Momentumstrategien am deutschen Aktienmarkt: Neue empirische Evidenz zur Erklärung des Erfolgs

Momentum Strategies in the German Stock Market: New Empirical Data Evidencing Success The present study analyses the success of momentum strategies in the German stock market. Our findings suggest continuing success of momentum strategies in the German stock market also for risk-adjusted returns. When taking account of the returns risk, the differential between winner and loser portfolios tends to be even wider. Here, the results show typically season-specific returns patterns. Moreover, this positive finding gives rise to the question of how to explain the identified excess returns. Since the market efficiency theory and CAPM are apparently of no avail in this regard, there is a need for developing new models reflecting the identified returns structures. To this end, especially behavioral sciencebased approaches now generally known by the term of “behavioral finance” are increasingly being taken into consideratio