Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156282
Authors: 
Fieberg, Christian
Varmaz, Armin
Poddig, Thorsten
Year of Publication: 
2016
Citation: 
[Journal:] Business Research [ISSN:] 2198-2627 [Publisher:] Springer [Place:] Heidelberg [Volume:] 9 [Year:] 2016 [Issue:] 1 [Pages:] 27-50
Abstract: 
The characteristics book-to-market equity ratio, size and momentum are highly correlated with the average returns of common stocks. Fama and French (J Financ Econ 33(1):3-56, 1993), (J Finance 50(1):131-155, 1995) and (J Finance 51(1):55-84, 1996) argue (for size and the book-to-market equity ratio) that the relation between returns and characteristics arises because the characteristics are proxies for exposures to common risk factors. We examine the question whether the characteristics or the covariance structure of returns explain the cross-sectional dispersion in German stock market returns. Our results suggest that widely accepted factors SMB, HML or WML are not priced.
Subjects: 
Asset pricing
Risk factor model
Characteristics model
German stock market returns
Stock market anomalies
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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