platforms as examples, the author examines the forecasting quality of user generated content on the Internet.

The Phenomenon Of Ipo Underpricing In The European And U S Stock Markets

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Author : Oliver Reiche
language : en
Publisher: Anchor Academic Publishing (aap_verlag)
Release Date : 2014-06-23

The Phenomenon Of Ipo Underpricing In The European And U S Stock Markets written by Oliver Reiche and has been published by Anchor Academic Publishing (aap_verlag) this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-23 with Business & Economics categories.

The Initial Public Offering (IPO) marks one of the most important events of a company. Basically, the aim is to generate maximum proceeds by selling the company’s shares to investors. However, the shares that are sold seem to be underpriced as the price significantly soars on the first trading day. Since the very first detection of this phenomenon in the United States in 1969, several subsequent studies have documented the existence of worldwide IPO underpricing. This study focuses on IPO Underpricing in the European and United States Stock Markets by outlining and discussing the following essential issues: What is underpricing in the context of the IPO? Which motivations are there and how do they impact? Is there IPO underpricing in the markets of Europe and the United States of America?