New forthcoming Publication
Abstract:
We implement the Fama-French five-factor model and enhance it with a
momentum factor for the German market using recent monthly data from 2002 to
2019. We construct the factors associated with the market, size, value, profitability, investment, and momentum for the CDAX constituents and examine to what extent this six-factor model captures the return premia in the German market. Our preliminary
analysis does not document any significant evidence on the profitability or investment
premium. The results on the six-factor model compared with the three-factor model
reveal that the additional factors do not add significant explanatory power to the analysis. We conclude that the relevance of the profitability and investment factors within the context of international asset pricing studies cannot be transferred to the country-specific case of the German market.