Illiquidity and Stock Returns: Evidence from the German Stock Market

2010 ◽  
Author(s):  
Stefan Koch
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
German Stock ◽  
German Stock Market

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 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.

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