Browsing by Subject "Kapitalmarkteffizienz"

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A behavioral finance approach to explain the price momentum effect
(2009) Prothmann, Felix; Burghof, Hans-Peter
The research topic of my thesis is the stock price momentum effect which states that stocks with high returns over the past 3 to 12 months continue to outperform stocks with a poor past performance within the next 3 to 12 months. My work is structured into three main parts. The first one gives an overview about the present stand of the literature. It becomes clear that the profitability of momentum strategies is documented in many studies, for different samples and for different periods. In the search for an explanation for the profitability of momentum strategies, the literature has not come to a consensus: One the one hand, according to the rational-based approach,momentum profits represent a compensation for risk and is consistent with the EMH. On the other hand, the behavioral finance theories attempts to explain the existence of the momentum effect with a non-rational behavior of at least some investors. The second and the third part of my thesis are closely linked and examine the behavioralexplanation approach that stock price momentum can be explained by the anchoring bias ? a specific form of non-rational behavior. It states that investors orientate too much on a reference point when forming estimates. This idea goes back to George and Hwang (2004) documenting that the momentum effect can be explained by profits to the 52-week high strategy, which itself is assumed to be driven by the anchoring bias. Based on this theory, the null hypothesis of both parts of my thesis states: Stock price momentum cannot be explained by anchoring. This investigation supports anchoring as the explanation of the momentum effect.
Testing market imperfections via genetic programming
(2011) Jansen, Sebastian; Burghof, Hans-Peter
The thesis checks the validity of the efficient markets hypothesis focusing on stock markets. Technical trading rules are generated by using an evolutionary optimization algorithm (Genetic Programming) based on training samples. The trading rules are subsequently applied to data samples unknown to the algorithm beforehand. The benchmark strategy consists of a classic buy-and-hold strategy in the DAX and the Hang Seng. The trading rules generally fail at consistently beating the benchmark thus indicating that market efficiency holds.