The Design and Implementation of a German Stock Price Research Index (Deutscher Aktien-Forschungsindex DAFOX)

Göppl, Hermann; Schütz, Heinrich

doi:10.1007/978-3-642-78508-5_49

Cited by 9 publications

(3 citation statements)

References 9 publications

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“…9 Because our sample covers all of 1999 we focus on 30-month, rather than the more conventional 36-month, returns. We compute both simple buy-and-hold returns (the difference between the price after 30 months of trading and the price at the end of the first trading day, divided by the price at the end of the first trading day) and adjusted abnormal returns using the broad-market DAFOX index developed by Göppl and Schütz (1993). The abnormal return is defined as the natural logarithm of (1 + the buy-and-hold return) minus the natural logarithm of (1 + the percentage change in the DAFOX index during the period in question).…”

Section: Methodsmentioning

confidence: 99%

Universal Banking and Conflicts of Interest: Evidence from German Initial Public Offerings

Klein

Zoeller²

2003

SSRN Journal

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Section: Methodsmentioning

confidence: 99%

Universal Banking and Conflicts of Interest: Evidence from German Initial Public Offerings

Klein

Zoeller²

2003

SSRN Journal

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“…The overall German market risk is based on the DAFOX (‘Deutscher Aktien‐Forschungs‐Index’), which is a Laspeyres performance index including all 30 DAX corporations as a subset (see Göppl and Schütz, 1993, for details). It was generated for scientific research purposes in order to dispose of a broader index of overall German stock market portfolio than the one provided by the DAX, which only consists of German blue chips (source: KKMDB).…”

Section: Datamentioning

confidence: 99%

German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs

Entorf

Jamin

2007

German Economic Review

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This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways, e.g. by using multifactor modelling instead of augmented Capital Asset Pricing Model, application of moving window panel regressions and orthogonalization of overall market risk vis-à-vis currency risk. A further innovation lies in testing the theoretical implications of exchange rate adjustment costs (hedging costs) for firm values and economic exposure. Based on time series and panel data of German Deutsche Aktien Xchange companies, Deutsche Mark/dollar rates and macroeconomic factors, we find a rather unstable, time-variant exposure of German stock market companies. Dollar sensitivity is positively affected by the ratio of exports/gross domestic product (GDP) and negatively affected by imports/GDP. Moreover, as expected from theoretical findings, firm values and exchange rate exposure are significantly reduced by adjustment costs depending on the distance of the exchange rate from the expected long-run mean. Copyright Verein für Socialpolitik and Blackwell Publishing Ltd. 2007.

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“…In the US, however, there is no single currency which is as important as the US dollar for German or European economies. In Germany, the US dollar clearly is the centre of investors' attention, as can be seen The overall German market risk is based on the DAFOX ("Deutscher AktienForschungs-Index"), which is a Laspeyres performance index including all 30 DAX corporations as a subset (see Göppl and Schütz, 1993, for details). It was generated for scientific research purposes in order to dispose of a broader index of overall German stock market portfolio than the one provided by the DAX, which only consists of German blue chips (source: KKMDB).…”

mentioning

confidence: 99%

German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs

Entorf

Jamin

2003

SSRN Journal

View full text Add to dashboard Cite

Summary: This article analyses value changes of German stock market companies in response to movements of the US dollar. The approach followed in this work extends the standard means of measuring exchange rate exposure in several ways (e.g. by using multi-factor modelling instead of augmented CAPM, application of moving window panel regressions, orthogonalization of overall market risk vis-à-vis currency risk). The main innovation lies in testing implications of exchange rate adjustment costs (hedging costs) for firm values and exposure. Based on time series data of German DAX companies, DM/ dollar rates and macroeconomic factors, we find a rather unstable, timevariant exposure of German stock market companies. Dollar sensitivity is positively affected by the ratio of exports/GDP and negatively affected by imports/GDP as well as by significant deviations of the dollar price from its long-run median. The first two findings are in line with the presumption that exporting corporations benefit from dollar price increases, whereas importing corporations benefit from dollar price decreases. The last finding can be explained by higher exchange rate adjustment costs in case of substantial deviations from the long-run median level. Furthermore, there is indication of asymmetric adjustment costs as effects from appreciations of domestic currency appear to be smaller than from depreciations.

show abstract

The Design and Implementation of a German Stock Price Research Index (Deutscher Aktien-Forschungsindex DAFOX)

Cited by 9 publications

References 9 publications

Universal Banking and Conflicts of Interest: Evidence from German Initial Public Offerings

Universal Banking and Conflicts of Interest: Evidence from German Initial Public Offerings

German Exchange Rate Exposure at DAX and Aggregate Levels, International Trade and the Role of Exchange Rate Adjustment Costs

German Exchange Rate Exposure at DAX and Aggregate Level, International Trade, and the Role of Exchange Rate Adjustment Costs

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