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The cross-Section of German stock returns: New data and new evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
This paper serves two purposes. First, we introduce a new data set on the German stock market which is publicly available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a momentum factor) as well as returns of portfolios which are...
Persistent link: https://www.econbiz.de/10008684975
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Long-horizon consumption risk and the cross-section of returns: New tests and international evidence
Grammig, Joachim G.; Schrimpf, Andreas; Schuppli, Michael - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
This paper investigates whether measuring consumption risk over long horizons can improve the empirical performance of the Consumption CAPM for size and value premia in international stock markets (US, UK, and Germany). In order to account for commonalities in size and book-tomarket sorted...
Persistent link: https://www.econbiz.de/10008684989
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Extended dividend, cash flow and residual income valuation models: Accounting for deviations from ideal conditions
Heinrichs, Nicolas; Hess, Dieter; Homburg, Carsten; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
Standard equity valuation approaches (i.e., DDM, RIM, and DCF model) are derived under the assumption of ideal conditions, such as infinite payoffs and clean surplus accounting. Because these conditions are hardly ever met, we extend the standard approaches, based on the fundamental principle of...
Persistent link: https://www.econbiz.de/10009323193
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Irrationality or efficiency of macroeconomic survey forecasts? Implications from the anchoring bias test
Hess, Dieter; Orbe, Sebastian - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
We analyze the quality of macroeconomic survey forecasts. Recent findings indicate that they are anchoring biased. This irrationality would challenge the results of a wide range of empirical studies, e.g., in asset pricing, volatility clustering or market liquidity, which rely on survey data to...
Persistent link: https://www.econbiz.de/10009323194
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The impact of investor sentiment on the German stock market
Finter, Philipp; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010
proxies. We show that this indicator explains the return spread between sentiment stocks and stocks that are not sensitive to … sentiment fluctuations. Specifically, stocks that are difficult to arbitrage and hard to value are sensitive to the indicator …
Persistent link: https://www.econbiz.de/10008684964
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10008684965
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Fundamental information in technical trading strategies
Boonenkamp, Ute; Kempf, Alexander; Homburg, Carsten - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
trading strategy that invests in stocks with high past returns and high operating cash flows. This combination strategy yields … a 3-factor alpha of 15% per year, which is much higher than that of the pure momentum strategy that invests in stocks … in almost all years. The outperformance can be traced back to a higher probability of picking outperforming stocks. These …
Persistent link: https://www.econbiz.de/10008684971
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Informed trading, information asymmetry and pricing of information risk: Empirical evidence from the NYSE
Yadav, Pradeep K.; Bardong, Florian; Bartram, Söhnke M. - Institut für Finanzmarktforschung, Wirtschafts- und … - 2009
We investigate and test hypotheses on how informed trading varies with market-wide factors and the structural and trading characteristics of a firm. We find strong evidence of commonality in informed trading, and a systematic dependence of informed trading on firm characteristics that is largely...
Persistent link: https://www.econbiz.de/10008684979
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Mutual fund flows, expected returns, and the real economy
Jank, Stephan - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...
Persistent link: https://www.econbiz.de/10009643180
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns over the intermediate and long term. Given the widespread publication of sentiment indicators, smart investors should trade on the information conveyed by such indicators and...
Persistent link: https://www.econbiz.de/10009647572