Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Journal of Asset Management, 16 pp. Die Bank, 55 8 pp. De Gruyter Oldenbourg, Berlin , pp. Der Halloween-Effekt am deutschen Aktienmarkt. Wirtschaftswissenschaftliches Studium WiSt , 44 10 pp. Zacharias, Nicolas ; Six, B. Journal of Business Research, 68 11 pp. How Critical is Equity Capital? Journal of Business and Management, 4 1 pp. ISSN - [Artikel] , Regulation of uncovered sovereign credit default swaps — evidence from the European Union.
The Journal of Risk Finance, 16 4 pp. The Journal of Fixed Income, 24 4 pp. Evidenz von 12 Kontinentalmeisterschaften. Betriebswirtschaftliche Forschung und Praxis, 66 4 pp. Performance of bank mergers and acquisitions: Management Review Quarterly, 64 1 pp. Journal of Economics and Finance, 38 1 pp. Perspektiven der deutschen Solarindustrie aus der Sicht von branchenerfahrenen Finanzanalysten. Energietransformation, dezentrale Erzeugungsprobleme und Finanzierung der Solarindustrie.
Peter Lang, Frankfurt am Main , pp. Projektfinanzierung von solarthermischen Kraftwerken. Clean technologies in German economic literature: Review of Managerial Science, 8 1 pp. Returns on large stock price declines and increases in the South African stock market: International Journal of Automotive Technology and Management, 14 1 pp. Die Unternehmung, 68 1 pp.
Prof. Dr. Schiereck
Werteffekte auf die Leerverkaufsrestriktion bei Finanztiteln in Deutschland. Evidenz aus dem weltweiten Agrarsektor. Kredit und Kapital, 47 4 pp. Evidence for the Construction Industry. Review of Managerial Science, 8 3 pp. Dokumentenprocessing in der deutschen Finanzindustrie. Dokumentenlogistik — Theorie und Praxis. Springer Vieweg, Berlin , pp. International Journal of Energy Sector Management, 8 2 pp. Shareholder Activism in Deutschland — Eine Bestandsaufnahme.
Corporate Finance, 5 1 pp. Wirtschaftswissenschaftliches Studium WiSt , 43 pp. A study of US-American and German utility takeovers. International Journal of Economics, 1 1 pp. Konsolidierung und Privatisierung im deutschen Krankenhausmarkt. Corporate Finance, 5 3 pp. Die Aktiengesellschaft, 59 12 RR Die Aktiengesellschaft, 59 9 R Optimierung der Verbraucherknoten und finanzwirtschaftliche Herausforderungen der Energiewende.
Wellenbrecher auf dem Weg zur Energiewende? Hinrichsen, Anna ; Likholat, D. Ahsen, Anette von ; Fraunhoffer, R. Status Quo und Potentiale. Bankhistorisches Archiv, 39 2 pp. Effizienzperspektiven aus der Rekommunalisierung der deutschen Energieversorgung. Does vertical diversification create superior value? Evidence from the construction industry. Schmalenbach Business Review, 65 2 pp.
Review of Managerial Science, 7 3 pp. Jahrbuch des Unternehmenskaufs Entflechtung und Rekommunalisierung von netzgebundenen Infrastrukturen. Refinanzierungsherausforderungen der Sparkassen und das Potenzial von Pfandbriefemissionen: Erkenntnisse einer ersten Umfrage unter Instituten. Business Strategy and the Environment, 23 6 pp. Journal of Asset Management, 14 2 pp. Kredit und Kapital, 46 1 pp.
The Journal of the Iberoamerican Academy of Management, 11 2 pp. Behavioral Finance und Anlageberatung. Praxis der modernen Anlageberatung. Immobilien und Finanzierung — Der langfristige Kredit, 64 8 pp. Erfolgsfaktoren bei der Platzierung von Mittelstandsanleihen. Springer Gabler, Wiesbaden , pp.
