Three Essays on the returns of German stocks and mutual funds:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Hamburg
Kovač
2013
|
| Series: | Finanzmanagement
99 |
| Subjects: | |
| Online Access: | Ausführliche Beschreibung Inhaltsverzeichnis |
| Physical Description: | 272 S. Ill. |
| ISBN: | 9783830072553 3830072554 |
Staff View
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Record in the Search Index
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| adam_text | IMAGE 1
CONTENTS
LIST O F FIGURES 9
LIST OF TABLES 11
LIST OF ABBREVIATIONS 15
LIST O F VARIABLES AND SYMBOLS 19
PREFACE AND OVERVIEW 21
1 GERMAN STOCK MUTUAL FUNDS: INDUSTRY CHARACTERISTICS, DATA
PROBLEMS, AND LONG-RUN PERFORMANCE 29
1.1 INTRODUCTION 33
1.2 THE GERMAN MUTUAL FUND MARKET 35
1.3 DESCRIPTION O F THE INITIAL SAMPLE, RATES O F RETURN, BENCHMARK
INDICES 42
1.4 RISK-ADJUSTED PERFORMANCE 63
1.5 CONCLUSIONS 73
1.6 REFERENCES 75
1.7 APPENDIX: ADDITIONAL TABLES 79
2 IN GERMANY THE CAPM IS ALIVE AND WELL 83
2.1 INTRODUCTION AND CONCLUSION 87
2.2 GERMAN PECULIARITIES, GERMAN DATA, OUR INITIAL SAMPLE 94
2.2.1 GERMAN STOCK EXCHANGE SEGMENTS 94
2.2.2 DUAL CLASS FIRMS 95
2.2.3 INITIAL SAMPLE SELECTION 97
2.2.4 ADDITIONAL PECULIARITIES 100
5
HTTP://D-NB.INFO/1034596071
IMAGE 2
6
CONTENTS
2.3 SUMMARY STATISTICS AND AVERAGE PORTFOLIO RETURNS 105
2.3.1 SUMMARY STATISTICS FOR SIZE SORTED PORTFOLIOS 105
2.3.2 AVERAGE RETURNS FOR DECILE PORTFOLIOS 107
2.4 MAJOR ISSUES IN APPLYING THE STANDARD TEST PROCEDURES 110
2.4.1 BASIC ASPECTS O F THE STANDARD TEST PROCEDURES 110
2.4.2 RETURN INTERVAL 115
2.4.3 INDIVIDUAL FIRM VS. PORTFOLIO DATA 116
2.4.4 PROBLEMS O F GROUPING 120
2.4.5 EQUAL-WEIGHT VS. VALUE-WEIGHT PORTFOLIOS 123
2.4.6 OLS VS. DIMSON BETAS 127
2.4.7 TIME VARYING PORTFOLIO BETAS 131
2.4.8 PROBLEMS WITH THE GRS TEST 133
2.5 RESULTS 137
2.5.1 RESULTS BASED ON ONE-DIMENSIONAL SORTS 138
2.5.2 DIRECT TESTS O F THE CAPM BASED ON BETA SORTS 145
2.5.3 TESTS BASED ON TWO-DIMENSIONAL SORTS ON SIZE AND
BOOK-TO-MARKET 150
2.6 REFERENCES 157
2.7 APPENDIX A: DESCRIPTION O F THE DATA SET 167
2.7.1 A. 1 SAMPLE SELECTION 167
2.7.2 A.2 BOOK VALUE O F EQUITY 168
2.7.3 A.3 MARKET VALUE O F EQUITY (FIRM SIZE) 169
2.7.4 A.4 RATES O F RETURN CALCULATION 170
2.7.5 A.5 ESTIMATING PORTFOLIO CHARACTERISTICS 171
2.8 APPENDIX B: ADDITIONAL FIGURES AND TABLES 172
3 MORE THAN FIFTY YEARS ON STAGE: THE PERFORMANCE OF GERMAN
STOCK MUTUAL FUNDS 195
3.1 INTRODUCTION 199
3.2 PERFORMANCE MEASUREMENT - THE REGRESSION FRAMEWORK 201
3.3 SAMPLE SELECTION PROCESS 205
IMAGE 3
CONTENTS 7
3.4 DATA DESCRIPTION 214
3.4.1 FUND RETURNS 214
3.4.2 ASSETS UNDER MANAGEMENT (AUM) 215
3.4.3 MARKET INDEXES 216
3.4.4 FACTOR-MIMICKING PORTFOLIO RETURNS 218
3.4.5 TOTAL EXPENSE RATIOS (TER) 222
3.5 EMPIRICAL ANALYSIS 223
3.5.1 ANALYSIS O F TERS 224
3.5.2 DESCRIPTIVE STATISTICS AND SIMPLE PERFORMANCE
MEASURES 227
3.5.3 REGRESSION RESULTS 233
3.6 SUMMARY 249
3.7 REFERENCES 251
3.8 APPENDIX 256
