German Abstract: Das im Jahre 1993 veröffentlichte Fama-French-Modell ist heute zum Standardmodell zur Erklärung von Aktienrenditen geworden. Trotz seiner eher unbefriedigenden theoretischen Fundierung und seiner empirischen Schwächen hat sich bislang kein Alternativmodell etabliert....

Over the last two decades, alternative expected return proxies have been proposed with substantially lower variation than realized returns. This helped to reduce parameter uncertainty and to identify many seemingly robust relations between expected returns and variables of interest, which would...

Using a large data set of companies from 16 European countries over the period between January 1994 and May 2011, we estimate the equity risk premiums applying an implied cost of capital approach. We find estimates that are consistently larger than those in previous studies, ranging from 4.4% to...

This internet appendix provides simulation results that compare the Bayesian model averaging approach (BMA) with alternative proxy selection approaches. For more information, refer to the main paper.The paper "Model Uncertainty and Expected Return Proxies'" to which these Appendices apply is...

Over the last two decades, alternative expected return proxies have been proposed with substantially lower variation than realized returns. This helped to reduce parameter uncertainty and to identify many seemingly robust relations between expected returns and variables of interest, which would...

This paper shows that low-risk stocks significantly outperform high-risk stocks in the local China A-share market. The main driver of this low-risk anomaly is volatility, and not beta. A Fama–French style VOL factor is not explained by the Fama–French–Carhart factors, and has the strongest...