Asset Pricing Factor Models in the German Stock Market

Inhaltsverzeichnis (Table of Contents)

• 1. Introduction
• 2. Fundamental theory and previous discoveries
  • 2.1 Relative classification of the German stock market in an international context
  • 2.2 The Evolution of Factor Models
  • 2.3 Model accuracy and empirical evidence of factor models.
  • 2.4 Empirical significance of the established factors....
  • 2.5 Global and Germany specific return anomalies...
• 3. Structural analysis of the German stock market..
  • 3.1 Basic characteristics and statistics.......
  • 3.2 Factor spanning tests
  • 3.3 Analysis of 3 x 3 sorting ..
  • 3.4 Analysis of 2 x 2 x2 sorting.
• 4. Analysis of anomalies in the German stock market............
  • 4.1 Descriptive statistics and significance of prominent anomalies.....
  • 4.2 Multifactor regressions of prominent anomalies .......
  • 4.3 Out-of-sample analysis of the net payout yield anomaly.
• 5. Sector analysis of the German stock market.......
  • 5.1 Descriptive statistics of sectors
  • 5.2 Multifactor regressions for relevant sectors....
  • 5.3 Rolling window regressions of two relevant sectors..
• 6. Fonds analysis of the German stock market
  • 6.1 Descriptive statistics of active and passive managed fonds...
  • 6.2 Multifactor regressions of six representative fonds
  • 6.3 Out-of-sample analysis of six representative fonds..
• 7. Conclusion........

Zielsetzung und Themenschwerpunkte (Objectives and Key Themes)

This master's thesis examines the validity of established asset pricing factor models in the German stock market. It aims to explore the relevance of traditional and more recent factors in explaining the cross-sectional return variability of German stocks. The research investigates the empirical significance of these factors in capturing market anomalies and sector-specific return patterns.

• Evaluation of asset pricing factor models in the German stock market
• Analysis of the impact of various factors on stock returns
• Investigation of return anomalies and their explanatory power
• Exploration of sector-specific return patterns and their relation to factors
• Assessment of the performance of actively and passively managed funds in the German market

Zusammenfassung der Kapitel (Chapter Summaries)

The thesis begins with a thorough introduction to the field of asset pricing factor models. It explores the historical development of these models and examines existing research on their effectiveness. Chapter 2 delves into the theoretical framework and analyzes the classification of the German stock market in a global context. It further investigates the evolution of factor models, their empirical evidence, and the significance of established factors. Chapter 3 conducts a structural analysis of the German stock market, including basic characteristics, factor spanning tests, and sorting analysis. This chapter aims to establish a foundation for further investigation of return anomalies and sector-specific patterns. Chapter 4 focuses on the analysis of return anomalies in the German market, examining their descriptive statistics, conducting multifactor regressions, and performing out-of-sample analyses. This analysis provides insights into the predictive power of the identified anomalies. Finally, Chapter 5 delves into sector analysis, examining descriptive statistics, multifactor regressions, and rolling window regressions for specific sectors, highlighting the impact of factors on sector-specific returns. The thesis excludes any information from the conclusion and final chapter to avoid revealing major conclusions or spoilers.

Schlüsselwörter (Keywords)

Asset pricing factor models, German stock market, return anomalies, cross-sectional return variability, multifactor regressions, sector analysis, active and passive funds, out-of-sample performance, value, momentum, profitability, investment, size, liquidity, net payout yield.