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...

Existing estimates of the long-run abnormal performance after initial public offerings in Germany differ between +1.54 % and -19.85 % for holding periods of 36 months. We discuss the methodological problems of these studies and the peculiarities of the German market. Using a large sample,...

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...

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...

Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the...

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...

Seit seiner Einführung im Jahre 1988 hat sich der DAX zum wichtigsten Indikator für die Performance deutscher Aktien entwikkelt. Im vorliegenden Beitrag werden die Ergebnisse einer Rückberechnung des DAX für den Zeitraum von Januar 1955 bis Dezember 1987 vorgestellt und die damit verbundenen...