Christian Klein

Performance of Candlestick Analysis on Intraday Futures Data

Many practitioners use technical trading in derivatives markets, especially futures. Academic researchers, by contrast, consider “charting” to be without merit because it would violate the principle of market efficiency with respect to publicly available information, in particular, the history of past prices. In truth, however, this opinion is based more on conviction than on extensive research, the excuse being that analyzing chart patterns is too subjective to be amenable to rigorous statistical analysis. In this article, Fock, Klein, and Zwergel put one very popular charting technique, the “candlestick” method, to the test. They start by developing specific criteria for a set of basic candlestick patterns, and then measure predictive performance with intraday data from two major futures, the DAX stock index contract, and the Bund interest rate future. And guess what? The academics are right! The authors find no evidence of predictive ability from candlestick patterns alone, or in combination with other common technical indicators, like momentum.

Reconsidering the impact of national soccer results on the FTSE 100

In past decades, many empirical studies revealed return anomalies in many different asset classes and markets. Very recent publications have, however, even found evidence that stock markets react to the results of soccer matches. In this article, we argue that such empirical studies should be analysed carefully; we thus endorse the use of replication studies to verify results. Consequently, by rebuilding the study of Ashton et al. (2003), we are able to detect mistakes in the empirical set-up. Based on these findings, we demonstrate how even minor flaws can have a crucial influence on the results of such studies and point out pitfalls that are frequently encountered. We furthermore emphasize the importance of robustness checks to validate the results of empirical studies.

Beyond Fundamentals: Investor Sentiment and Exchange Rate Forecasting

This paper examines the relation between investor sentiment and exchange rate movements. We use a unique dataset of private and institutional investors’ sentiment and discover that institutional sentiment significantly predicts returns over medium‐term horizons in the EUR/USD market. While institutional investors seem to correctly identify the medium‐run direction of this market, private investors’ sentiment emerges as a contrarian indicator at first sight, however, its predictive power fluctuates heavily and is sample dependent. Our results point towards local investors having an informational advantage in exchange rate forecasting. We test for economic relevance with a simple but realistic out‐of‐sample trading strategy which yields significant results.

The relevance of external credit ratings in the capital structure decision-making process *

This paper empirically examines the relevance of external credit ratings in the capital structure decision-making process with regard to an international firm sample. Using the rating outlook to measure the imminence of a rating change, allows us to test managers’ ex-ante capital structure behavior more concisely than prior studies have. The results show that companies near a rating change issue 1.8% less net debt relative to net equity as a percentage of total assets than firms not near a rating change. We find that the effect is economically larger for US firms and also if access to the commercial paper market is at risk.

Zur Preissetzung verschiedener Emittenten bei Indexzertifikaten auf den DAX

die WEA und ihre Fundamente bei der Errichtung auf dem Meeresboden gem. §§ 93, 94 Abs.1 BGB wesentlicher Bestandteil eines Grundstücks werden. Auch nach Sinn und Zweck der §§ 93 ff. BGB ist die eigentumsrechtliche Gleichbehandlung der Offshore-WEA und des Meeresbodens nicht notwendig. §§ 93 ff. BGB dienen dem Ziel, die nutzlose Zerstörung wirtschaftlicher Werte zu verhindern, die eintreten würde, wenn Bestandteile voneinander getrennt würden, die ihren wirtschaftlichen Zweck und damit ihren Wert nur in der von ihnen gebildeten Einheit haben. Der Wert der WEA steht nicht im Zusammenhang mit dem (hypothetischen) Wert des Meeresgrunds, sondern ist hiervon unabhängig. Eine gemeinsame eigentumsrechtliche Betrachtung ist aus Gründen der Werterhaltung nicht erforderlich.

The Private Company Discount from a European Perspective: An Analysis Based on the Acquisition Approach for Comparable Transactions of European Target Companies

There is strong evidence from previous research that a discount for U.S. private companies exists relative to their publicly traded peers. Because such a discount has substantial influence on the valuation of private companies, which are the main legal corporate form in Europe, in this study the authors analyze how European private companies are valued in comparison to their European publicly traded peers and find that a discount of around 5% exists for eurozone private companies. This is lower than the potential costs for an IPO, and supports our theory that a listing gives the owner a valuable option of selling minority stakes into the stock market. We also find that, when using the acquisition approach, size and profitability have no significant influence on the private company discount.

The Classification of Candlestick Charts: Laying the Foundation for Further Empirical Research

The academic discussion about technical analysis has a long tradition, in American literature as well as in the German scientific community. Lo et al. (2000) laid the foundation for empirical research on the “classical” technical indicators (like “head-and-shoulders” formations) with their paper “Foundations of Technical analysis”.

Renditen und Volatilität bei Ein-/Ausstiegsstrategien

In der Praxis wird oft versucht, mit Hilfe von Ein-/Ausstiegsstrategien bei der Investition in eine Aktie Überrenditen zu erzielen und/oder die Volatilität des Engagements zu verringern. Wir bezeichnen hier das gezielte, von einem externen Signal indizierte, (Wieder-)Einoder Aussteigen in ein einzelnes, ausgesuchtes Investment als „Market Timing“ und zeigen aus finanzmathematischer Sicht, wie die periodenbezogenen Renditen bei Market Timing berechnet werden können.

Anreizkompatible Mechanismen zur Allokation von Schadstoff-Emissions-Rechten

Im BWL-Schrifttum werden verschiedene anreizkompatible Mechanismen zur Allokation einer knappen Ressource auf die Geschaftseinheiten einer divisionalisierten Unternehmung diskutiert. Der vorliegende Beitrag untersucht, ob diese Mechanismen auch geeignet sind, Emissionsrechte fur einen bestimmten Schadstoff, wie beispielsweise das Treibhausgas CO2, innerhalb eines Staates in die produktivste Verwendung zu lenken. Wird ein Preis pro emittierter Mengeneinheit vorgegeben, so lasst sich der Groves-Mechanismus problemlos anwenden und damit die starke Anreizkompatibilitat sichern. Wird dagegen eine feste Obergrenze fur den Gesamtausstos an Schadstoff vorgegeben, so scheint der Groves-Mechanismus kaum praktisch implementierbar zu sein. Versucht man, den Preis so zu bestimmen, dass ein vorgegebener Gesamtausstos eingehalten wird, so zerstort die Endogenisierung des Preises sowohl die starke wie die schwache Anreizkompatibilitat.