For the U.S it has been shown that insiders and their imitators, on average, do not earn profits net of transaction costs. For Germany, we find that profitable insider trading is related to index membership. For the TecDAX, we find for purchases that insiders and imitators earn large and...

Due to the success of the Fama/French three-factor model, many factor sets for non-U.S. stock markets have been estimated and applied. Exporting a specific factor model from the U.S. to another country seems to be an easy and well-defined task. We use the example of Germany to illustrate that...

Using data on all firms listed in the top segment of the Frankfurt Stock Exchange during the years 1960 to 2007, we investigate how the (Sharpe-Lintner) CAPM performs under the assumption that the German capital market is totally segmented from other capital markets. We also check whether this...

Previous estimates of the mean 3-year buy-and hold abnormal returns of German IPO stocks range from -52.20% to 1.66%. It is difficult to justify this significant variation in abnormal returns, given the almost identical calculation procedures and the large overlap in sample periods. We argue...

Our study deals with the process of beta estimation and focuses on companies which are subject to European network regulation. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant...

We examine the risk-adjusted performance of open-end mutual funds which invest mainly in German stocks. After briefly discussing the institutional environment in which these funds operate, we focus on the benchmark problem and the risk adjustment problem. Our data set includes all German funds...