EconStor >
Universität zu Köln >
Centre for Financial Research (CFR), Universität Köln >
CFR Working Papers, Centre for Financial Research (CFR), Universität Köln >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/41363
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorArtmann, Sabineen_US
dc.contributor.authorFinter, Philippen_US
dc.contributor.authorKempf, Alexanderen_US
dc.date.accessioned2010-10-19en_US
dc.date.accessioned2010-10-28T14:42:32Z-
dc.date.availablestart=2010-10-28T14:42:32Z; end=2013-02-13-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/41363-
dc.description.abstractThis 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.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 10-01en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordasset pricingen_US
dc.subject.keywordcharacteristicsen_US
dc.subject.keywordrisk factorsen_US
dc.subject.keywordmultifactor modelsen_US
dc.subject.keywordGermanyen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwWertpapieranalyseen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwVergleichen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleDeterminants of expected stock returns: Large sample evidence from the German marketen_US
dc.typeWorking Paperen_US
dc.identifier.ppn636993310en_US
dc.relation.isreplacedbyhttp://hdl.handle.net/10419/70130-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1001-
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

Files in This Item:

There are no files associated with this item.

No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.