Wir untersuchen den Querschnitt von über 1200 Kryptowährungen, gesammelt von 350 Handelsplätzen, in der Zeitspanne von Januar 2014 bis Juni 2020. Im speziellen untersuchen wir, ob weit verbreitete Charakteristika, wie Beta (Fama/MacBeth (1973)), Size (Banz (1981)) oder Momentum...

The characteristics book-to-market equity ratio, size and momentum are highly correlated with the average returns of common stocks. Fama and French (J Financ Econ 33(1):3-56, 1993), (J Finance 50(1):131-155, 1995) and (J Finance 51(1):55-84, 1996) argue (for size and the book-to-market equity...

We estimate and test several default risk models using new and unique data on corporate defaults in the German stock market. While defaults were extremely rare events in the 1990s, they have been a characteristic feature of the German stock market since the early 2000s. We apply the structural...

Dieser Artikel zeigt, dass eine Beimischung von Kryptowährungen in ein Portfolio, bestehend aus mehreren deutschen Asset-Klassen, mit Vorsicht zu betrachten ist. Auf Grund einer hohen realisierten Volatilität werden Kryptowährungen unter einem Markowitz- und Risikoparitätsansatz nur...

Zur Rendite-Risiko-Beziehung am deutschen Aktienmarkt Eine empirische Analyse der Beziehung zwischen dem Deutschen Aktienindex DAX und dem Volatilitätsindex VDAX Diese Studie untersucht den empirischen Zusammenhang zwischen den Volatilitätsindizes VDAX bzw. VDAX-New und dem Aktienmarktindex...

Factor-based allocation embraces the idea of factors, as opposed to asset classes, as the ultimate building blocks of investment portfolios. We examine whether there is a superior way of combining factors in a portfolio and provide a comparison of factor-based allocation strategies within a...

As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast. Against this background, this study evaluates the forecasting power of three methods that have been applied successfully in a stock market prediction context: 1) technical...

Many private and institutional investors attempt to time the market and generate abnormal returns by periodically switching their portfolio allocations between the stock market and the cash market based on their return predictions. However, most academic studies emphasize that a successful...