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The Cross-Section of German StockReturns: New Data and New Evidence
Artmann, Sabine; Finter, Philipp; Kempf, Alexander - Centre for Financial Research <Köln> - 2011
-to-market, and momentum.Second, we use this data set to perform asset pricing tests for the German equity market.Specifically, we … that the results of asset pricing tests are sensitive to the choice of test assets. …
Persistent link: https://www.econbiz.de/10009302626
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The Impact of Investor Sentiment on the German Stock Market
Finter, Philipp; Ruenzi, Stefan - Centre for Financial Research <Köln> - 2010
This paper investigates whether investor sentiment can explain stock returns on theGerman stock market. Based on a principal component analysis, we construct a senti-ment indicator that condenses information of several well-known sentiment proxies. Weshow that this indicator explains the return...
Persistent link: https://www.econbiz.de/10009302647
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Determinants of Expected Stock Returns: Large Sample Evidence fromthe German Market
Artmann, Sabine; Finter, Philipp; Kempf, Alexander - Centre for Financial Research <Köln> - 2011
This paper conducts a comprehensive asset pricing study based on a unique dataset for theGerman stock market. For the … competing asset pricing models the Fama-French 3-factor model does a poor job inexplaining average stock returns. The Carhart 4 …
Persistent link: https://www.econbiz.de/10009302649