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/10419/41374
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorArtmann, Sabineen_US
dc.contributor.authorFinter, Philippen_US
dc.contributor.authorKempf, Alexanderen_US
dc.contributor.authorKoch, Stefanen_US
dc.contributor.authorTheissen, Eriken_US
dc.date.accessioned2010-10-19en_US
dc.date.accessioned2010-10-28T14:42:43Z-
dc.date.availablestart=2010-10-28T14:42:43Z; end=2012-04-23-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/41374-
dc.description.abstractThis paper serves two purposes. First, we introduce a new data set on the German stock market which is publicly available to all researchers. It comprises factor returns (a market factor, a size factor, a book-to-market factor, and a momentum factor) as well as returns of portfolios which are single- and double-sorted according to market beta, size, book-to-market, and momentum. Second, we use this data set to perform asset pricing tests for the German equity market. Specifically, we test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a more comprehensive data set than earlier studies and we investigate the sensitivity of the results to the choice of test assets. Our results indicate that none of the models is able to consistently explain the cross-section of returns. They also demonstrate that the results of asset pricing tests are sensitive to the choice of test assets.en_US
dc.language.isoengen_US
dc.publisherCentre for Financial Research Cologneen_US
dc.relation.ispartofseriesCFR working paper 10-12en_US
dc.subject.jelG12en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordAsset Pricingen_US
dc.subject.keywordFamaen_US
dc.subject.keywordFrenchen_US
dc.subject.keywordCarharten_US
dc.subject.keywordCharacteristicsen_US
dc.subject.keywordRisk Factorsen_US
dc.subject.keywordValueen_US
dc.subject.keywordSizeen_US
dc.subject.keywordMomentumen_US
dc.subject.keywordGermanyen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwWertpapieranalyseen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwStatistischer Testen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleThe cross-Section of German stock returns: New data and new evidenceen_US
dc.typeWorking Paperen_US
dc.identifier.ppn637048911en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:cfrwps:1012-
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.