Based on a 'free of survivorship-bias' sample of German stocks listed at the Frankfurt stock
exchange the study investigates 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. First the author characterizes
and defines the significant terms that are in connection with value and growth investing. He
continues with the discussion of asset pricing with the CAPM the Fama and French three-factor
model and the Carhart extension and then describes the expected stock returns that are of
capital importance. Moreover the author deals with related studies for the German stock
market. He gives a detailed description of the empirical analysis before he draws his
conclusions. The author's purpose is to answer the following core questions: Is there a value
premium in the German market between 1992 and 2011? Is there a reversed size premium like
recent empirical findings suggest? Do high momentum stocks perform better than low momentum
stocks? Is there a significant seasonal pattern in hedge portfolio returns? The combination of
which factors best explains expected stock returns?
