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Author: Christian Schießl Publisher: Anchor Academic Publishing (aap_verlag) ISBN: 3954895692 Category : Business & Economics Languages : en Pages : 71
Book Description
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?
Author: Christian Schießl Publisher: Anchor Academic Publishing (aap_verlag) ISBN: 3954895692 Category : Business & Economics Languages : en Pages : 71
Book Description
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?
Author: Thomas Müller Publisher: GRIN Verlag ISBN: 3656178240 Category : Business & Economics Languages : en Pages : 62
Book Description
Bachelor Thesis from the year 2012 in the subject Business economics - Business Management, Corporate Governance, grade: 1,00, EBS European Business School gGmbH, language: English, abstract: Portfolio managers face the challenge to achieve excess returns comparative to a benchmark for their private or institutional clients. Researchers such as Fama and French (1992, 1996) or Lakonishok, Shleifer, and Vishny (1994) caused a stir with their findings that various investment styles tend to accomplish superior returns over a long-term horizon. Their findings proposed that value stocks tend to outperform growth stocks. This bachelor thesis raises the question whether value or growth fund managers are able to achieve a persistent outperformance relative to their internal and external benchmark. The findings have a crucial influence on investors considering an investment into the equity market by an active or passive portfolio management approach.
Author: Bruce C. Greenwald Publisher: John Wiley & Sons ISBN: 9780471463399 Category : Business & Economics Languages : en Pages : 324
Book Description
From the "guru to Wall Street's gurus" comes the fundamental techniques of value investing and their applications Bruce Greenwald is one of the leading authorities on value investing. Some of the savviest people on Wall Street have taken his Columbia Business School executive education course on the subject. Now this dynamic and popular teacher, with some colleagues, reveals the fundamental principles of value investing, the one investment technique that has proven itself consistently over time. After covering general techniques of value investing, the book proceeds to illustrate their applications through profiles of Warren Buffett, Michael Price, Mario Gabellio, and other successful value investors. A number of case studies highlight the techniques in practice. Bruce C. N. Greenwald (New York, NY) is the Robert Heilbrunn Professor of Finance and Asset Management at Columbia University. Judd Kahn, PhD (New York, NY), is a member of Morningside Value Investors. Paul D. Sonkin (New York, NY) is the investment manager of the Hummingbird Value Fund. Michael van Biema (New York, NY) is an Assistant Professor at the Graduate School of Business, Columbia University.
Author: Wing-Keung Wong Publisher: Mdpi AG ISBN: 9783036530802 Category : Business & Economics Languages : en Pages : 232
Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author: Elroy Dimson Publisher: Princeton University Press ISBN: 140082947X Category : Business & Economics Languages : en Pages : 352
Book Description
"Brilliant."—Time "By far the most important investment book in years."—Bloomberg Money "A book that belongs on every investor's bookshelf."—MSN.com An essential and authoritative account of a century of investment returns in sixteen countries—the U.S., the U.K., Japan, France, Germany, Canada, Italy, Spain, Switzerland, Australia, the Netherlands, Sweden, Belgium, Ireland, Denmark, and South Africa Investors have too often extrapolated from recent experience. In the 1950s, who but the most rampant optimist would have dreamt that over the next fifty years the real return on equities would be 9% per year? Yet this is what happened in the U.S. stock market. The optimists triumphed. However, as Don Marquis observed, an optimist is someone who never had much experience. In Triumph of the Optimists, renowned investment authorities Elroy Dimson, Paul Marsh, and Mike Staunton extend our experience across regions and across time. They present a comprehensive and consistent analysis of investment returns for equities, bonds, bills, currencies, and inflation, spanning sixteen countries, from the end of the nineteenth century to the beginning of the twenty-first. This is achieved in a clear and simple way, with over 130 color diagrams that make comparison easy. Crucially, the authors analyze total returns, including reinvested income. They show that some historical indexes overstate long-term performance because they are contaminated by survivorship bias and that long-term stock returns are in most countries seriously overestimated, due to a focus on periods that with hindsight are known to have been successful. The book also provides the first comprehensive evidence on the long-term equity risk premium—the reward for bearing the risk of common stocks. The authors reveal whether the United States and United Kingdom have had unusually high stock market returns compared to other countries. The book covers the U.S., the U.K., Japan, France, Germany, Canada, Italy, Spain, Switzerland, Australia, the Netherlands, Sweden, Belgium, Ireland, Denmark, and South Africa. Triumph of the Optimists is required reading for investment professionals, financial economists, and investors. It will be the definitive reference in the field and consulted for years to come.
Author: Harold L. Vogel Publisher: Palgrave Macmillan ISBN: 9783030791841 Category : Business & Economics Languages : en Pages : 0
Book Description
Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and are defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Author: R. Nandagopal Publisher: Excel Books India ISBN: 9788174465832 Category : Banks and banking Languages : en Pages : 316
Book Description
Emerging Financial Markets' is organized into three sections namely; *) Financial Markets & Instruments, *) Behavioural Finance , *) Banking . The areas covered are Private Banking, Banking, Mutual Funds, Capital Markets, Fixed Income Securities, Behavioral Finance, Insurance, Derivatives and Risk Management. The topics covered will be of use to researchers, managers and consultants. This book will contribute significantly towards the knowledge base and research.
Author: Jeremy J. Siegel Publisher: McGraw Hill Professional ISBN: 0071643923 Category : Business & Economics Languages : en Pages : 407
Book Description
Stocks for the Long Run set a precedent as the most complete and irrefutable case for stock market investment ever written. Now, this bible for long-term investing continues its tradition with a fourth edition featuring updated, revised, and new material that will keep you competitive in the global market and up-to-date on the latest index instruments. Wharton School professor Jeremy Siegel provides a potent mix of new evidence, research, and analysis supporting his key strategies for amassing a solid portfolio with enhanced returns and reduced risk. In a seamless narrative that incorporates the historical record of the markets with the realities of today's investing environment, the fourth edition features: A new chapter on globalization that documents how the emerging world will soon overtake the developed world and how it impacts the global economy An extended chapter on indexing that includes fundamentally weighted indexes, which have historically offered better returns and lower volatility than their capitalization-weighted counterparts Insightful analysis on what moves the market and how little we know about the sources of big market changes A sobering look at behavioral finance and the psychological factors that can lead investors to make irrational investment decisions A major highlight of this new edition of Stocks for the Long Run is the chapter on global investing. With the U.S. stock market currently holding less than half of the world's equity capitalization, it's important for investors to diversify abroad. This updated edition shows you how to create an “efficient portfolio” that best balances asset allocation in domestic and foreign markets and provides thorough coverage on sector allocation across the globe. Stocks for the Long Run is essential reading for every investor and advisor who wants to fully understand the market-including its behavior, past trends, and future influences-in order to develop a prosperous long-term portfolio that is both safe and secure.
Author: Christian Schießl
Author: Christian Schießl
Author: Thomas Müller
Author: Bruce C. Greenwald
Author: Wing-Keung Wong
Author: Elroy Dimson
Author: Harold L. Vogel
Author: Stijn Claessens
Author: R. Nandagopal
Author: 
Author: Jeremy J. Siegel