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
  
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

Files in This Item:

There are no files associated with this item.

The document was removed on behalf of the author(s)/ the editor(s) on: February 13, 2013
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/41363

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