Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/70130
Authors: 
Artmann, Sabine
Finter, Philipp
Kempf, Alexander
Year of Publication: 
2011
Series/Report no.: 
CFR Working Paper 10-01 [rev.]
Abstract: 
This paper conducts a comprehensive asset pricing study based on a unique dataset for the German stock market. For the period 1963 to 2006 we show that value characteristics and momentum explain the cross-section of stock returns. Corresponding factor portfolios have significant premiums across various double-sorted characteristic-based test assets. In a horse race of competing asset pricing models the Fama-French 3-factor model does a poor job in explaining average stock returns. The Carhart 4-factor model performs much better, but a 4-factor model containing an earnings-to-price factor instead of a size factor does even slightly better.
Subjects: 
asset pricing
characteristics
risk factors
multifactor models
Germany
JEL: 
G12
Document Type: 
Working Paper

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