Arbeitspapier
Determinants of expected stock returns: Large sample evidence from the German market
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.
- Language
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Englisch
- Bibliographic citation
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Series: CFR Working Paper ; No. 10-01 [rev.]
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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asset pricing
characteristics
risk factors
multifactor models
Germany
- Event
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Geistige Schöpfung
- (who)
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Artmann, Sabine
Finter, Philipp
Kempf, Alexander
- Event
-
Veröffentlichung
- (who)
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University of Cologne, Centre for Financial Research (CFR)
- (where)
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Cologne
- (when)
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2011
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Artmann, Sabine
- Finter, Philipp
- Kempf, Alexander
- University of Cologne, Centre for Financial Research (CFR)
Time of origin
- 2011
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