On the Explanatory Power of Rational Bubbles on the German Stock Market

1997 ◽  
pp. 175-214
Author(s):  
Matthias Salge
Keyword(s):  
Stock Market ◽  
Explanatory Power ◽  
Rational Bubbles ◽  
German Stock ◽  
German Stock Market

Investor Pessimism and the German Stock Market: Exploring Google Search Queries

2019 ◽  
Vol 20 (1) ◽  
pp. 1-28 ◽  
Author(s):  
Thomas Dimpfl ◽  
Vladislav Kleiman
Keyword(s):  
Stock Market ◽  
Trading Volume ◽  
Explanatory Power ◽  
Investor Sentiment ◽  
Search Queries ◽  
Retail Investor ◽  
German Stock ◽  
Relationship Of ◽  
Google Search ◽  
German Stock Market

Abstract We analyze the relationship of retail investor sentiment and the German stock market by introducing four distinct investor pessimism indices (IPIs) based on selected aggregate Google search queries. We assess the predictive power of weekly changes in sentiment captured by the IPIs for contemporaneous and future DAX returns, volatility and trading volume. The indices are found to have individually varying, but overall remarkably high explanatory power. An increase in retail investor pessimism is accompanied by decreasing contemporaneous market returns and an increase in volatility and trading volume. Future returns tend to increase while future volatility and trading volume decrease. The outcome is in line with the conjecture of correction effects. Overall, the results are well in line with modern investor sentiment theory.

scholarly journals Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market

2021 ◽  
Author(s):  
Eero J. Pätäri ◽  
Timo H. Leivo ◽  
Sheraz Ahmed
Keyword(s):  
Stock Market ◽  
Trading Strategies ◽  
Added Value ◽  
Financial Statement ◽  
Research Setting ◽  
Holding Period ◽  
Reality Check ◽  
German Stock ◽  
Overall Performance ◽  
German Stock Market

AbstractThis paper examines the added value of using financial statement information, particularly that of Piotroski’s (J Account Res 38:1, 2000. https://doi.org/10.2307/2672906) FSCORE, for equity portfolio selection in the German stock market in a realistic research setting in which the critique against the implementability of FSCORE-based trading strategies is taken into account. We show that the performance of annually rebalanced long-only portfolios formed on any of the examined 12 accounting-based primary criteria improves by including the FSCORE as a supplementary criterion. Our study is the first to show that although the FSCORE boost is strongest for the 1-year holding period length, it also holds, on average, for the 3-year holding period. The use of a 3-year updating frequency is particularly beneficial for the low-accrual portfolio that—when supplemented with the high-FSCORE threshold—generates the best overall performance among all 75 portfolios examined. Moreover, we show that a high FSCORE is also an efficient stand-alone criterion for long-only portfolio formation.

scholarly journals Beta and Returns Revisited: Evidence from the German Stock Market

2000 ◽  
Author(s):  
Ralf Elsas ◽  
Mahmoud El-Shaer ◽  
Erik Theissen
Keyword(s):  
Stock Market ◽  
German Stock ◽  
German Stock Market

scholarly journals The Impact of Investor Sentiment on the German Stock Market

2010 ◽  
Author(s):  
Philipp Finter ◽  
Alexandra Niessen-Ruenzi ◽  
Stefan Ruenzi
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

scholarly journals Forestalling floor closure: evidence from a natural experiment on the German stock market

2012 ◽  
Vol 44 (6) ◽  
pp. 793-802
Author(s):  
Christiane Goodfellow ◽  
Martin T. Bohl
Keyword(s):  
Stock Market ◽  
Natural Experiment ◽  
German Stock ◽  
German Stock Market
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