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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Artmann, Sabine | | en_US |
| dc.contributor.author | | Finter, Philipp | | en_US |
| dc.contributor.author | | Kempf, Alexander | | en_US |
| dc.date.accessioned | | 2010-10-19 | | en_US |
| dc.date.accessioned | | 2010-10-28T14:42:32Z | | - |
| dc.date.available | | start=2010-10-28T14:42:32Z; end=2013-02-13 | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/41363 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Centre for Financial Research Cologne | | en_US |
| dc.relation.ispartofseries | | CFR working paper 10-01 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | asset pricing | | en_US |
| dc.subject.keyword | | characteristics | | en_US |
| dc.subject.keyword | | risk factors | | en_US |
| dc.subject.keyword | | multifactor models | | en_US |
| dc.subject.keyword | | Germany | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Kapitalertrag | | en_US |
| dc.subject.stw | | Capital Asset Pricing Model | | en_US |
| dc.subject.stw | | Wertpapieranalyse | | en_US |
| dc.subject.stw | | Faktorenanalyse | | en_US |
| dc.subject.stw | | Vergleich | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.title | | Determinants of expected stock returns: Large sample evidence from the German market | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 636993310 | | en_US |
| dc.relation.isreplacedby | | http://hdl.handle.net/10419/70130 | | - |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | CFR Working Papers, Centre for Financial Research (CFR), Universität Köln
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