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

Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - In: Schmalenbach Business Review (sbr) 64 (2012) 1, pp. 20-43

-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/10010548163

The cross-Section of German stock returns: New data and new evidence

Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - Institut für Finanzmarktforschung, Wirtschafts- und … - 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/10008684975

Evaluating conditional asset pricing models for the German stock market

Schrimpf, Andreas; Schröder, Michael; Stehle, Richard - 2006

. Our test assets are portfolios sorted by size and book-to-market as in the paper by Fama and French (1993). Our results … variable is able to explain the cross-section of German stock returns about as well as the Fama-French model. Structural break … tests do not indicate parameter instability of the model - whereas the reverse is found for the Fama-French model …

Persistent link: https://www.econbiz.de/10010297814

Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010298290

Revisiting the home bias puzzle: Downside equity risk

Campbell, Rachel A.; Kräussl, Roman - 2006

Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the...

Persistent link: https://www.econbiz.de/10010298345

Cash flow and discount rate risk in up and down markets: What is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

Persistent link: https://www.econbiz.de/10010303697

Investment Behavior and the Small Firm Effect

Sweeney, Robert J.; Scherer, Robert F.; Goulet, Janet; … - In: Journal of Entrepreneurial and Small Business Finance 5 (1996) 3, pp. 251-269

Our purpose in this review is to develop one explanation of market behavior which is consistent with the many empirical findings that appear to be inconsistent with the market efficiency hypothesis. To date, researchers have attempted to reconcile their empirical results with market efficiency...

Persistent link: https://www.econbiz.de/10011310369

Daily Market News Sentiment and Stock Prices

Allen, David E.; McAleer, Michael; Singh, Abhay K. - 2015

an augmented Fama French Three Factor Model to evaluate the additional effects of financial news sentiment on stock …

Persistent link: https://www.econbiz.de/10011403551

Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Franke, Günter; Weber, Martin - 2001

Persistent link: https://www.econbiz.de/10010324093

Selection in asset markets: The good, the bad, and the unknown

Bottazzi, Giulio; Dindo, Pietro - 2011

We provide simple examples to illustrate how wealth-driven selection works in asset markets. Our examples deliver both good and bad news. The good news is that if individual assets demands are expressed as a fractions of wealth to be invested in each asset, e.g. because traders maximize an...

Persistent link: https://www.econbiz.de/10010328472

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