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The Cross-Section of German Stock Returns: New Data and New EvidenceSabine ArtmannUniversity of Cologne - Faculty of Management, Economics and Social Sciences Philipp FinterUniversity of Cologne - Department of Finance; University of Cologne - Centre for Financial Research (CFR) Alexander KempfUniversity of Cologne - Department of Finance & Centre for Financial Research (CFR) Stefan KochUniversity of Bonn - The Bonn Graduate School of Economics Erik TheissenUniversity of Mannheim - Finance Area January 15, 2012 Schmalenbach Business Review, Vol. 64, January 2012, pp. 20-43 Abstract: We introduce a new data set that comprises factor returns and returns of portfolios that are single- and double-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard CAPM, the Fama-French (1993) three-factor model, and the carhart (1997) four-factor model. Our tests are based on a more comprehensive data set than are earlier studies. We investigate the sensitivity of our results to the choice of test assets. Our results indicate that none of the models can consistently explain the cross-section of returns, and that the results of asset-pricing tests are sensitive to the choice of test assets.
Number of Pages in PDF File: 24 Keywords: Asset Pricing, Carhart, Fama, French, Germany, Characteristics, Momentum, Risk Factors, Size, Value JEL Classification: G12, G15 Accepted Paper SeriesDate posted: April 4, 2012Suggested CitationContact Information
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