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Hendrik Scholz

Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg

Professor

Finance and Banking

Lange Gasse 20

Nürnberg, Bavaria 90403

Germany

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

  • Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg

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

24

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CITATIONS
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6

Scholarly Papers (24)

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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 Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg
Downloads 843 (17,454)

Abstract:

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
Leibniz Universität Hannover, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg and University of Augsburg
Downloads 603 (31,728)
Citation 1

Abstract:

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 2017
Hannah Lea Hühn and Hendrik Scholz
Assenagon Asset Management and Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg
Downloads 569 (14,752)

Abstract:

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
Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg, McKinsey & Company and University of Augsburg
Downloads 459 (48,209)

Abstract:

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

5.

Jensen’s Alpha and the Market Timing Puzzle

Number of pages: 37 Posted: 25 Aug 2008 Last Revised: 30 Nov 2016
Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Leibniz Universität Hannover, University of Augsburg, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg and University of Augsburg
Downloads 306 (53,135)

Abstract:

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, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg and University of Augsburg
Downloads 247 (94,516)
Citation 1

Abstract:

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 Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg
Downloads 222 (115,160)
Citation 1

Abstract:

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 Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg
Downloads 123 (166,700)

Abstract:

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 Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg
Downloads 86 (190,857)

Abstract:

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

10.

Success and Failure on the Corporate Bond Fund Market

Number of pages: 46 Posted: 02 Aug 2014 Last Revised: 16 Sep 2017
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg and University of Augsburg
Downloads 70 (168,575)

Abstract:

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 Lea Hühn and Hendrik Scholz
Assenagon Asset Management and Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg
Downloads 30 (122,796)

Abstract:

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

Number of pages: 40 Posted: 24 Sep 2015 Last Revised: 04 Sep 2017
Florian Barth, Hendrik Scholz and Matthias Stegmeier, CFA
Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg and Nürnberger Lebensversicherung AG
Downloads 14 (106,972)

Abstract:

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, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg and University of Augsburg
Downloads 2 (541,518)
Citation 3
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Abstract:

14.

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

Posted: 29 Apr 2017 Last Revised: 20 Sep 2017
Thiess Buettner, Carolin Holzmann, Felix Kreidl and Hendrik Scholz
FAU, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg, Friedrich-Alexander Universität (FAU) and Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg

Abstract:

Dividend taxes; Capital gains taxes; Price-drop ratio; Ex-dividend dates; Tax clienteles; Tax compliance; Tax fraud; Withholding tax; Tax crediting

15.

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

Number of pages: 10 Posted: 30 Nov 2016
Sebastian Bunnenberg, Martin Rohleder, Hendrik Scholz and Marco Wilkens
Leibniz Universität Hannover, University of Augsburg, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg and University of Augsburg
Downloads 0 (409,402)

Abstract:

Conditional performance evaluation; time-varying investment skill

16.

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 Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg
Downloads 0 (146,386)

Abstract:

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

17.

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

The Quarterly Review of Economics and Finance 2016, 59, 112-130
Posted: 04 Jun 2015 Last Revised: 15 Oct 2016
Ulf Herrmann, Martin Rohleder and Hendrik Scholz
Friedrich-Alexander-University (FAU) Erlangen-Nürnberg, University of Augsburg and Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg

Abstract:

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

18.

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 (FAU) Erlangen-Nürnberg and University of Augsburg

Abstract:

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

19.

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 (FAU) Erlangen-Nürnberg and University of Augsburg

Abstract:

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

20.

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

Review of Finance 2011, 15 (2), 441-474
Posted: 08 Mar 2008 Last Revised: 15 Oct 2016
Martin Rohleder, Hendrik Scholz and Marco Wilkens
University of Augsburg, Friedrich-Alexander-Universität (FAU) Erlangen-Nürnberg and University of Augsburg

Abstract:

Mutual Fund Performance, Survivorship Bias

21.

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 (FAU) Erlangen-Nürnberg and University of Augsburg

Abstract:

Structured products, Certificates, Hedging, German market, Pricing

22.

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 (FAU) Erlangen-Nürnberg

Abstract:

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

23.

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 (FAU) Erlangen-Nürnberg and University of Augsburg

Abstract:

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

24.

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 (FAU) Erlangen-Nürnberg and University of Augsburg

Abstract:

Mutual Funds, Performance Measurement, Sharpe Ratio, Treynor Ratio

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