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Citation link: https://media.suub.uni-bremen.de/handle/elib/5287

Publisher DOI: https://doi.org/10.1007/s40685-016-0029-4
 
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Covariances vs. characteristics: what does explain the cross section of the German stock market returns?


Other Titles: Kovarianzen vs. Merkmale: Was erklärt den Querschnitt der deutschen Aktienmarktrenditen?
Authors: Fieberg, Christian  
Varmaz, Armin  
Poddig, Thorsten 
Abstract: 
The characteristics book-to-market equity ratio, size and momentum are highly correlated with the average returns of common stocks. Fama and French (J Financ Econ 33(1):3–56, 1993), (J Finance 50(1):131–155, 1995) and (J Finance 51(1):55–84, 1996) argue (for size and the book-to-market equity ratio) that the relation between returns and characteristics arises because the characteristics are
proxies for exposures to common risk factors. We examine the question whether the
characteristics or the covariance structure of returns explain the cross-sectional
dispersion in German stock market returns. Our results suggest that widely accepted factors SMB, HML or WML are not priced.
Keywords: Asset pricing; Risk factor model; Characteristics model; German stock market returns; Stock market anomalies
Issue Date: 12-Feb-2016
Journal/Edited collection: Business Research 
Start page: 27
End page: 50
Note: April
Band: 9
Type: Artikel/Aufsatz
ISSN: 2198-3402
Institution: Hochschule Bremen 
Faculty: Hochschule Bremen / Fakultät Wirtschaftswissenschaften 
Institute: School of International Business (SiB) 
Appears in Collections:Bibliographie HS Bremen

  

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