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The Fama-French five-factor model plus momentum : evidence for the german market

Dirkx, Philipp; Peter, Franziska Julia - In: Schmalenbach business review : sbr 72 (2020) 4, pp. 661-684

Persistent link: https://www.econbiz.de/10012429762

Stock market overreaction and fundamental valuation : theory and empirical evidence

Külpmann, Mathias - 2002

Persistent link: https://www.econbiz.de/10001607573

Fundamentals and the winner-loser effect theory and empirical evidence

Külpmann, Mathias - 2000

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Irrational exuberance reconsidered : the cross section of stock returns

Külpmann, Mathias - 2004 - 2. ed.

Persistent link: https://www.econbiz.de/10001755223

One-factor-Garch models for German stocks : estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010407100

An empirical characterization of volatility dynamics in the DAX

Virla, Leonardo Quero - 2021

This paper addresses stock market volatility in Germany between 1991 and 2018. Through a GARCH model with leverage term …, an estimation of volatility in the DAX is provided. Such estimation is then plugged into a quantile regression model … where potential economic determinants are analyzed. The results suggest that stock market volatility in Germany reached its …

Persistent link: https://www.econbiz.de/10012629944