Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/41374 
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dc.contributor.authorArtmann, Sabineen
dc.contributor.authorFinter, Philippen
dc.contributor.authorKempf, Alexanderen
dc.contributor.authorKoch, Stefanen
dc.contributor.authorTheissen, Eriken
dc.date.accessioned2010-10-19-
dc.date.accessioned2010-10-28T14:42:43Z-
dc.date.availablestart=2010-10-28T14:42:43Z; end=2012-04-23-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aUniversity of Cologne, Centre for Financial Research (CFR) |cCologneen
dc.relation.ispartofseries|aCFR working paper |x10-12en
dc.subject.jelG12en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordAsset Pricingen
dc.subject.keywordFamaen
dc.subject.keywordFrenchen
dc.subject.keywordCarharten
dc.subject.keywordCharacteristicsen
dc.subject.keywordRisk Factorsen
dc.subject.keywordValueen
dc.subject.keywordSizeen
dc.subject.keywordMomentumen
dc.subject.keywordGermanyen
dc.subject.stwKapitalertragen
dc.subject.stwBörsenkursen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwWertpapieranalyseen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwStatistischer Testen
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleThe cross-Section of German stock returns: New data and new evidence-
dc.type|aWorking Paperen
dc.identifier.ppn637048911en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfrwps:1012en

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