@techreport{Artmann2010Determinants,
abstract = {This paper conducts a comprehensive asset pricing study based on a unique dataset for the German stock market. For the period 1963 to 2006 we show that two value characteristics (book-to-market equity, earnings-to-price) and momentum explain the cross-section of stock returns. Corresponding factor portfolios have significant premiums across various doublesorted characteristic-based test assets. In a horse race of competing asset pricing models the Fama-French 3-factor model does a poor job in explaining average stock returns, whereas the Carhart 4-factor model performs well. However, both models are inferior to a 4-factor model containing an earnings-to-price factor instead of a size factor.},
address = {Cologne},
author = {Sabine Artmann and Philipp Finter and Alexander Kempf},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; 330; asset pricing; characteristics; risk factors; multifactor models; Germany; B\"{o}rsenkurs; Kapitalertrag; Capital Asset Pricing Model; Wertpapieranalyse; Faktorenanalyse; Vergleich; Sch\"{a}tzung; Deutschland},
language = {eng},
note = {Is replaced by the following version: http://hdl.handle.net/10419/70130},
number = {10-01},
publisher = {Centre for Financial Research},
title = {Determinants of expected stock returns: Large sample evidence from the German market},
type = {CFR working paper},
url = {http://hdl.handle.net/10419/41363},
year = {2010}
}
