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Master's Thesis from the year 2012 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Bamberg, language: English, abstract: Based on a sample of German stocks listed at the Frankfurt stock exchange, the study investigated the ability of hedge portfolio formation structures, built of three value premium proxies (P/B, P/E, and DY), the size factor, and the technical momentum factor, to generate excess returns in the period 1992 to 2011. The P/B hedge portfolio yields an average return of 1.59 percent per month, the P/E hedge portfolio 0.664 percent, and a portfolio formation approach ranked on DY delivers a return of 0.839. The results of multivariate regressions favor the Fama-French three-factor model in order to explain expected stock returns.
| Autorius: | Christian Schießl |
| Leidėjas: | GRIN Verlag |
| Išleidimo metai: | 2012 |
| Knygos puslapių skaičius: | 76 |
| ISBN-10: | 3656301662 |
| ISBN-13: | 9783656301660 |
| Formatas: | 210 x 148 x 6 mm. Knyga minkštu viršeliu |
| Kalba: | Anglų |
Parašykite atsiliepimą apie „Value Stocks beat Growth Stocks: An empirical Analysis for the German Stock Market“
