Most studies on beta estimation look at the whole universe of stocks. We focus on a small subset that consists of stocks of companies which are subject to European network regulation. This allows us to examine beta time series of individual stocks and small peer groups in great detail. Our most...

Our study deals with the process of beta estimation and focuses on companies which are subject to European network regulation. Our most important conclusions are: (1) Sudden beta increases or decreases occur that often last only short periods of time and may therefore cause a significant...

Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the...

For the U.S it has been shown that insiders and their imitators, on average, do not earn profits net of transaction costs. For Germany, we find that profitable insider trading is related to index membership. For the TecDAX, we find for purchases that insiders and imitators earn large and...

Existing time series of the returns on German stocks are either short or have weaknesses. We discuss the problems of creating such a time series and then report our monthly series based on all stocks in the top segment of the Frankfurt Stock Exchange. We compare our return series with the...

Due to the success of the Fama/French three-factor model, many factor sets for non-U.S. stock markets have been estimated and applied. Exporting a specific factor model from the U.S. to another country seems to be an easy and well-defined task. We use the example of Germany to illustrate that...