Value Stocks beat Growth Stocks by Christian Schiel
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Value Stocks beat Growth Stocks

Value Stocks beat Growth Stocks


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International Edition


About the Book

Master's Thesis from the year 2012 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Bamberg, language: English, abstract: Based on a sample of German stocks listed at the Frankfurt stock exchange, the study investigated 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. The P/B hedge portfolio yields an average return of 1.59 percent per month, the P/E hedge portfolio 0.664 percent, and a portfolio formation approach ranked on DY delivers a return of 0.839. The results of multivariate regressions favor the Fama-French three-factor model in order to explain expected stock returns.


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Product Details
  • ISBN-13: 9783656301660
  • Publisher: Grin Verlag
  • Publisher Imprint: Grin Verlag
  • Height: 210 mm
  • No of Pages: 76
  • Series Title: English
  • Sub Title: An empirical Analysis for the German Stock Market
  • Width: 148 mm
  • ISBN-10: 3656301662
  • Publisher Date: 04 Nov 2012
  • Binding: Paperback
  • Language: English
  • Returnable: N
  • Spine Width: 5 mm
  • Weight: 159 gr


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