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...

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...

This thesis contains three papers. Each paper addresses a distinct research question and is implemented on a separate dataset. The first paper concludes that daytime auctions, together with market opening and closing intervals, contribute to the periodicity of the cross-section of stock returns....