significant impact on asset-pricing test results. We also show that, in data with wider coverage with respect to size, the Fama … and French factor portfolios need to be adjusted and their number increased. Specifically, (i) standard asset …

-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard cAPM, the Fama-French …

test the standard CAPM, the Fama-French three-factor model, and the Carhart four-factor model. Our tests are based on a … momentum factor) as well as returns of portfolios which are single- and double-sorted according to market beta, size, book …-to-market, and momentum. Second, we use this data set to perform asset pricing tests for the German equity market. Specifically, we …

earnings-price ratio and market value, however, pose a special challenge. We find that an unconditional inter national CAPM …

, this paper identifies and documents a post-1980s size effect which is persistent, not picked up by a Fama–French-style SMB …, financial distress risk, missing book values, momentum, liquidity risk, changing business conditions, January effect, exchange …

-Marktwert-Verhältnis, durch ein Dreifaktorenmodell nach Fama French (1993) substantiell besser erklärt werden, als durch ein Einfaktormodell in … by Fama/French (1993) or Carhart (1997) than by the one-factor model based on the standard Capital Asset Pricing Model … Substanzprämie (Value Premium) und eine signifikant positive Momentumprämie (Momentum Premium). Zweitens zeigen sich alle vier …