Value Investing with Firm Size Restrictions: Evidence for the German Stock Market

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Referenz

Kaiser, L. (2014). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. Paper presented at the Eastern Finance Association Annual Meeting, Pittsburgh (US).

Publikationsart

Präsentation auf Konferenz

Abstract

Recent findings by Fama and French (2012) suggest a decreasing pattern of value premia alongside an increase in firm size. Large trading volumes of value investors often restrict their investment possibilities to large, liquid stocks and raise a serious issue if large cap value premia are diminishing. Thereon, we test for the existence of value premia with respect to seven fundamental metrics subject to a large cap sample restriction. We provide evidence for the German stock market and observe statistically significant Carhart alphas across all tested value metrics between 1988 until 2012, even after accounting for the total market HML risk factor. Finally, we look at pre- and post-rebalancing months and observe significantly negative value premia before rebalancing and an opposite pattern for past rebalancing returns. Furthermore, we identify calendar effects for value premia when considering a 12-month holding period.

Forschung

Quantitatives Investment Management und Portfoliooptimierung
Dissertation, März 2011 bis Februar 2015 (abgeschlossen)

Der Fokus der vorliegend kumulativen Dissertation lässt sich in drei Teilbereiche unterteilen. Die ersten beiden Teile befassen sich mit der Reduzierung von Schätzfehlern in Bezug auf Rendite und ... mehr

Mitarbeiter

Einrichtungen

  • Lehrstuhl für Betriebswirtschaftslehre, Bank- und Finanzmanagement
  • Institut für Finance

DOI

http://dx.doi.org/http://dx.doi.org/10.2139/ssrn.2338483