Seasonalities in the German stock market

Weak-Form Efficiency In The German Stock Market

weak-form efficiency in the german stock market

Weekday Dependence of German Stock Market

The so{called`Monday eeect' has been found for various stock markets of the world. The empirical nding that Monday returns are signiicantly smaller than returns measured for the remaining days of the week calls the eeciency hypothesis for pricing processes operating on stock markets into question. Investigating an index series measured at the Frankfurt stock exchange the paper compares estimati...

Floor versus Screen Trading: Evidence from the German Stock Market

The last decade has witnessed a dramatic increase in both the number and the market share of screen-based trading systems. Electronic trading systems do offer lower operating costs and the possibility of remote access to the market. On the other hand, arguments based on the anonymity of electronic trading systems suggest that adverse selection may be a more severe problem and that, therefore, b...

Evaluating Conditional Asset Pricing Models for the German Stock Market

We study the performance of conditional asset pricing models in explaining the German cross-section of stock returns. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results show that the empirical performance of the Capital Asset Pricing Model (CAPM) can be improved substantially when allowing for time-varying parameters of the st...