Seasonalities in the German stock market

Artikel

This paper suggests innovative investment strategies drawing on return seasonalities. By means of an out-of-sample study of the German stock market, we report that these long–short investment strategies earn on average raw returns up to 233 basis points per month throughout two decades from 1998 to 2017. On a monthly basis, this documents an outperformance of the corresponding Heston and Sadka (J Financ Econ 87(2):418–445, 2008) strategy by 66%. This outperformance is robust in magnitude even after adjusting for common risk factors along both the three-factor Fama and French (J Financ Econ 33(1):3–56, 1993) model and the four-factor Carhart (J Finance 52(1):57–82, 1997) model. Categorizing stocks into three risk profiles lets us conclude that long–short momentum portfolios of stocks with a low-risk profile generate robust investment performance.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Financial Markets and Portfolio Management ; ISSN: 2373-8529 ; Volume: 35 ; Year: 2021 ; Issue: 2 ; Pages: 151-192 ; New York, NY: Springer US

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Financial Forecasting and Simulation
• Subject: Seasonalities ; Momentum investment ; Performance attribution ; Autocorrelation ; Forecasting returns

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hofmann, Daniel ; Keiber, Karl Ludwig
• Event: Veröffentlichung
• (who): Springer US
• (where): New York, NY
• (when): 2021

Further information

• DOI: doi:10.1007/s11408-020-00373-1
• Last update: 10.03.2025, 11:44 AM CET