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http://hdl.handle.net/10419/41363
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| Title: | | Determinants of expected stock returns: Large sample evidence from the German market |
| Authors: | | Artmann, Sabine Finter, Philipp Kempf, Alexander |
| Issue Date: | | 2010 |
| Series/Report no.: | | CFR working paper 10-01 |
| 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. |
| Subjects: | | asset pricing characteristics risk factors multifactor models Germany |
| JEL: | | G12 |
| Is replaced by the following version: | | http://hdl.handle.net/10419/70130 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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| The document was removed on behalf of the author(s)/ the editor(s) on: February 13, 2013 |
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