Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - 2011 - Diese Version: 14. November 2011
For the last 15 years, the German stock market has been facing substantial changes that resulted in increasing … four major results: First, we find an insignificant (positive) market risk premium, a significant negative size premium, a … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …