SSRN logo
Advanced Search

Hendrik Scholz

University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics

Professor

Finance and Banking

Lange Gasse 20

Nürnberg, Bavaria 90403

Germany

http://www.finanzierung.wiso.uni-erlangen.de

  • University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics

    • Email
    • Tel: 0049-911-5302649
    • Fax: 0049-911-5302466
SCHOLARLY PAPERS

26

DOWNLOADS
Rank 6,751

SSRN RANKINGS

Top 6,751

in Total Papers Downloads

5,926

CITATIONS
Rank 25,274

SSRN RANKINGS

Top 25,274

in Total Papers Citations

10

Scholarly Papers (26)

Actions:
Email selected abstracts
1.

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 University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 843 (17,945)

Abstract:

Loading...

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

2.

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
Talanx AG - HDI Global SE, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg
Downloads 603 (34,081)
Citation 1

Abstract:

Loading...

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

3.

Alpha Momentum and Price Momentum

Number of pages: 43 Posted: 02 Jul 2013 Last Revised: 08 Mar 2018
Hannah Hühn and Hendrik Scholz
Assenagon Asset Management S.A. and University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 569 (12,787)

Abstract:

Loading...

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

4.

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
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics, McKinsey & Company and University of Augsburg
Downloads 459 (52,137)

Abstract:

Loading...

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

5.

Jensen’s Alpha and the Market Timing Puzzle

Review of Financial Economics, Forthcoming
Number of pages: 37 Posted: 25 Aug 2008 Last Revised: 12 Mar 2018
Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Talanx AG - HDI Global SE, University of Augsburg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg
Downloads 306 (50,161)

Abstract:

Loading...

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

6.

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, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg
Downloads 247 (100,060)
Citation 1

Abstract:

Loading...

fund disappearance, bond mutual fund performance, survivorship bias

7.

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 University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 239 (115,695)
Citation 1

Abstract:

Loading...

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

8.

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 University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 123 (165,430)

Abstract:

Loading...

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

9.

Jensen Alpha and Market Climate

Number of pages: 34 Posted: 23 Dec 2013 Last Revised: 18 Mar 2014
Bernhard Breloer and Hendrik Scholz
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg and University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 86 (195,788)

Abstract:

Loading...

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

10.

Success and Failure on the Corporate Bond Fund Market

Number of pages: 43 Posted: 02 Aug 2014 Last Revised: 24 Nov 2017
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg
Downloads 70 (145,026)

Abstract:

Loading...

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

11.

Reversal and Momentum Patterns in Weekly Stock Returns: European Evidence

Number of pages: 53 Posted: 21 Jan 2015 Last Revised: 18 Feb 2017
Hannah Hühn and Hendrik Scholz
Assenagon Asset Management S.A. and University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 30 (94,483)

Abstract:

Loading...

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

12.

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

Posted: 24 Sep 2015 Last Revised: 05 Oct 2017
Florian Barth, Hendrik Scholz and Matthias Stegmeier, CFA
Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and Nürnberger Lebensversicherung AG

Abstract:

Loading...

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

13.

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, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg
Downloads 2 (575,822)
Citation 3
  • Add to Cart

Abstract:

Loading...

14.

Performance of socially responsible portfolios: The role of CSR exposures and CSR ratings

Number of pages: 49 Posted: 23 Dec 2017 Last Revised: 10 May 2018
Benjamin Hübel and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg and University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 0 (280,192)

Abstract:

Loading...

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

15.

Spillover Effects from the Volkswagen emissions scandal: A Comprehensive Analysis of Stock, Corporate Bond, and Credit Default Swap Markets

Number of pages: 46 Posted: 19 Dec 2017 Last Revised: 05 May 2018
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 University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 0 (224,542)

Abstract:

Loading...

Spillover Effects, Volkswagen Emissions Scandal, Event Study

16.

Stock Market Behavior on Ex-Dividend Dates: The Case of Cum-Ex Transactions in Germany

Number of pages: 42 Posted: 29 Apr 2017 Last Revised: 31 May 2018
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 University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 0 (140,135)

Abstract:

Loading...

Dividend taxes; Ex-dividend dates; Tax compliance; Tax fraud; Withholding tax

17.

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
Talanx AG - HDI Global SE, University of Augsburg, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg
Downloads 0 (410,850)

Abstract:

Loading...

Conditional performance evaluation; time-varying investment skill

18.

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

Number of pages: 43 Posted: 27 Feb 2016 Last Revised: 08 Aug 2017
Moritz Maier and Hendrik Scholz
Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU) and University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 0 (138,812)

Abstract:

Loading...

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

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 University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics
Downloads 0 (546,860)

Abstract:

Loading...

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

20.

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, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg

Abstract:

Loading...

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

21.

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
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg

Abstract:

Loading...

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

22.

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, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg
Downloads 0 (557,056)
Citation 4

Abstract:

Loading...

Mutual Fund Performance, Survivorship Bias

23.

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, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg

Abstract:

Loading...

Structured products, Certificates, Hedging, German market, Pricing

24.

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
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics

Abstract:

Loading...

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

25.

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, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg

Abstract:

Loading...

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

26.

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
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - School of Business & Economics and University of Augsburg

Abstract:

Loading...

Mutual Funds, Performance Measurement, Sharpe Ratio, Treynor Ratio