Consultation
Credit and Capital Markets, 46 4 pp. Die Bank, 53 1 pp. Problems and Perspectives in Management, 11 4 pp. Die Wirtschaftsinformatik, 55 6 pp. Mittelstandsanleihen — Hype oder Zukunftsmodell? Corporate Finance biz, 4 4 pp. Corporate Finance biz, 4 8 pp. Kapitalanlagen in der Landwirtschaft - Rendite und Risiko. Asia Pacific Journal of Applied Finance, 5 1 pp. Corporate Finance biz, 3 2 pp.
Journal of Corporate Finance, 18 2 pp.
A Note on Market Efficiency. Journal of Economics and Finance, 36 2 pp. Real Estate Merger Motives: An Analytical Review of the Literatur. Journal of Real Estate Literature, 20 1 pp. International Journal of Economics and Research, 3 3 pp. Wirtschaftswissenschaftliches Studium WiSt , 61 11 ff. Die Bank, 52 6 pp. Corporate Finance biz, 3 3 pp.
Corporate Finance biz, 3 6 pp. Bankhistorisches Archiv, 38 1 pp. Consolidation and Communication in European Energy Markets. International Journal of Energy Sector Management, 6 4 pp. Problems and Perspectives in Management, 10 2 pp. A note on stock liquidity effects. Journal of Empirical Finance, 19 5 pp. Anpassung und Lehren aus der Finanzkrise. Mobile Payment - ein Zahlungsmittel mit Zukunft in Deutschland? Wirtschaftswissenschaftliches Studium WiSt , 42 4 pp. A Performance Comparison for the Fashion Industry.
Die Betriebswirtschaft, 72 3 pp. Journal of Economics and Finance 36 pp. Der Betrieb, 65 51 pp. Synergy disclosure in the European energy sector. Relevance of CDO rating downgrades on the bank's share price. Cambridge Scholars Publishing, Newcastle upon Tyne , pp. Oelger, Mehtap ; Schiereck, D.
International Journal of Economics and Research, 2 3 pp. International Bank Acquisitions by Financial Sponsors. Zum langfristigen Kapitalmarkterfolg von Bankakquisitionen in Europa. Eine Empirische Analyse mit besonderem Fokus auf Sal. Technologische Reife und standardisierte Projektfinanzierung im Bereich der erneuerbaren Energien. Projektrisiken und Finanzierungsstrukturen bei Investitionen in erneuerbare Energien. Projektrisiken und FInanzierungsstrukturen bei Investitionen in erneuerbare Energien.
Grundlagen der Projektfinanzierung im Bereich der erneuerbaren Energien. Dressed to merge — small fits fine: International Review of Financial Analysis, 20 pp. Financial Markets and Portfolio Management, 25 1 pp. Baar, Hamburg , pp. Academy of Economics and Finance Journal, 51 6 pp. Die Bank, 51 6 pp. Technology and Investment, 2 pp. Corporate Finance biz 2 pp. Ship of Fools or Passage to Profit?
International Journal of Economics and Management Engineering, 1 pp. Der Einstieg von Aabar bei Daimler. Perspektiven der Wirtschaftspolitik, 12 1 pp. International Journal of Monetary Economics and Finance, 4 1 pp. The Journal of Fixed Income, 20 3 pp. Immobilien und Finanzierung — Der langfristige Kredit 62 pp. International Real Estate Review, 14 3 pp.
Global Journal of Management and Business Research, 11 pp. Dancing in the Dark: Post-trade Anonymity, Liquidity, and Informed Trading. Review of Quantitative Finance and Accounting, 34 2 pp. With or Without You: Applied Financial Economics, 20 pp. Corporate Finance biz, 1 pp.
Cross-Border Acquisitions and Shareholder Wealth: Journal for East European Management Studies, 15 2 pp. Innovationen durch Crowdsourcing in der Finanzindustrie. HMD — Praxis der Wirtschaftsinformatik pp. Crowdsourcing im Retail Banking: Die Bank, 50 12 pp. Journal of Trading, 5 4 pp.
