Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/41374
Title: 

The cross-Section of German stock returns: New data and new evidence

Authors: 
Artmann, Sabine
Finter, Philipp
Kempf, Alexander
Koch, Stefan
Theissen, Erik
Year of Publication: 
2010
Series/Report no.: 
CFR working paper 10-12
Abstract: 
This 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.
Subjects: 
Asset Pricing
Fama
French
Carhart
Characteristics
Risk Factors
Value
Size
Momentum
Germany
JEL: 
G12
G15
Document Type: 
Working Paper

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