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

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Reference

Kaiser, L. (2013). Value Investing with Firm Size Restrictions: Evidence for the German Stock Market. Paper presented at the Internationales Doktorandenseminar in Banking 2013, Augsburg (Germany).

Publication type

Refereed Conference Paper

Abstract

Recent findings by Fama & French (2012) report 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.

Research

Quantitative Investment Management and Portfolio Optimisation
PhD-Thesis, March 2011 until February 2015 (finished)

Overall, the proposed dissertation project aims to contribute to academic literature by identifying research gaps in the field of quantitative investment management and answering the respective by ... more ...

Persons

Organizational Units

  • Institute for Financial Services
  • Chair in Business Administration, Banking and Financial Management