Prof. Dr. Schiereck – Unternehmensfinanzierung – Technische Universität Darmstadt
Does Screen Trading Weather the Weather? International Review of Financial Analysis, 19 2 pp. Journal of International Finance and Economics, 10 3 pp. Mergers and Acquisitions Review 2 pp. Journal of Telecommunication Management, 2 pp. The Concurrent Offerings Puzzle. Der Betrieb, 63 pp. Determinants of Capital Market Performance. Journal of Economics and Finance, 34 1 pp. Barbarians in the Bank? International Journal of Finance, 22 [Artikel] , Forestry as a sustainable asset class for turbulent times?
Interdisciplinary Environmental Review, 11 pp. International Journal of Trade and Global Markets, 3 3 pp. Influences on Firm Policies: Academy of Management Best Paper Proceedings pp. Der Betrieb, 63 8 pp. Technology and Investment, 1 pp. Returns to Speculators in Commodity Futures Markets: Investment Management and Financial Innovations, 7 1 pp. Market Maker unter Wolken - Wettereffekte am deutschen Aktienmarkt. Kredit und Kapital, 42 pp. Immobilien und Finanzierung - Der langfristige Kredit, 60 pp.
Systematic risk changes around convertible debt offerings: A note on recent evidence. Global Finance Journal, 20 pp. Influence factors on the performance of office properties. Journal of Real Estate Portfolio Management, 15 pp. Risikomanagement und kapitalmarktorientierte Finanzierung - Festschrift zum Geburtstag von Bernd Rudolph.
Journal of Multinational Financial Management, 19 pp. Research in International Business and Finance, 23 pp. Journal of Applied Research in Finance 01 pp. Kurserwartungen und langfristige Performance bei Staatsfondsinvestments in der Finanzindustrie: Regionale und nationale Marktstrukturen im Einklang? Zur Konsolidierung der deutschen Bierindustrie.
Mergers and Acquisitions Review 11 pp. International Journal of Logistics, 11 pp. Kredit und Kapital, 41 pp. Mergers and Acquisitions Review 10 pp. Handbook Real Estate Capital Markets. Marktorientierter Akquisitionserfolg von Pharma- und Biotechnologieunternehmen. Cross-border mergers and the Cross-border Effect: The Case of the Automotive Supply Industry. Review of Managerial Science, 2 pp.
Top Executives' personal characteristics of large publicly listed companies in Germany. Global Horizons, 2 pp. Murmann-Verlag [Buchkapitel] , In Search for a Common Language. Journal of Trading, 3 pp.
Wiley-VCH, Weinheim , pp. Deutsche Evidenz zu Abgrenzung und Charakteristika. Before continuing with the depiction of the other two models, the author wants to stress, that the CAPM as any model is based on simplification with makes the model to simple to capture reality [46]. Returns have repeatedly been observed that were not explainable by CAPM and can therefore be regarded as anomalies [47]. Although earlier research was in favor of the CAPM, anomalies that have been observed in the classical CAPM were taken as evidence against the model [48].
Nevertheless, it will often also lead to a constant alpha. Jensen defined this alpha as the average excess return that is earned above the excess return of an asset with a comparable risk [49]. Since only beta should have explanatory power concerning the excess return, this fact is not explained by the classical CAPM [50]. Other anomalies were found concerning the spread of average returns, e. A further point of critique was made by Roll , who claimed that the relationship between beta and the return of an asset or portfolio depends on the chosen market portfolio [53].
Since the critique is suggesting that the single factor model CAPM is not sufficient to model and forecast returns, a multi-factor could also be exploited [54]. The Arbitrage Pricing Theory states that systematic risk is of multidimensional character and is therefore dependent on different economic risk factors [55]. Fama and French added to the beta factor two additional factors that shall have a relationship to the return of an asset or portfolio [56].
Moreover, the return also appeared to be dependent on the book-to-market value [58]. The difference between the small cap portfolios to the big cap ones is abbreviated SMB and the difference between the high book-to-market to the low book-to-market is called HML [60]. The equation for the TFM on excess returns can be illustrated in the following way [61]:. It states that the expected excess return at a point t Abbildung in dieser Leseprobe nicht enthalten can be determined by a constant Abbildung in dieser Leseprobe nicht enthalten and the return on the market, SMB and HML multiplied by the respective sensitivity of the asset or portfolio to those factors.
