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

Schmalenbach Business Review, Vol. 64, January 2012, pp. 20-43

24 Pages Posted: 4 Apr 2012

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 - The Bonn Graduate School of Economics

Erik Theissen

University of Mannheim - Finance Area

Multiple version iconThere are 2 versions of this paper

Date Written: January 15, 2012

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.

Keywords: Asset Pricing, Carhart, Fama, French, Germany, Characteristics, Momentum, Risk Factors, Size, Value

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 (January 15, 2012). Schmalenbach Business Review, Vol. 64, January 2012, pp. 20-43. Available at SSRN: https://ssrn.com/abstract=2034495

Sabine Artmann (Contact Author)

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

University of Bonn - The Bonn Graduate School of Economics ( email )

Adenauerallee 24-26
Bonn, D-53113
Germany

Erik Theissen

University of Mannheim - Finance Area ( email )

Mannheim, 68131
Germany

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