Literature Review -- Return Predictability and the Real Economy -- Study Design and Data -- Empirical Part I - Testing for Predictability -- Forecasting Models -- Empirical Part II - Investment Strategies -- Conclusion

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Gaston Michel investigates whether shocks to real estate markets constitute an important source of the risk that is priced in the cross section of equity returns. His results document that real estate risk explains a large part of the cross-sectional variation in equity returns. He shows that an...