Value Stocks beat Growth Stocks

Master's Thesis from the year 2012 in the subject Business economics - Banking Stock Exchanges Insurance Accounting grade: 10 University of Bamberg language: English abstract: Based on a sample of German stocks listed at the Frankfurt stock exchange the study investigated the ability of hedge portfolio formation structures built of three value premium proxies (P/B P/E and DY) the size factor and the technical momentum factor to generate excess returns in the period 1992 to 2011. The P/B hedge portfolio yields an average return of 1.59 percent per month the P/E hedge portfolio 0.664 percent and a portfolio formation approach ranked on DY delivers a return of 0.839. The results of multivariate regressions favor the Fama-French three-factor model in order to explain expected stock returns.