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

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  • Sabine Artmann
  • Philipp Finter
  • Alexander Kempf
  • Stefan Koch
  • Erik Theissen

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.

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Bibliographic Info

Article provided by LMU Munich School of Management in its journal Schmalenbach Business Review.

Volume (Year): 64 (2012)
Issue (Month): 1 (January)
Pages: 20-43

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Handle: RePEc:sbr:abstra:v:64:y:2012:i:1:p:20-43

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

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Citations

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Cited by:
  1. Bohl, Martin T. & Kaufmann, Philipp & Stephan, Patrick M., 2013. "From hero to zero: Evidence of performance reversal and speculative bubbles in German renewable energy stocks," Energy Economics, Elsevier, vol. 37(C), pages 40-51.
  2. Matthias Bank & Martin Larch & Georg Peter, 2011. "Google search volume and its influence on liquidity and returns of German stocks," Financial Markets and Portfolio Management, Springer, vol. 25(3), pages 239-264, September.
  3. Benjamin R. Auer, 2012. "Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 232(5), pages 518-544, September.
  4. Cuthbertson, Keith & Nitzsche, Dirk, 2013. "Performance, stock selection and market timing of the German equity mutual fund industry," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 86-101.

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