Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T09:37:48Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1007676 bytes, checksum: 5ab68d6efd7a8606a6f70316ee4c942a (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, The number of pages are incorrect, it's counts from the first page but the number only appear in the introduction. best. Ana Luiza Holme 37993492 on 2016-10-05T12:07:50Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T12:32:36Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1006384 bytes, checksum: 48e705c5c456be0e2cbc6205b85705e4 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, I apologize but I forgot to metion that the abstract is before the resumo. Also is missing the acknowledgment. Warm regards. Ana Luiza Holme 37993492 on 2016-10-05T14:22:17Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T15:22:17Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1007025 bytes, checksum: 5cba006abff9b93c7a4de8ca2fd08ecd (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, Only the acknowledgment is missing. Please include in the thesis before the abstract. Best. Ana Luiza Holme 37993492 on 2016-10-05T16:03:07Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T16:31:21Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-10-05T16:33:13Z (GMT) No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) / Made available in DSpace on 2016-10-05T17:20:25Z (GMT). No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) Previous issue date: 2016-09-28 / This work project applies Joseph Piotroski’s F_SCORE to the German stock market between 2002 and 2016. Considering the smaller size of the German stock market, a F_SCORE_ADD was created to differentiate between companies with the same score. Portfolios that went long in expected winners and shorted expected losers generated strong results within the small cap sample. For large caps, the abnormality of returns was not significant after controlling for common risk factors and quality. This relates to the results of other researchers and questions the practicality of the investment strategy for institutional investors with a large capital base to employ. / Esta dissertação aplica o F_SCORE de Joseph Piotroski ao mercado de ações alemão entre 2002 e 2016. Por causa do tamanho menor do mercado de ações alemão, um F_SCORE_ADD foi criado para diferenciar entre as empresas com a mesma pontuação. Carteiras que foram 'long' em vencedores esperados e 'short' em perdedores esperados renderam bons resultados dentro da amostra com empresas de baixo valor de mercado. Para as empresas de alta capitalização, a anormalidade de retornos não foi estatisticamente significante após o controle de fatores de risco comuns e qualidade. Isto relaciona-se com os resultados de outros investigadores e questiona a praticidade desta estratégia de investimento para os investidores institucionais com uma grande base de capital para empregar.

Diese Dissertation zielt darauf ab, ein besseres Verständnis für Anomalien und Insiderhandel zu schaffen, sowie die Verfügbarkeit von qualitativ hochwertigen Daten für den deutschen Aktienmarkt zu verbessern. Der erste Aufsatz beinhaltet eine verzerrungsfreie Zeitreihe von monatlichen Renditen deutscher Aktien für die Jahre 1954 bis 2013, die auf der Basis stabiler Regeln berechnet und gut dokumentiert ist. Im Weiteren enthält der Aufsatz eine detaillierte Beschreibung des deutschen Aktienmarktes und dessen Besonderheiten, insbesondere im Vergleich zu den USA. Der zweite Aufsatz zeigt am Beispiel des Fama/French Drei-Faktoren-Modells die Probleme auf, die Anbieter und Nutzer von Faktorendaten haben, die sich nicht auf die USA beziehen. Die empirische Analyse von sieben Faktorensets für Deutschland zeigt, dass die Übernahme von Faktormodellen in einen anderen Kapitalmarkt eine komplexe Thematik ist. Der Aufsatz gibt Anregungen für Nutzer und Anbieter von Faktorensets und zeigt, wie die Wahl des Faktorensets das Ergebnis einer Studie beeinflussen kann. Im dritten Aufsatz werden verschiedene zyklische und antizyklische Handelsstrategien hinsichtlich ihrer Performance im deutschen Aktienmarkt untersucht. Von den untersuchten Strategien erscheint nur Momentum konsequent abnormale Renditen zu erzielen, dies auch nach Transaktionskosten. Die vierte Arbeit untersucht öffentlich bekannt gegebene Aktientransaktionen von Insidern börsennotierter deutscher Unternehmen. Der Aufsatz zeigt, dass Insider von TecDAX-Unternehmen und ihre Imitatoren hohe und statistisch signifikante abnormale Renditen erzielen. Insgesamt zeigt die Dissertation, dass methodische Variationen, die Verwendung verschiedener Untersuchungsdesigns, die Datenqualität und die Sorgfalt beim Erstellen von empirischen Analysen zur Beurteilung der Robustheit und der Stabilität der Ergebnisse unerlässlich sind. Der deutsche Aktienmarkt scheint effizienter zu sein als bisherigere Studien typischerweise nahelegen. / This doctoral thesis aims to contribute to a better understanding of stock market anomalies and insider trading as well as to improve the availability of high quality data for the German stock market. The first paper provides a sixty-year time series of monthly returns on German stocks that is constructed on the basis of stable rules, is well documented, includes all return components, and is free of biases. The paper also contains a detailed description of the German stock market, its peculiarities, regulation and differences as compared to the U.S. The second paper uses the Fama/French three-factor model as an example to point out the problems that providers and users of non-U.S factor data sets face. The empirical analysis of seven different factor data sets available for Germany shows that exporting a specific factor model from the U.S. to another capital market is neither an easy nor well-defined task. The paper gives suggestions to users and creators of factor sets and shows how the choice of a factor set affects the result of an empirical study. The third paper provides evidence on how various contrarian, momentum and seasonality strategies perform in the German stock market. Among these strategies, only momentum investing appears to earn persistently non-zero returns, even after transaction costs. The fourth paper studies publicly disclosed stock transactions by insiders of listed German firms. The paper finds that insiders of TecDAX firms earn large and statistically significant abnormal returns net of transaction costs; for DAX insiders they are indistinguishable from zero. Overall, this thesis illustrates that methodological variations, the use of different specifications, data quality and care when preparing empirical analyses is essential in the assessment of the robustness and stability of results. In sum, the German stock market appears to be more efficient than previous studies have typically suggested.