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Trading strategies based on past returns : evidence from Germany

Schmidt, Martin H. - In: Financial markets and portfolio management 31 (2017) 2, pp. 201-256

Persistent link: https://www.econbiz.de/10011944618

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011

Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier … significant positive value premium and a significant positive momentum premium. Second, the correlation within all four risk …

Persistent link: https://www.econbiz.de/10010307494

The Cross-Section of German Stock Returns: New Data and New Evidence

Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - In: Schmalenbach Business Review (sbr) 64 (2012) 1, pp. 20-43

We introduce a new data set that comprises factor returns and returns of portfolios that are single- and double-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard cAPM, the Fama-French (1993) three-factor model, and the carhart (1997)...

Persistent link: https://www.econbiz.de/10010548163

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011

Persistent link: https://www.econbiz.de/10009372405

Up and down together? : on the linkage of momentum and reversal

Hofmann, Daniel; Keiber, Karl Ludwig; Luczak, Adalbert - In: Global finance journal 54 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013469901

The cross-Section of German stock returns: New data and new evidence

Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 2010

momentum factor) as well as returns of portfolios which are single- and double-sorted according to market beta, size, book …-to-market, and momentum. Second, we use this data set to perform asset pricing tests for the German equity market. Specifically, we …

Persistent link: https://www.econbiz.de/10008684975

Impact of analyst recommendations on stock returns : evidence from the German stock market

Souček, Michael; Wasserek, Thomas - 2014

The purpose of this article is to examine the impact of analysts' recommendation downgrades, upgrades, and reiterations on German stock returns and as to whether prof- itable investment strategies could potentially be designed around these recommendations. The paper provides a unique detailed...

Persistent link: https://www.econbiz.de/10010404559