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

Material TypeArticleLanguageEnglish
TitleDeterminants of Expected Stock Returns: Large Sample Evidence from the German Market Author(S)Sabine Artmann (Author)
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 ...Paginationp758–784
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Business Finance & Accounting  
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