Covariances vs. characteristics: what does explain the cross section of the German stock market returns?

Covariances vs. characteristics: what does explain the cross section of the German stock market returns?

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 equi...

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Bibliographic Details
Main Authors: Christian Fieberg, Armin Varmaz, Thorsten Poddig
Format: Article
Language:English
Published: Springer 2016-02-01
Series:Business Research
Subjects:
Asset pricing
Risk factor model
Characteristics model
German stock market returns
Stock market anomalies
Online Access:http://link.springer.com/article/10.1007/s40685-016-0029-4

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http://link.springer.com/article/10.1007/s40685-016-0029-4

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