This implies that an asset earns a systematic risk premium for each beta-factor it is exposed to [62]. Each beta-coefficient depends on the sensitivity of an asset to the specified systematic risk factor. Similar to the CAPM, the expectation of the alpha factor is zero.
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The modified Fama-French Model MFFM is constructed by the author to test whether returns can be more precisely explained and predicted by enhancing the Fama-French Three-Factor-Model with autocorrelation of the returns. The author decided to test this hypothesis because some studies suggest that returns follow a short-term trend before returning to their long-term trend mean reversion [63].
The theoretical background for this deviation may be explained by time-varying risk premia or irrational behavior of market participants behavioral finance [64]. Based on these explanations, returns might be autocorrelated in a certain order. Autocorrelation is illustrated by an autoregressive process, which emphasizes that the current value of a variable depends on values that the variable took in previous periods [65]. The author assumes that the effect of autocorrelation of the returns solely exists in the first or up to the second order.
This is premised on the expectation that the influence of more recent past values on the future return appears to be more plausible than of less current past values of the return. Therefore, a model with an autoregressive process of order one [AR 1 ] and one with an autoregressive process of order two [AR 2 ] have been created. Those data include first of all the market return and the risk-free rate from July to January with monthly frequency.
The six portfolios are characterized in the first observation period by the following means and standard deviations:. The mean between the portfolios ranges between 0. It is not surprising that the first to moments of their distribution deviate from each other to such an extent since those portfolios were constructed by Fama-French with different characteristics concerning the size of the firms in each portfolio as well as different book-to-market values.
The distributions for the regarded period can be illustrated the following way:. As observed by the first moment, the mean of each distribution lies above zero. Furthermore, at first glance all distributions appear to be normal distributed but with slightly different skewness and kurtosis. The methodology for this paper is to conduct an in-sample regression for the coefficients of the explanatory variables for the given observation period. Moreover, the model-fit of the regression models to the observed data has to be evaluated. It does therefore not necessarily show if an explanatory variable should be in a regression or not [67].
Hence, an information criterion shall be applied. In addition to that, the Akaike information criterion will be applied. Information criteria differ in the strictness of their penalty terms [71]. The author aims to prefer models that have more explanatory power even though they might be more elaborate. Therefore, the AIC appears to be a suitable information criterion to be applied.
First of all, the regression is conducted based on the Capital Asset Pricing Model. The results of the linear regression based on the CAPM are:. All six portfolios have p-values for the beta of zero, which means that the hypothesis of beta being zero can always be rejected. Therefore, beta is in this regression always highly significant for the excess returns of all six portfolios. Since the CAPM predicts that excess returns are solely based on beta as the sensitivity to the market return, the expected value of the constant should be zero [73].
Nevertheless, portfolio three shows a p-value of 0. In other words, the constant in portfolio three is significant in predicting the excess returns in portfolio three. Notwithstanding, the existence of a significant Jensen alpha is problematical if a model for excess returns without a constant is required. The econometric formula for the excess return can be found in: Von Auer p. Engineering - Computer Engineering. VWL - Statistik und Methoden.
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Register or log in. Our newsletter keeps you up to date with all new papers in your subjects. Request a new password via email. Abbildung in dieser Leseprobe nicht enthalten Figure 1: Decomposition of Total Risk [16] Market risk is associated with market-wide variations, hence it reflects macro events [17]. The corresponding equation of the SML is [40]: Abbildung in dieser Leseprobe nicht enthalten The corresponding econometric model for excess returns can be illustrated the following way: Abbildung in dieser Leseprobe nicht enthalten The formula describes that the expected excess return of an asset or portfolio i at time t Abbildung in dieser Leseprobe nicht enthalten is determined by an alpha-factor Abbildung in dieser Leseprobe nicht enthalten and beta times the excess return of the market at t compared to the risk free rate.
The equation for the TFM on excess returns can be illustrated in the following way [61]: Abbildung in dieser Leseprobe nicht enthalten In econometrical writing this model is: