The Examination of a Profitability-Based Four-Factor Model to Explain Stock Returns: Empirical Evidence from the German Stock Market

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dc.contributor.author Daxhammer, Rolf J.
dc.contributor.author Kappler, Jonathan
dc.date.accessioned 2016-04-05T06:45:56Z
dc.date.available 2016-04-05T06:45:56Z
dc.date.issued 2016
dc.identifier.other 463060504 de_DE
dc.identifier.uri http://hdl.handle.net/10900/69133
dc.identifier.uri http://nbn-resolving.de/urn:nbn:de:bsz:21-dspace-691337 de_DE
dc.identifier.uri http://dx.doi.org/10.15496/publikation-10550
dc.description.abstract In a recent publication Novy-Marx (2013) finds evidence that the variable gross profitabil-ity has a strong statistical influence on the common variation of stock returns. He also points out that there is common variation in stock returns related to firm profitability that is not captured by the three-factor model of Fama and French (1993). Thus, this thesis aug-ments the three-factor model by the factor gross profitability and examines whether a prof-itability-based four-factor model is able to better explain monthly portfolio excess returns on the German stock market compared to the three-factor model of Fama and French (1993) and the Capital Asset Pricing Model (CAPM). Based on monthly stock returns of the CDAX over the period July 2008 to June 2014 this thesis documents four main findings. First, a significant positive market risk premium and a significant positive value premium can be identified. No evidence is found for a size or a profitability effect. Second, all included fac-tors have a strong significant effect on monthly portfolio excess returns. Third, the four-factor model clearly outperforms both the three-factor model of Fama and French (1993) and the CAPM in capturing the common variation in monthly portfolio excess returns. The CAPM performs worst. Finally, the results indicate that the three-factor model of Fama and French (1993) is somewhat better in explaining the cross-section of portfolio excess returns than the four-factor model. Again, the CAPM performs worst. Nevertheless, the four-factor model is considered to be an improvement over the three-factor model of Fama and French (1993) and the CAPM in determining stock returns on the German stock market. en
dc.language.iso en de_DE
dc.publisher Universität Tübingen de_DE
dc.rights ubt-podok de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_mit_pod.php?la=de de_DE
dc.rights.uri http://tobias-lib.uni-tuebingen.de/doku/lic_mit_pod.php?la=en en
dc.subject.classification Capital-Asset-Pricing-Modell , Aktienmarkt , Rendite , Risiko , Deutschland , Statistische Analyse de_DE
dc.subject.ddc 330 de_DE
dc.subject.other Capital Asset Pricing Model en
dc.subject.other Stock Market en
dc.subject.other Germany en
dc.subject.other Return en
dc.subject.other Risk en
dc.subject.other Four-Factor model en
dc.subject.other Statistical Analysis en
dc.title The Examination of a Profitability-Based Four-Factor Model to Explain Stock Returns: Empirical Evidence from the German Stock Market en
dc.type Article de_DE
utue.publikation.fachbereich Sonstige/Externe de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
utue.publikation.fakultaet 6 Wirtschafts- und Sozialwissenschaftliche Fakultät de_DE
utue.opus.portal esb-finance de_DE
utue.opus.portalzaehlung 2016.10000 de_DE
utue.publikation.source Reutlinger Diskussionsbeiträge zu Finanz- & Rechnungswesen ; 2016,1 de_DE

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