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Momentumstrategien am deutschen Aktienmarkt: Neue empirische Evidenz zur Erklärung des Erfolgs

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... The stocks with the highest and lowest returns on equities in the formation period are combined into winning and losing portfolios, each with the same number. The final step is the acquisition of the winning portfolio, which is held over the specified investment period, with the loser portfolio being sold short at the same time (Brock et al., 1992;Hong and Stein, 1999;August et al., 2000). ...
... The findings from the European momentum study correlate highly with the results of the studies conducted on the US market. August et al. (2000) analyzed the price data for 418 stocks on a weekly and monthly basis, which were listed on the German stock market between 1973 and 1997. A successful momentum strategy was demonstrated for risk-adjusted returns. ...
... Limitedly rational traders (risk-averse newswatchers) trigger an underreaction in the share price which, however, can end in an overreaction and trend reversal due to trading activities of risk-neutral momentum traders (Bank, 2003). The decisions of market participants are not necessarily based on psychological distortions (August et al., 2000;Demirer et al., 2015;Wang and Xu, 2015). ...
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Research background: The focus of the momentum strategy, as a procyclical investment strategy, lies in the hypothesis that the winning shares of the past will most likely develop in the same direction in the near future. The same is assumed for the performance of the loser shares. The technical trading rules of relative strength according to Levy provide the basis for this approach (Levy, 1967). The momentum strategy can thus offer investors an opportunity to outperform the market. The creation of portfolios under the momentum strategy follows simple rules: On the basis of past prices, equities are selected within a formation period according to return criteria. The stocks with the highest and lowest returns on equities in the formation period are combined into winning and losing portfolios, each with the same number. The final step is the acquisition of the winning portfolio, which is held over the specified investment period, with the loser portfolio being sold short at the same time. The empirical analysis presented in this paper focuses on the success of the momentum strategy for the STOXX Europe 600 market over a formation and investment period of six months. Purpose of the article: The objective of this paper is to empirically test the above statements and assumptions. Portfolios are built up on a rolling basis over a period of six months and then observed with respect to their performance over a period from 1995 to 2000. The achieved returns are compared with a buy-and-hold strategy and empirically tested for return differences. Especially the years 2001, 2008, and 2020 as the crisis years of the dot-com bubble, the financial crisis, and the COVID-19 pandemic are focused on and discussed. Methods: The data of the period are examined for performance development in a database in the form of winner and loser portfolios. The returns are calculated as AR to a reference portfolio DAX. The returns are statistically tested for significant differences to a zero return using a t test. Findings & Value added: The results show the performance of the momentum strategy in the period from 1995 to 2000 for the stocks of the STOXX Europe 600. The strong fluctuations in the crisis years are notable. With few exceptions, the reference returns could only provide statistically non-significant results.
... August, Schiereck & Weber (2000) analyzed the price data for 418 stocks on a weekly and monthly basis, which were listed in official trading between 1973 and 1997. [33] A successful momentum strategy has been demonstrated for risk-adjusted returns. ...
... August, Schiereck & Weber (2000) analyzed the price data for 418 stocks on a weekly and monthly basis, which were listed in official trading between 1973 and 1997. [33] A successful momentum strategy has been demonstrated for risk-adjusted returns. In accordance with existing studies, a six-and twelve-month formation and test period is proving to be promising. ...
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Research background: Since the publication of Markowitz’ Portfolio Selection Theory, researchers and practitioners have been searching for the optimal structure of investment portfolios. An unlimited number of portfolio-based investment strategies have been created since 1952. However, none of these strategies seem to continuously generate overperformance over a long time period. This may also be due to the strong dynamics of economic development and other external factors. Purpose of the article: The aim of this article is to analyze which strategies are successful in generating winning portfolios in times of crisis. Three types of crises are considered: first, the bursting of the dot-com bubble in 2001, second, the financial crisis of 2008, and finally, the performance impact of the corona crisis. Methods: The data of the S&P 500 and STOXX Europe 600 companies are analyzed. The first step is the statistical review of the performance of companies in different periods with the focus on the analysis of the crisis years. Subsequently, the formation of portfolios is carried out according to known key figures such as high-low PE ratio, high-low market-to-book ratio, and others. In the form of a regression analysis, selected fundamental data are used to statistically check their relevance for performance. Findings & Value added: The results shows that all crises have similarities in certain factors. However, they also show that companies with a digital business model are able to manage crises better than those without a digital business model.
