Hendrik Scholz

Friedrich-Alexander-Universität Erlangen-Nürnberg

Lange Gasse 20

Lange Gasse 20,

Nürnberg, 90403

Germany

  • Friedrich-Alexander-Universität Erlangen-Nürnberg

SCHOLARLY PAPERS

31

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26

Scholarly Papers (31)

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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 1,585 (11,876)
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 1,107 (20,673)
Citation 1

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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, Forthcoming
Number of pages: 45 Posted: 29 Apr 2017 Last Revised: 16 Apr 2020
Thiess Buettner, Carolin Holzmann, Felix Kreidl and Hendrik Scholz
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 1,007 (23,784)
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
Sebastian Bunnenberg, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business School, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 686 (40,626)

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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, Forthcoming
Number of pages: 40 Posted: 25 Aug 2008 Last Revised: 20 Aug 2018
Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business School, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 564 (52,490)
Citation 2

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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 498 (61,406)

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

7.

Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock, Corporate Bond, and Credit Default Swap Markets

Number of pages: 57 Posted: 19 Dec 2017 Last Revised: 21 Mar 2019
Florian Barth, Christian Eckert, Nadine Gatzert and Hendrik Scholz
Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg, Friedrich-Alexander University Erlangen-Nürnberg, Friedrich-Alexander University Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 445 (70,569)
Citation 6

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Spillover Effects, Volkswagen Emissions Scandal, Event Study

8.

ESG and Corporate Credit Spreads

Number of pages: 59 Posted: 13 Jun 2018 Last Revised: 11 May 2020
Florian Barth, Benjamin Hübel and Hendrik Scholz
Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg, Friedrich-Alexander-Universität Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 405 (78,930)

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Corporate social responsibility (CSR); Enviromental, Social, Governance (ESG); Credit default swaps (CDS); Credit risk

9.

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 390 (82,422)

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

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 281 (118,775)
Citation 1

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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 263 (127,823)
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 226 (148,052)

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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 210 (158,616)
Citation 2

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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 189 (174,813)
Citation 1

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

15.

Currency Conversion of Fama/French Factors: How and Why

Number of pages: 29 Posted: 19 Aug 2019 Last Revised: 04 Mar 2020
Maximilian Glück, Benjamin Hübel and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg, Friedrich-Alexander-Universität Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 173 (189,120)
Citation 1

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Fama/French factors, Currency conversion, International perspective, Performance analysis

16.

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 146 (218,157)

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

17.

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

Journal of Asset Management, 2020
Number of pages: 37 Posted: 23 Dec 2017 Last Revised: 22 Jan 2020
Benjamin Hübel and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 96 (296,508)
Citation 1

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

18.

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 83 (324,817)
Citation 1

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

19.

Exploiting the Dividend Month Premium: Evidence from Germany

Number of pages: 31 Posted: 20 Feb 2020 Last Revised: 03 Aug 2020
Felix Kreidl and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg and Friedrich-Alexander-Universität Erlangen-Nürnberg
Downloads 74 (347,306)
Citation 1

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

20.

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 53 (411,213)
Citation 1

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Mutual Fund Performance, Survivorship Bias

21.

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

Review of Financial Economics, Forthcoming
Number of pages: 10 Posted: 30 Nov 2016 Last Revised: 12 Mar 2018
Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Reutlingen University - ESB Business School, University of Augsburg, Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Augsburg
Downloads 42 (452,742)

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Conditional performance evaluation; time-varying investment skill

22.

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 30 (507,826)

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

23.

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 (695,756)
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24.

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
Friedrich-Alexander-Universität Erlangen-Nürnberg, 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

25.

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
Florian Barth, Hendrik Scholz and Matthias Stegmeier, CFA
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

26.

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

27.

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

28.

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

29.

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

30.

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

31.

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