Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/156282 
Erscheinungsjahr: 
2016
Quellenangabe: 
[Journal:] Business Research [ISSN:] 2198-2627 [Volume:] 9 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2016 [Pages:] 27-50
Verlag: 
Springer, Heidelberg
Zusammenfassung: 
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.
Schlagwörter: 
Asset pricing
Risk factor model
Characteristics model
German stock market returns
Stock market anomalies
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