TAILIEUCHUNG - Determinants of Expected Stock Returns: Large Sample Evidence from the German Market

Schroe der, Bar kley, and Schroe der did not re- port price elas tici ties or the ef fects of other struc- tural changes on per cap ita con sump tion. Del gado and Cour bois (1998) es ti mated ex pen di ture, price, and ur bani za tion elas tici ties based on data from 64 de vel op ing coun tries for 1970–95. They used a sys tem of equa tions that sorted out rela tive price effects among ani mal prod ucts and that con trolled for many cul tural, geo graphic, physi cal, and eco - nomic dif fer ences be tween. | CFR-working Paper NO. 10-01 Determinants of expected Stock Returns Large sanpie evidence from the Gernan Market s. Artnann P. Finter A. Kempf Determinants of Expected Stock Returns Large Sample Evidence from the German Market Sabine Artmann Philipp Finter and Alexander Kempf First Version June 2009 This Version July 2011 Abstract 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 various double-sorted characteristic-based test assets. In a horse race of competing asset pricing models the Fama-French 3-factor model does a poor job in explaining average stock returns. The Carhart 4-factor model performs much better but a 4-factor model containing an earnings-to-price factor instead of a size factor does even slightly better. JEL-Classification Codes G12 Keywords asset pricing characteristics risk factors multifactor models Germany Artmann Finter finter@ and Kempf kempf@ are with the Department of Finance University of Cologne Albertus-Magnus-Platz 50923 Cologne Germany phone 49-221-470-2714. Philipp Finter and Alexander Kempf are also at the Centre for Financial Research CFR at the University of Cologne Albertus-Magnus Platz 50923 Cologne Germany. We gratefully acknowledge financial support from the Centre for Financial Research CFR . 1 Determinants of Expected Stock Returns Large Sample Evidence from the German Market Abstract 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 various double-sorted characteristic-based test assets. In a horse race of .

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