The Cross-Section of German Stock Returns: New Data and New Evidence

36 Pages Posted: 4 Aug 2010

See all articles by Sabine Artmann

Sabine Artmann

University of Cologne - Faculty of Management, Economics and Social Sciences

Philipp Finter

University of Cologne - Department of Finance; University of Cologne - Centre for Financial Research (CFR)

Alexander Kempf

University of Cologne - Department of Finance & Centre for Financial Research (CFR)

Stefan Koch

University of Bonn

Erik Theissen

University of Mannheim - Finance Area

Multiple version iconThere are 2 versions of this paper

Date Written: July 30, 2010

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

JEL Classification: G12, G15

Suggested Citation

Artmann, Sabine and Finter, Philipp and Kempf, Alexander and Koch, Stefan and Theissen, Erik, The Cross-Section of German Stock Returns: New Data and New Evidence (July 30, 2010). Available at SSRN: https://ssrn.com/abstract=1652140 or http://dx.doi.org/10.2139/ssrn.1652140

Sabine Artmann

University of Cologne - Faculty of Management, Economics and Social Sciences ( email )

Richard-Strauss-Str. 2
Cologne, D-50923
Germany

Philipp Finter

University of Cologne - Department of Finance ( email )

Cologne, 50923
Germany

University of Cologne - Centre for Financial Research (CFR) ( email )

Albertus-Magnus Platz
Cologne, 50923
Germany

Alexander Kempf

University of Cologne - Department of Finance & Centre for Financial Research (CFR) ( email )

Cologne, 50923
Germany
+49 221 470 2714 (Phone)
+49 221 470 3992 (Fax)

Stefan Koch (Contact Author)

University of Bonn ( email )

Regina-Pacis-Weg 3
Postfach 2220
Bonn, D-53012
Germany

Erik Theissen

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

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