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The cross-Section of German stock returns : new data and new evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - 2010
test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a … ; Carhart ; Characteristics ; Risk Factors ; Value ; Size ;Momentum ; Germany …
Persistent link: https://www.econbiz.de/10008666515
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Determinants of expected stock returns : large sample evidence from the German market
Artmann, Sabine; Finter, Philipp; Kempf, Alexander - 2010
factors ; multifactor models ; Germany …
Persistent link: https://www.econbiz.de/10008666529
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Semiparametric modelling of the cross-section of expected returns in the German stock market
Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997
a comparable data set for Germany for the time period 1968-1990. We analyze this data set in order to identify a "best …/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest …
Persistent link: https://www.econbiz.de/10009661022
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Determinants of expected stock returns : large sample evidence from the German market
Artmann, Sabine; Finter, Philipp; Kempf, Alexander - 2011 - First Version: June 2009, This Version: July 2011
even slightly better. -- asset pricing ; characteristics ; risk factors ; multifactor models ; Germany …
Persistent link: https://www.econbiz.de/10009705486
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One-factor-Garch models for German stocks : estimation and forecasting
Kaiser, Thomas - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010407100
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Contagion: an empirical test
Wongswan, Jon - 2003
Persistent link: https://www.econbiz.de/10001792944
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Multifaktormodelle zur Erklärung deutscher Aktienrenditen : eine empirische Analyse
Ziegler, Andreas (contributor) - 2003
Persistent link: https://www.econbiz.de/10001822524
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Determinants of Expected Stock Returns : Large Sample Evidence from the German Market
Artmann, Sabine - 2011
This paper conducts a comprehensive asset pricing study based on a unique dataset for the German stock market. For the period 1963 to 2006 we show that value characteristics and momentum explain the cross-section of stock returns. Corresponding factor portfolios have significant premiums across...
Persistent link: https://www.econbiz.de/10013133152
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The Cross-Section of German Stock Returns : New Data and New Evidence
Artmann, Sabine - 2010
test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a …
Persistent link: https://www.econbiz.de/10013139690
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The Cross-Section of German Stock Returns : New Data and New Evidence
Artmann, Sabine - 2012
-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard CAPM, the Fama …
Persistent link: https://www.econbiz.de/10013108066