Universal Journal of Accounting and Finance Vol. 6(1), pp. 14 - 20
DOI: 10.13189/ujaf.2018.060103
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The Impact of Different Market Transparency Standards on the Success of Momentum Strategies Using the Example of the German Stock Market


Katharina Beyenburg 1, Dirk Braun 2,*, Lina Kuckelkorn 3
1 Department of Business Administration, FOM University of Applied Sciences, Campus Cologne, Germany
2 Department of Business Administration, FOM University of Applied Sciences, Campus Aachen, Germany
3 Faculty of Business Sciences & Economics, RWTH Aachen University, Aachen, Germany

ABSTRACT

This study primarily focuses on the explanation of momentum effects regarding different transparency standards of particular stock segments. Based on theories of efficient markets and information diffusion it can be expected that a momentum can rather be observed in those stock segments which do not require high transparency obligations. Regarding the results of this study on the effect of transparency, no significant correlation can be proven for the intensity of transparency obligations and the level of the momentum. Hence, the theory on the intensity of transparency obligations affecting the level of the momentum has to be rejected. However, it has to be pointed out that in contrary to the theoretical assumption, the momentum of Prime Standard has not only been most constant but also highest. Especially in times of strong market turbulences, high volatility and uncertainties in the market, investors seem to invest in titles which show highest transparency and for which a lot of public information is accessible. Thus, they regard stocks of Prime Standard as security values.

KEYWORDS
Momentum Strategy, Market Transparency Standards, German Stock Market Performance, Information Asymmetry, Stock Market Anomalies, Stock Market Volatility

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Katharina Beyenburg , Dirk Braun , Lina Kuckelkorn , "The Impact of Different Market Transparency Standards on the Success of Momentum Strategies Using the Example of the German Stock Market," Universal Journal of Accounting and Finance, Vol. 6, No. 1, pp. 14 - 20, 2018. DOI: 10.13189/ujaf.2018.060103.

(b). APA Format:
Katharina Beyenburg , Dirk Braun , Lina Kuckelkorn (2018). The Impact of Different Market Transparency Standards on the Success of Momentum Strategies Using the Example of the German Stock Market. Universal Journal of Accounting and Finance, 6(1), 14 - 20. DOI: 10.13189/ujaf.2018.060103.