... Although several papers show that such trading strategies within other national stock markets could have been successful in the past as well (for the German stock market see, e.g., Schiereck et al., 1999;August et al., 2000;Glaser and Weber, 2003), little is known regarding the active employment of momentum strategies among institutional investors outside the U.S. 2 In the academic literature one can find several reasons as to why money managers could use momentum strategies. First of all, trading in accordance with past returns could arise from short-term career concerns among fund managers. ...
Article
The existence of the momentum effect in stock returns has been documented for the U.S. (e.g., Jegadeesh and Titman, 1993) and many other national equity markets worldwide (e.g., Griffin et al., 2003). However, little is known about the active employment of momentum strategies among institutional investors outside the U.S. In this respect, we provide first evidence of momentum behavior among German mutual funds. We find the fund trades to follow stock returns on an aggregated institutional level. Moreover, we detect significant momentum behavior among funds with a European and global equity focus, and among funds predominantly investing in Asia. In contrast, German funds do not seem to employ momentum strategies when trading domestic stocks. While only half of the funds across the entire sample trade in accordance with past returns, 66% of the funds within the largest size quintile follow momentum strategies. Finally, we do not find momentum trading funds to outperform the other funds.
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Among the various strategies studied in this paper, only momentum investing appears to earn persistently nonzero returns: From 1965 to 2014, the classical momentum strategy based on performance over the previous 2–12 months earned an average return of 1.57% per month (excluding microcap stocks and value-weighted returns). In the most recent 10-year period, this return was even larger—2.27%—which is much larger than in the USA. However, profitability net of transaction costs is weak because the strategy involves trading in disproportionately small stocks with high transaction costs, something that is particularly true for the loser portfolio. A strategy that concentrates only on the winner portfolio and thus avoids potential problems associated with (short) selling the costly loser portfolio appears to earn strong and persistently abnormal profits, even after transaction costs.
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It is often examined in the literature whether the dividend yields of stocks correlate with their total returns. This paper analyzes the effect of dividend yield on return as well as on risk and on performance of stocks and stock portfolios on the German market. Not only the influence of dividend yield but also of dividend stability is subject to our analysis. Furthermore, tax aspects are considered. However, this study should rather be seen as an empirical analysis of the influence of dividends as a capital market anomaly than a theoretical based validation approach. Our data set comprises daily adjusted stock prices and dividend payment data from the German capital market over the period 3 January 2000–31 July 2008. This period was characterized by a high volatility of the stock market. In addition to the existing literature examining mainly the long-term influence of dividend yields, we also want to find out whether stocks with high and stable dividend payments are able to reduce the risk of a stock investment in short time periods characterized by extreme conditions. We use blue chips (DAX), stocks of medium-sized companies (MDAX), and stocks of technology firms (TecDAX). Our findings suggest that stock performance generally improves with an increasing dividend yield, where this result is actually based on risk reduction instead of a higher return. However, this risk reduction diminishes with an increasing degree of diversification.
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This paper analyzes the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to twelve months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German stock market. Our main finding is that momentum strategies are more profitable among high turnover stocks. In contrast to U.S. evidence, this result is mainly driven by winners: high-turnover winners have higher returns than low-turnover winners. We present various robustness checks, long horizon results, evidence on seasonality, and control for size-, book-to-market-, and industry-effects. We argue that our results are useful to empirically evaluate competing explanations for the momentum effect.
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