Value Stocks beat Growth Stocks: An empirical Analysis for the German Stock Market (ePub)
(Sprache: Englisch)
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...
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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.
Bibliographische Angaben
- Autor: Christian Schiessl
- 2012, 1. Auflage, 70 Seiten, Englisch
- Verlag: GRIN Verlag
- ISBN-10: 3656301301
- ISBN-13: 9783656301301
- Erscheinungsdatum: 02.11.2012
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- Dateiformat: ePub
- Grösse: 1.73 MB
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Sprache:
Englisch
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