Artmann, Sabine; Finter, Philipp; Kempf, Alexander - 2011 - First Version: June 2009, This Version: July 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...