TY  - JOUR
A1  - Franz, Friedrich-Carl
T1  - Forecasting index changes in the German DAX family
T2  - Journal of asset management
N2  - Combining market data with a publicly available monthly snapshot of Deutsche Börse’s index ranking list, I create a model that predicts index changes in the DAX, MDAX, SDAX, and TecDAX from 2010 to 2019 before they are officially announced. Even though I empirically show that index changes are predictable, they still earn sizeable post-announcement 1-day abnormal returns up to 1.42% and − 1.54% for promotions and demotions, respectively. While abnormal returns are larger in smaller stocks, I find no evidence that they are related to funding constraints or additional risk for trading on wrong predictions. A trading strategy that trades according to my model yields an annualized Sharpe ratio of 0.83 while being invested for just 4 days a year.
KW  - Index rebalancing
KW  - Passive investment
KW  - Index effect
KW  - Index investing
KW  - Trading strategy
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/62830
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-628304
SN  - 1479-179X
N1  - Open access funding provided by Projekt DEAL.
N1  - Appendix:

Table 8 Changes by Date (I)
https://link.springer.com/article/10.1057/s41260-020-00153-6/tables/8

Table 9 Changes by Date (II)
https://link.springer.com/article/10.1057/s41260-020-00153-6/tables/9

Table 10 Changes by Date (III)
https://link.springer.com/article/10.1057/s41260-020-00153-6/tables/10

Table 11 Changes by Date (IV)
https://link.springer.com/article/10.1057/s41260-020-00153-6/tables/11

Table 12 Changes by Date (V)
https://link.springer.com/article/10.1057/s41260-020-00153-6/tables/12

Table 13 Changes by Date (IV)
https://link.springer.com/article/10.1057/s41260-020-00153-6/tables/13
VL  - 21
IS  - 2
SP  - 135
EP  - 153
PB  - Henry Stewart Publ. ; Proquest
CY  - London [u.a.] ; [S.l.]
ER  -