Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Lange Gasse 20

Lange Gasse 20,

Nürnberg, 90403

Germany

SCHOLARLY PAPERS

30

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SSRN CITATIONS
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Top 31,517

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6

CROSSREF CITATIONS

21

Scholarly Papers (30)

1.

Alpha Momentum and Price Momentum

International Journal of Financial Studies, 2018, Vol. 6 (2), 49. DOI: 10.3390/ijfs6020049
Number of pages: 1 Posted: 02 Jul 2013 Last Revised: 04 Aug 2018
Hannah Hühn and Hendrik Scholz
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 1,697 (13,391)
Citation 2

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Alpha momentum; price momentum; stock-specific return; price overshooting; slow information diffusion; reversal

2.

Enhancing the Profitability of Earnings Momentum Strategies: The Role of Price Momentum, Information Diffusion and Earnings Uncertainty

Journal of Investment Strategies, Vol. 2, No. 4, 2013
Number of pages: 51 Posted: 18 Apr 2011 Last Revised: 08 Oct 2013
Marc-Gregor Czaja, Philipp Kaufmann and Hendrik Scholz
Allianz Investment Management, University of Muenster and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 1,160 (23,878)

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Analysts’ Earnings Forecast Revisions, Earnings Momentum, Post-Revision Price Drift, Portfolio Management, Market Efficiency

3.

Withholding-Tax Non-Compliance: The Case of Cum-Ex Stock-Market Transactions

International Tax and Public Finance 2020, 27, 1425-1452.
Number of pages: 45 Posted: 29 Apr 2017 Last Revised: 19 Oct 2020
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - Institute of Economics, Friedrich-Alexander-Universität Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 1,103 (25,681)
Citation 1

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Tax compliance; Tax evasion; Withholding taxes; Collusion; Tax fraud; Tax refunding; Cum-ex trades; Ex-dividend date; Dividend taxes; Capital gains taxes

4.

The Sharpe Ratio's Market Climate Bias: Theoretical and Empirical Evidence from US Equity Mutual Funds

Journal of Asset Management, Vol. 13, No. 4, August 2012, pp. 227-242
Number of pages: 1 Posted: 26 Jan 2006 Last Revised: 31 Jul 2012
Reutlingen University - ESB Business SchoolTalanx AG - HDI Global SE, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 698 (48,480)

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Performance evaluation, equity mutual funds, Sharpe ratio, bear market, market conditions

5.

Jensen’s Alpha and the Market Timing Puzzle

Review of Financial Economics, 37 (2), 234-255.
Number of pages: 40 Posted: 25 Aug 2008 Last Revised: 01 May 2021
Reutlingen University - ESB Business SchoolTalanx AG - HDI Global SE, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 597 (59,356)
Citation 3

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Mutual fund performance; stock selection; market timing; total performance; conditional performance

6.

Maturity Transformation Strategies and Interest Rate Risk of Financial Institutions: Evidence from the German Market

Number of pages: 23 Posted: 26 Jul 2007
Hendrik Scholz, Stephan K.H. Simon and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg, McKinsey & Company and University of Augsburg
Downloads 510 (72,265)

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maturity transformation, interest rate risk, financial institutions, liquidity preference hypothesis

7.

Reversal and Momentum Patterns in Weekly Stock Returns: European Evidence

Review of Financial Economics, Forthcoming
Number of pages: 1 Posted: 21 Jan 2015 Last Revised: 04 Aug 2018
Hannah Hühn and Hendrik Scholz
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 412 (93,169)

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Short-term reversal, medium-term momentum, conventional strategy, stock-specific strategy, stock characteristics

8.

ESG Rating Events and Stock Market Reactions

Number of pages: 55 Posted: 22 Mar 2021 Last Revised: 15 Dec 2021
Maximilian Glück, Benjamin Hübel and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg, HUK-COBURG Asset Management and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 379 (102,921)

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ESG rating, ESG performance, Abnormal returns, Equity risk

9.

Integrating Sustainability Risks in Asset Management: The Role of ESG Exposures and ESG Ratings

Journal of Asset Management, Vol. 21(1), 2020, 52-69.
Number of pages: 37 Posted: 23 Dec 2017 Last Revised: 14 Aug 2020
Benjamin Hübel and Hendrik Scholz
HUK-COBURG Asset Management and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 365 (107,349)
Citation 1

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Corporate social responsibility; ESG ratings; ESG exposures; stock returns

10.

