Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System

Breig, Christoph; Elsas, Ralf

doi:10.2139/ssrn.1102441

Cited by 11 publications

(4 citation statements)

References 30 publications

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“…An analysis of the German stock market with respect to a large cap constrained investment set proofs particularly interesting in the light of previous research. Most recently Artmann, Finter, Kempf, Koch, and Theissen (2012) analyse the cross section of stock returns and find-consistent with earlier studies by Schlag and Wohlschieß (1997) and Breig and Elsas (2009)-no evidence for a size premium. However, they also suggest that results are very sensitive two the sample period, as studies by Stehle (1997) and Wallmeier (2000) did observe a statistically significant size effect.…”

Section: Sample Data and Metricssupporting

confidence: 66%

Value Investing with Firm Size Restrictions: Evidence for the German Stock Market

Kaiser¹

2014

IJEF

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Recent findings by Fama and French (2012) report a decreasing pattern of value premia alongside an increase in firm size. Large trading volumes of value investors often restrict their investment possibilities to large, liquid stocks and raise a serious issue if large cap value premia are diminishing. Thereon, we test for the existence of value premia with respect to seven fundamental metrics subject to a large cap sample restriction. We provide evidence for the German stock market and observe statistically significant Carhart alphas across all tested value metrics between 1988 until 2012, even after accounting for the total market HML risk factor. Finally, we look at pre-and post-rebalancing months and observe significantly negative value premia before rebalancing and an opposite pattern for past rebalancing returns. Furthermore, we identify calendar effects for value premia when considering a 12-month holding period.

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Section: Sample Data and Metricssupporting

confidence: 66%

Value Investing with Firm Size Restrictions: Evidence for the German Stock Market

Kaiser¹

2014

IJEF

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“…Previous studies by Schlag and Wohlschieß (1997), Breig and Elsas (2009), Artmann et al (2012a) and (b) reject the existence of a size effect. Furthermore, Schrimpf et al (2007) and Artmann et al (2012b) show that SMB only plays, if any, a minor role for explaining the German cross section of stock returns.…”

Section: Resultsmentioning

confidence: 87%

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

Fieberg

Varmaz

Poddig

2016

Bus Res

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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.

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“…Koch (2009b) finds that illiquidity is positively priced, but the results heavily rely on the choice of test assets. Breig and Elsas (2009) investigate whether a factor associated with default risk is priced in the cross‐section of German stock returns. Using different measures for default risk they show that this is not the case.…”

Section: Introductionmentioning

confidence: 99%

Determinants of Expected Stock Returns: Large Sample Evidence from the German Market

Artmann¹,

Finter²,

Kempf

2012

Business Fin & Account

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: This paper conducts a comprehensive asset pricing study based on a unique dataset for the German stock market. For the period 1963 to 2006 we show that value characteristics and momentum explain the cross‐section of stock returns. Corresponding factor portfolios have significant premiums across various double‐sorted characteristic‐based test assets. In a horse race of competing asset pricing models, the Fama‐French 3‐factor model does a poor job in explaining average stock returns. The Carhart 4‐factor model performs much better, but a 4‐factor model containing an earnings‐to‐price factor instead of a size factor does even slightly better.

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Default Risk and Equity Returns: A Comparison of the Bank-Based German and the U.S. Financial System

Cited by 11 publications

References 30 publications

Value Investing with Firm Size Restrictions: Evidence for the German Stock Market

Value Investing with Firm Size Restrictions: Evidence for the German Stock Market

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

Determinants of Expected Stock Returns: Large Sample Evidence from the German Market

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