Arbeitspapier

Determinants of expected stock returns: Large sample evidence from the German market

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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.

Sprache
Englisch

Erschienen in
Series: CFR Working Paper ; No. 10-01 [rev.]

Klassifikation
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Thema
asset pricing
characteristics
risk factors
multifactor models
Germany

Ereignis
Geistige Schöpfung
(wer)
Artmann, Sabine
Finter, Philipp
Kempf, Alexander
Ereignis
Veröffentlichung
(wer)
University of Cologne, Centre for Financial Research (CFR)
(wo)
Cologne
(wann)
2011

Handle
Letzte Aktualisierung
10.03.2025, 11:41 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
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Objekttyp

  • Arbeitspapier

Beteiligte

  • Artmann, Sabine
  • Finter, Philipp
  • Kempf, Alexander
  • University of Cologne, Centre for Financial Research (CFR)

Entstanden

  • 2011

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