The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market

Philipp Dirkx and Franziska J. Peter ()
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Philipp Dirkx: Zeppelin University
Franziska J. Peter: Zeppelin University

Schmalenbach Business Review, 2020, vol. 72, issue 4, No 7, 684 pages

Abstract: Abstract We implement the Fama-French five-factor model and enhance it with a momentum factor for the German market using recent monthly data from 2002 to 2019. We construct the factors associated with the market, size, value, profitability, investment, and momentum for the CDAX constituents and examine to what extent this six-factor model captures the return premia in the German market. Our preliminary analysis does not document any significant evidence on the profitability or investment premium. The results on the six-factor model compared with the three-factor model reveal that the additional factors do not add significant explanatory power to the analysis. We conclude that the relevance of the profitability and investment factors within the context of international asset pricing studies cannot be transferred to the country- specific case of the German market.

Keywords: Asset pricing; Fama-French five-factor model; German stock market; G12; G10 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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DOI: 10.1007/s41464-020-00105-y

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