3.8.1 FACTOR-MIMICKING PORTFOLIO RETURNS: COMPARISON OF
AFKKT AND BLS 256
3.8.2 REGRESSION MODEL RESULTS BASED ON EXPLANATORY
VARIABLES FROM AFKKT DATA 262
3.8.3 ADDITIONAL FIGURES AND TABLES 267
|
| any_adam_object | 1 |
| author | Lehmann, Patrick 1976- |
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| dewey-full | 332.632220943 332.63270943 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632220943 332.63270943 |
| dewey-search | 332.632220943 332.63270943 |
| dewey-sort | 3332.632220943 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Lehmann, Patrick 1976- Verfasser (DE-588)103689343X aut Three Essays on the returns of German stocks and mutual funds Patrick Lehmann Hamburg Kovač 2013 272 S. Ill. txt rdacontent n rdamedia nc rdacarrier Finanzmanagement 99 Zugl.: Berlin, Humboldt-Univ., Diss., 2013 Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Aktienfonds (DE-588)4141730-6 gnd rswk-swf Aktie (DE-588)4000932-4 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Aktie (DE-588)4000932-4 s Aktienfonds (DE-588)4141730-6 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Performance Kapitalanlage (DE-588)4219415-5 s DE-604 Finanzmanagement 99 (DE-604)BV013087358 99 X:MVB text/html http://www.verlagdrkovac.de/978-3-8300-7255-3.htm Ausführliche Beschreibung DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026121062&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lehmann, Patrick 1976- Three Essays on the returns of German stocks and mutual funds Finanzmanagement Performance Kapitalanlage (DE-588)4219415-5 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Aktienfonds (DE-588)4141730-6 gnd Aktie (DE-588)4000932-4 gnd |
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| title | Three Essays on the returns of German stocks and mutual funds |
| title_auth | Three Essays on the returns of German stocks and mutual funds |
| title_exact_search | Three Essays on the returns of German stocks and mutual funds |
| title_full | Three Essays on the returns of German stocks and mutual funds Patrick Lehmann |
| title_fullStr | Three Essays on the returns of German stocks and mutual funds Patrick Lehmann |
| title_full_unstemmed | Three Essays on the returns of German stocks and mutual funds Patrick Lehmann |
| title_short | Three Essays on the returns of German stocks and mutual funds |
| title_sort | three essays on the returns of german stocks and mutual funds |
| topic | Performance Kapitalanlage (DE-588)4219415-5 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Aktienfonds (DE-588)4141730-6 gnd Aktie (DE-588)4000932-4 gnd |
| topic_facet | Performance Kapitalanlage Capital-Asset-Pricing-Modell Aktienfonds Aktie Deutschland Aufsatzsammlung Hochschulschrift |
| url | http://www.verlagdrkovac.de/978-3-8300-7255-3.htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026121062&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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