Artmann, Sabine; Finter, Philipp; Kempf, Alexander; … - In: Schmalenbach Business Review (sbr) 64 (2012) 1, pp. 20-43
We introduce a new data set that comprises factor returns and returns of portfolios that are single- and double-sorted. We use this data set to perform asset-pricing tests for the german equity market. We test the standard cAPM, the Fama-French (1993) three-factor model, and the carhart (1997)...