This paper serves two purposes. First, we introduce a new data set on the German stock marketwhich is publicly available to all researchers. It comprises factor returns (a market factor, asize factor, a book-to-market factor, and a momentum factor) as well as returns of portfolioswhich are...

This paper conducts a comprehensive asset pricing study based on a unique dataset for theGerman stock market. For the period 1963 to 2006 we show that value characteristics andmomentum explain the cross-section of stock returns. Corresponding factor portfolios havesignificant premiums across...