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This master's thesis examines the effectiveness of hedge portfolio structures using value premium proxies (P/B, P/E, DY), size, and momentum factors on German stocks from 1992 to 2011. It finds that P/B portfolios yield the highest average monthly return, while the Fama-French three-factor model best explains expected stock returns.
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Value Stocks beat Growth Stocks: An empirical Analysis for the German Stock Market, Christian Schießl
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- Released
- 2012
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- (Paperback)
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