Evaluation Of The Momentum Strategy On The German Stock Exchange

Master's Thesis from the year 2013 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1.3, University of Applied Sciences Essen, language: English, abstract: This work covers the momentum effect on financial markets and a trading strategy based on this effect. The research focuses on the German Stock Exchange data from the last decade. The data are divided into two sections in order to build two different types of virtual portfolios. One section contains the data of the DAX index, and the second section is filled with securities from the MDAX. Two hypotheses are to be verified. First, is momentum still available in a time of mass internet availability, like during the past decade? And second, is momentum stronger in MDAX due to smaller firm sizes and corresponding lower market efficiency?

Based on a 'free of survivorship-bias' sample of German stocks listed at the Frankfurt stock exchange, the study investigates 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. First, the author characterizes and defines the significant terms that are in connection with value and growth investing. He continues with the discussion of asset pricing with the CAPM, the Fama and French three-factor model, and the Carhart extension, and then describes the expected stock returns that are of capital importance. Moreover, the author deals with related studies for the German stock market. He gives a detailed description of the empirical analysis before he draws his conclusions. The author's purpose is to answer the following core questions: Is there a value premium in the German market between 1992 and 2011? Is there a reversed size premium like recent empirical findings suggest? Do high momentum stocks perform better than low momentum stocks? Is there a significant seasonal pattern in hedge portfolio returns? The combination of which factors best explains expected stock returns?

Seminar paper from the year 2008 in the subject Business economics - Investment and Finance, grade: 1,0, University of Applied Sciences Essen, language: English, abstract: The price movements of stocks are the result of complex interdependencies due to a vast number of influencing factors - such as fundamental and psychological factors - are expressed in the expectations and the behavior of the stock market participants. To cope with this complexity and to derive an applicable asset strategy, analysts distinguish particularly between two dominant analysis methods in practice - the Fundamental and the Technical Analysis - which have recently been supplemented by the approach of Behavioral Finance. With reference to a strict interpretation of the theoretical assumptions of the Fundamental as well as the Technical Analysis these two concepts are mutually exclusive. As a result of this there are a vast number of analysts who either acknowledge the Fundamental Analysis while denying the Technical Analysis and vice versa. The Fundamentals criticize that the technical approach has a lack in academic foundation and is, therefore similar to a kind of reading tea leaves, whereas the Technicals are convinced that the Fundamental Analysis is not able to generate an advantage by analyzing the fundamental value drivers of a stock, because those are already reflected by the current market prices. In practice the Fundamental Analysis seems to have its weaknesses particularly during extreme market phases - e.g. during the New Economy bubble at the end of the nineties - in which the psychology of the market participants gains in impact. At the same time the fundamental aspects are seemingly neglected. Furthermore, the fundamental approach seems to have improvement capabilities particularly in terms of timing. Psychological aspects of the market participants are at least indirectly included within the Technical Analysis, which could be particularly used for timing decisions as well. N

Seminar paper from the year 2015 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 2,0, University of Mannheim, course: Behavioral Finance, language: English, abstract: Extensive research has been dedicated to the momentum effect in the past two decades since it was first documented in 1993 by Jegadeesh and Titman. Put simply, momentum can be understood as persistence in relative stock performance: stocks which have performed well over the past three to twelve months continue to outperform stocks which have performed poorly over the next three to twelve months. The aim of this paper is to gather, compare and evaluate the available evidence so far to show that momentum is effective globally, with a focus on analyzing co-movement. Besides the geographical dimension, the paper will also look at the extent to which profitable momentum returns are prevalent in time and are not only confined to stocks, but are characteristic for much more asset classes. As such, the main contribution of the paper is the brief analysis of the pervasiveness of the momentum effect along three dimensions: geographical, temporal and across asset classes.

This book constitutes the proceedings of the 7th International Workshop on Enterprise Applications and Services in the Finance Industry, FinanceCom 2014, held in Sydney, Australia, on December 12, 2014. The workshop spans multiple disciplines, including technical, service, economic, sociological, and behavioral sciences. It reflects on technologically enabled opportunities, implications, and changes due to the introduction of new business models or regulations related to the financial services industry and the financial markets. The nine papers presented were carefully reviewed and selected from numerous submissions.

Although emerging market economies consist of 50% of the global population, they are relatively unknown. Filling this knowledge gap, Emerging Markets: Performance, Analysis and Innovation compiles the latest research by noteworthy academics and money managers from around the world. With a focus on both traditional emerging markets and new areas, such as the Balkan, Middle East, and North African regions, it looks at how these markets can serve as drivers of portfolios and a significant force over the long term. This noteworthy collection sheds some light on what lies ahead for emerging markets with the most up-to-date research from academics and practitioners. It covers general issues in emerging markets and provides in-depth studies of regional markets experiencing transition, including the European Union, Latin America, and the Middle East. The book also explores Asian and Indian markets as well as financial instruments, such as bonds and funds, relative to these markets. It concludes with chapters on regulations, corporate governance, and corruption.

Diploma Thesis from the year 2008 in the subject Business economics - Investment and Finance, grade: 2,0, University of Applied Sciences Essen, language: English, abstract: Historically considered, fundamental and technical analyses have always competed, often leading to advocates that ideologically judge either a fundamental analysis or technical analysis to be the one and only analyzing concept. Behavioral finance is a relatively new scientific approach to explain psychological anomalies on the stock market, but is also more and more often considered to be able to compete with both fundamental and technical analyses. Still, do these analysis concepts really compete in practice or could they actually supplement each other with their respective strengths? Taking the turbulent stock market phases as well as these unanswered questions about fundamental analysis, behavioral finance and the technical analysis into consideration, this thesis ultimately pursues two general objectives: Firstly, fundamental analysis, behavioral finance and technical analysis should be scientifically examined in terms of their premises, analysis approaches, empirical evidences as well as strengths and weaknesses. Secondly, it should be examined as to whether the fundamental analysis, behavioral finance and technical analysis have theoretical and practical synthesis capabilities that could be used for developing a synthesis concept. The synthesis concept should combine the respective strengths and eliminate the respective weaknesses of each of the three analysis concepts. Fundamental analysis, behavioral finance and technical analysis are examined in detail. Empirical studies should prove if, and by which approaches, the analysis concept is able to predict future stock prices. In order to be able to develop a synthesis concept, each analysis concept is evaluated by a SWOT analysis, pursuing the objective of determining the respective strengths, weaknesses, opportunities and threats of the analysis concept being considered. Based on the previous SWOT analyses, the sixth chapter examines the synthesis capabilities of the fundamental analysis, behavioral finance and technical analysis. In a first step, the synthesis capabilities are theoretically analyzed. Based on the theoretical consideration the synthesis capabilities are also practically examined in a second step. A broad empirical study using the example of the DAX performance index analyzes the predictive capabilities of the three analysis concepts. By evaluating the theoretical as well as the practical synthesis capabilities, a general conclusion is drawn about the synthesis capabilities.