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~person:"Artmann, Sabine"
~person:"Campbell, John Y."
~subject:"Share price"
~type_genre:"Non-commercial literature"
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Artmann, Sabine
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1
Determinants of expected stock returns : large sample evidence from the German market
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 … competing
asset
pricing
models the Fama-French 3-factor model does a poor job in explaining average stock returns. The Carhart 4 … even slightly better. --
asset
pricing
; characteristics ; risk factors ; multifactor models ; Germany …
Persistent link: https://www.econbiz.de/10009705486
Saved in:
2
The cross-Section of German stock returns : new data and new evidence
Artmann, Sabine
;
Finter, Philipp
;
Kempf, Alexander
; …
-
2010
-to-market, and momentum. Second, we use this data set to perform
asset
pricing
tests for the German equity market. Specifically, we … demonstrate that the results of
asset
pricing
tests are sensitive to the choice of test assets. --
Asset
Pricing
; Fama ; French …
Persistent link: https://www.econbiz.de/10008666515
Saved in:
3
Determinants of expected stock returns : large sample evidence from the German market
Artmann, Sabine
;
Finter, Philipp
;
Kempf, Alexander
-
2010
This paper conducts a comprehensive
asset
pricing
study based on a unique dataset for the German stock market. For the … characteristic-based test assets. In a horse race of competing
asset
pricing
models the Fama-French 3-factor model does a poor job in …-factor model containing an earnings-to-price factor instead of a size factor. --
asset
pricing
; characteristics ; risk …
Persistent link: https://www.econbiz.de/10008666529
Saved in:
4
Hard times
Campbell, John Y.
;
Giglio, Stefano
;
Polk, Christopher
-
2010
, estimated imposing the cross-sectional restrictions of the intertemporal capital
asset
pricing
model (ICAPM). As stock returns …
Persistent link: https://www.econbiz.de/10003995034
Saved in:
5
Where do betas come from? : asset price dynamics and the sources of systematic risk
Campbell, John Y.
-
1993
Persistent link: https://www.econbiz.de/10000860454
Saved in:
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