Bond Fund Disappearance: What’s Return Got to Do with it?

Number of pages: 47 Posted: 18 Jun 2011 Last Revised: 14 May 2012
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 286 (139,275)

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fund disappearance, bond mutual fund performance, survivorship bias

11.

Short-Term Persistence in Hybrid Mutual Fund Performance: The Role of Style-Shifting Abilities

Journal of Banking and Finance, Vol. 37 (7), 2314–2328
Number of pages: 36 Posted: 03 Jun 2011 Last Revised: 17 May 2013
Ulf Herrmann and Hendrik Scholz
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 276 (145,063)
Citation 2

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hybrid mutual funds, performance persistence, total performance, style-shifting abilities

12.

Success and Failure on the Corporate Bond Fund Market

Journal of Asset Management 19(6), 429-443.
Number of pages: 43 Posted: 02 Aug 2014 Last Revised: 28 Mar 2019
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 233 (170,837)
Citation 1

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Corporate bond funds, performance, disappearance and survival, fund size, flow

13.

A Return-Based Approach to Identify Home Bias of European Equity Funds

European Journal of Finance, 2018, 24 (15), 1288-1310. DOI: 10.1080/1351847X.2017.1415946
Number of pages: 1 Posted: 27 Feb 2016 Last Revised: 04 Aug 2018
Moritz Maier and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 220 (180,483)
Citation 1

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Home Bias, Equity Mutual Funds, Market Conditions, Fund Performance

14.

Does Style-Shifting Activity Predict Performance? Evidence from Hybrid Mutual Funds

Number of pages: 42 Posted: 13 Mar 2012 Last Revised: 05 Mar 2013
Ulf Herrmann and Hendrik Scholz
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 196 (201,752)
Citation 2

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Hybrid Mutual Funds, Style-Shifting Activity, Predicting Future Fund Performance

15.

Jensen Alpha and Market Climate

Journal of Asset Management, 2016, Vol. 17, 195-214
Number of pages: 1 Posted: 23 Dec 2013 Last Revised: 04 Aug 2018
Bernhard Breloer, Hannah Hühn and Hendrik Scholz
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 153 (248,427)

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Equity mutual funds; Jensen alpha; Fund ranking; Market conditions

16.

Survivorship Bias and Mutual Fund Performance: Relevance, Significance, and Methodical Differences

Review of Finance 2011, 15 (2), 441-474
Number of pages: 53 Posted: 08 Mar 2008 Last Revised: 18 Mar 2018
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 146 (258,006)
Citation 1

Abstract:

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Mutual Fund Performance, Survivorship Bias

17.

Determinants of Home Bias: Evidence From European Equity Funds

Number of pages: 39 Posted: 11 Apr 2019
Moritz Maier and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 133 (277,584)

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Home Bias, Equity Mutual Funds, Quantile Regression, Fund Performance, Holdings Data

18.

Exploiting the Dividend Month Premium: Evidence from Germany

Journal of Asset Management 2021, 22, 253-266.
Number of pages: 2 Posted: 20 Feb 2020 Last Revised: 16 Jun 2021
Felix Kreidl and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 123 (294,330)
Citation 1

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Dividends, Dividend month premium, Dividend surprise, Cumulative abnormal returns, Outperformance, Exploitation, Portfolio management

19.

Does Style-Shifting Activity Predict Performance? Evidence from Equity Mutual Funds

The Quarterly Review of Economics and Finance 2016, 59, 112-130
Number of pages: 52 Posted: 04 Jun 2015 Last Revised: 18 Mar 2018
Ulf Herrmann, Martin Rohleder and Hendrik Scholz
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg, University of Augsburg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 47 (506,262)

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Mutual fund performance, Equity funds, Management activity, Style-shifting, Performance prediction

20.

Internet Appendix of the Paper 'Jensen's Alpha and the Market Timing Puzzle'

Review of Financial Economics, 37 (2), 234-255.
Number of pages: 10 Posted: 30 Nov 2016 Last Revised: 01 May 2021
Reutlingen University - ESB Business SchoolTalanx AG - HDI Global SE, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 45 (515,219)

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Conditional performance evaluation; time-varying investment skill

21.

Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany

European Financial Management, Vol. 16, Issue 1, pp. 124-154, January 2010
Number of pages: 31 Posted: 28 Dec 2009
Marc-Gregor Czaja, Hendrik Scholz and Marco Wilkens
Allianz Investment Management, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 2 (801,777)
Citation 1
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22.

Performance of S&P 500 ESG Indices: The Impact of Weighting Methodologies and ESG Ratings

Posted: 16 Mar 2020
Benjamin Hübel, Hendrik Scholz and Nicolas Webersinke
HUK-COBURG Asset Management, Friedrich-Alexander-Universität Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg

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ESG; Indices; S&P 500 ESG Indices; Returns; Equal Weighting

23.

Currency Conversion of Fama-French Factors: How and Why

The Journal of Portfolio Management Quantitative Special Issue 2021 © 2021 PMR. All rights reserved. Available for download: https://jpm.pm-research.com/content/early/2020/11/17/jpm.2020.1.192
Posted: 19 Aug 2019 Last Revised: 19 Nov 2020
Maximilian Glück, Benjamin Hübel and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg, HUK-COBURG Asset Management and Friedrich-Alexander-Universität Erlangen-Nürnberg

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Currency, Factor-based moels, Performance measurement

24.

Momentum in the European Corporate Bond Market: The Role of Bond-Specific Returns

Journal of Fixed Income, 2018, Vol. 27, No. 3, 54-70
Posted: 24 Sep 2015 Last Revised: 04 Aug 2018
Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg, Friedrich-Alexander-Universität Erlangen-Nürnberg and Nürnberger Lebensversicherung AG

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Fixed income; corporate bonds; momentum; time-varying performance; credit cycles; information diffusion

25.

Performance of International and Global Equity Mutual Funds: Do Country Momentum and Sector Momentum Matter?

Journal of Banking and Finance, Vol. 43, 2014
Posted: 21 Jun 2011 Last Revised: 28 Mar 2014
Bernhard Breloer, Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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International Equity Funds, Global Equity Funds, Country Momentum, Sector Momentum, Fund Performance, Fund Ranking

26.

A Jigsaw Puzzle of Basic Risk-Adjusted Performance Measures

The Journal of Performance Measurement, Vol. 9, No. 3, pp. 57-64, Spring 2005
Posted: 18 Mar 2011
Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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portfolio performance evaluation, mutual funds, Sharpe ratio, Treynor ratio, RAP

27.

The Price-Setting Behavior of Banks: An Analysis of Open-End Leverage Certificates on the German Market

Journal of Banking and Finance, Vol. 33, No. 5, pp. 874-882, 2009
Posted: 06 Mar 2008 Last Revised: 12 Aug 2010
Oliver Entrop, Hendrik Scholz and Marco Wilkens
University of Passau, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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Structured products, Certificates, Hedging, German market, Pricing

28.

Refinements to the Sharpe Ratio: Comparing Alternatives for Bear Markets

Journal of Asset Management, Vol. 7, No. 5, pp. 347-357, 2007
Posted: 18 Oct 2006
Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg

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Portfolio performance evaluation, mutual funds, Sharpe ratio, bear market, market conditions

29.

Interest Rate Risk of German Financial Institutions - the Impact of Level, Slope, and Curvature of the Term Structure

Review of Quantitative Finance and Accounting, Vol. 33, pp. 1-26, 2009
Posted: 30 Jun 2006 Last Revised: 17 Jun 2010
Marc-Gregor Czaja, Hendrik Scholz and Marco Wilkens
Allianz Investment Management, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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German financial institutions, interest rate sensitivity, term structure, Nelson-Siegel approach

30.

Investor-Specific Performance Measurement: A Justification of Sharpe Ratio and Treynor Ratio

The International Journal of Finance, 2005, Vol. 17, No. 4, pp. 3671-3691
Posted: 09 Jun 2004 Last Revised: 18 Mar 2011
Hendrik Scholz and Marco Wilkens
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg

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Mutual Funds, Performance Measurement, Sharpe Ratio, Treynor Ratio