 The cross-Section of German stock returns: New data and new evidenceSabine Artmann, Philipp Finter, Alexander Kempf, Stefan Koch and Erik Theissen No 10-12, CFR Working Papers from University of Cologne, Centre for Financial Research (CFR) Abstract: This 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. Keywords: Asset Pricing; Fama; French; Carhart; Characteristics; Risk Factors; Value; Size; Momentum; Germany (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:zbw:cfrwps:1012 Access Statistics for this paper More papers in CFR Working Papers from University of Cologne, Centre for Financial Research (CFR) Contact information at EDIRC. |
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