Kiesel, Florian; Lübbering, Andreas; Schiereck, Dirk - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 3, pp. 389-420
This article applies the alternative three-factor model introduced by Chen / Novy-Marx / Zhang (2010) to the German stock market for the sample period of 2004 through 2015. We construct two new factors INV ("investment") and ROA ("return on assets") for companies listed on the highest segment of...
