scholarly journals Exploiting the dividend month premium: evidence from Germany

2021 ◽  
Author(s):  
Felix Kreidl ◽  
Hendrik Scholz
Keyword(s):  
Transaction Costs ◽  
Tracking Error ◽  
Abnormal Returns ◽  
Dividend Payments ◽  
Announcement Date ◽  
Main Driver ◽  
Dividend Announcements ◽  
Portfolio Managers ◽  
German Stock ◽  
German Stock Market

AbstractDividend payments are firm events on a recurring and predictable basis. High returns in the period between announcement-date and ex-dividend date are the main driver for the so-called dividend month premium, which are positive abnormal returns in months in which corporations are predicted to issue dividend payments. In our empirical analysis of the German stock market, we find a robust dividend month premium, which is particularly high for stocks with positive dividend surprise. Knowing the dates of dividend announcements and payments enable portfolio managers to exploit the dividend month premium. Also taking into account tracking error and transaction costs, we show that simple portfolio-enhancing strategies lead to highly significant abnormal returns.

scholarly journals Industry effects in directors’ dealings and abnormal stock returns: Results from the German stock market

2020 ◽  
Vol 18 (1, Special Issue) ◽  
pp. 310-330
Author(s):  
Julia Grimberg ◽  
Tim A. Herberger
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Insider Trading ◽  
Abnormal Returns ◽  
Market Reactions ◽  
Specific Level ◽  
Industry Effects ◽  
Industry Level ◽  
German Stock ◽  
German Stock Market

While the occurrence of insider profits from directors’ dealings has been discovered for international stock markets, the industry effects of executives’ transactions have been scarcely part of previous research. Since on a firm-specific level, there are indications for a positive relation between companies’ investments in research and development (R&D investments) and abnormal returns, this paper examines whether these results also hold on an industry level. We elaborate and apply an event study for all companies listed in the HDAX at the German stock market between January 2013 and August 2018, firstly on an overall level and secondly on an industry level within the HDAX. Additionally, we analyze the switch in the regulatory framework from national to EU legislation (WpHG to MAR) in 2016 and the potential consequences for directors’ dealings and stock market reactions. Our analysis shows that insiders in general act as contrarian investors. However, our analysis of directors’ dealings related to potential industry effects does not lead to significant abnormal returns. The shift in insider trading regulation from German to European legislation in the middle of the sample period leads to a decreasing in abnormal returns over time. Our results are robust to different market models as well as size effects. We conclude that outside investors cannot profit from monitoring and analyzing directors’ dealings on an industry level and recommend a firm-specific level.

scholarly journals Impact of Dividends on Share Price Performance of Companies in Indian Context

2013 ◽  
Vol 4 (1) ◽  
pp. 4 ◽  
Author(s):  
Kavita Chavali ◽  
Nusratunnisa .
Keyword(s):  
Stock Price ◽  
Abnormal Returns ◽  
Share Price ◽  
Market Model ◽  
Indian Context ◽  
Announcement Date ◽  
Price Performance ◽  
Dividend Announcements ◽  
Study Methodology ◽  
The Impact

The study aims at finding the impact of dividends (cash and stock) on share price performance of companies in the Indian context. A sample of 67 fast moving consumer goods companies who made dividend announcements from April 2007 to August 2011 are taken. In this study, the Market Model Event Study Methodology has been employed to measure the effect of dividend announcements and its impact on the share price with a 41-day event window is taken. The stock price data is collected for 20 days prior to the dividend announcement, the share price on the announcement date (<em>An date</em>) t<sub>0</sub> and 20 days post the dividend announcement. The findings indicate that the market is found to react positively to dividend announcements and with a significantly positive Average Abnormal Returns (AAR) around the announcement date.

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.

Portfolio revision and optimal diversification strategy choices

2014 ◽  
Vol 10 (4) ◽  
pp. 537-564
Author(s):  
Mourad Mroua ◽  
Fathi Abid
Keyword(s):  
Transaction Costs ◽  
Tracking Error ◽  
Investment Strategy ◽  
Selection Strategy ◽  
Revision Procedure ◽  
Content Type ◽  
Efficient Frontiers ◽  
Statistical Inferences ◽  
Diversification Strategies ◽  
International Portfolios

Purpose – Since equity markets have a dynamic nature, the purpose of this paper is to investigate the performance of a revision procedure for domestic and international portfolios, and provides an empirical selection strategy for optimal diversification from an American investor's point of view. This paper considers the impact of estimation errors on the optimization processes in financial portfolios. Design/methodology/approach – This paper introduces the concept of portfolio resampling using Monte Carlo method. Statistical inferences methodology is applied to construct the sample acceptance regions and confidence regions for the resampled portfolios needing revision. Tracking error variance minimization (TEVM) problem is used to define the tracking error efficient frontiers (TEEF) referring to Roll (1992). This paper employs a computation method of the periodical after revision return performance level of the dynamic diversification strategies considering the transaction cost. Findings – The main finding is that the global portfolio diversification benefits exist for the domestic investors, in both the mean-variance and tracking error analysis. Through TEEF, the dynamic analysis indicates that domestic dynamic diversification outperforms international major and emerging diversification strategies. Portfolio revision appears to be of no systematic benefit. Depending on the revision of the weights of the assets in the portfolio and the transaction costs, the revision policy can negatively affect the performance of an investment strategy. Considering the transaction costs of portfolios revision, the results of the return performance computation suggest the dominance of the global and the international emerging markets diversification over all other strategies. Finally, an assessment between the return and the cost of the portfolios revision strategy is necessary. Originality/value – The innovation of this paper is to introduce a new concept of the dynamic portfolio management by considering the transaction costs. This paper investigates the performance of a revision procedure for domestic and international portfolios and provides an empirical selection strategy for optimal diversification. The originality of the idea consists on the application of a new statistical inferences methodology to define portfolios needing revision and the use of the TEVM algorithm to define the tracking error dynamic efficient frontiers.

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

The valuation effects of hotel mergers

2021 ◽  
pp. 135481662110504
Author(s):  
Seongsu David Kim
Keyword(s):  
Panel Data Analysis ◽  
Hotel Industry ◽  
Abnormal Returns ◽  
Lodging Industry ◽  
Causal Inferences ◽  
Valuation Effects ◽  
Cumulative Abnormal Returns ◽  
Announcement Date ◽  
Total Debt ◽  
Jel Classifications

This study aims to evaluate the merger effect of hotel mergers between 1981 and 2019 and assess which theoretical framework mergers in the lodging industry would conform. Previously, no work has been done about the nature of hotel mergers using the combined return, while this lack of thoroughness in assessing the motivation of those mergers has triggered different interpretations. The design of this study follows the traditional framework of an event study by assessing various types of cumulative abnormal returns around the announcement date. The key finding of this study suggests that the nature of hotel mergers strongly supports the synergy hypothesis. In order to explore the causal inferences of this result by bidder and target, an additional analysis was conducted by regressing the cumulative abnormal returns on accounting measures as well as merger- and hotel industry–specific variables. This panel data analysis showed that in a merger where both the bidder and target are affected, the amount of total debt, being engaged in the casino business, and whether the merger was involving a stock swap sent out positive signals to the market, whereby longer duration and higher deal value lifted the undervalued target. JEL Classifications: G34 (Mergers; Restructuring; Corporate Governance)

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