unserer Ergebnisse für eine länderspezifische Erweiterung des Capital Asset Pricing Models. … factors of standard multi-factor models. Based on the returns of all stocks listed in the German composite index CDAX (all … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …

approaches, such as linear factor models, practitioners as well as academics repeatedly return to the milestone models such as …-return relationship by comparing the power of traditional and alternative asset pricing models in explaining the cross-section of asset … returns. The focus is on unconditional models, commonly used among investors and equity analysts. This paper is based on the …

(GARCH) models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the … squared forecast error (MSE) were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural …-of-sample testing than the other ex-ante models. Although the simplest approach, constant ex-post beta, performed as well or better …

of a zero intercept for the full period. Extended tests reveal a structural change in asset prices in the year 1998. When …

assets. Our results indicate that none of the models is able to consistently explain the cross-section of returns. They also …

unserer Ergebnisse für eine länderspezifische Erweiterung des Capital Asset Pricing Models. … factors of standard multi-factor models. Based on the returns of all stocks listed in the German composite index CDAX (all … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …