Implementing the Fama-French Five-Factor Model for the German Stock Market

2018 ◽  
Author(s):  
Philipp Dirkx ◽  
Franziska Peter
Keyword(s):  
Stock Market ◽  
Factor Model ◽  
Five Factor Model ◽  
German Stock ◽  
German Stock Market

The Alternative Three-Factor Model: Evidence from the German Stock Market

2018 ◽  
Vol 51 (3) ◽  
pp. 389-420
Author(s):  
Florian Kiesel, ◽  
Andreas Lübbering, ◽  
Dirk Schiereck
Keyword(s):  
Stock Market ◽  
Factor Model ◽  
German Stock ◽  
Model Evidence ◽  
German Stock Market ◽  
Three Factor

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 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
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