We thank Theofanis Archontakis, Erik Lüders, Emanuel Mönch, Waldemar Rotfuss and seminar participants at Humboldt University Berlin, the joint finance seminar of the Universities of Cologne and Tübingen 2006, the annual meetings of the European Financial Management Association (EFMA, Madrid) 2006, the German Finance Association (DGF, Östrich-Winkel) 2006 and the Swiss Society for Financial Market Research (SGF, Zürich) 2007 for helpful comments and discussions. We are also grateful to an anonymous referee and the editor, John Doukas, for their valuable comments. In particular, we want to thank Anja Schulz for substantial assistance with data construction and Stefan Frey and Joachim Grammig for helpful advice and providing us with their GMM library for Gauss. Access to the German bond database of Wolfgang Bühler, University of Mannheim, is gratefully acknowledged. Zohal Hessami provided excellent research assistance. This research benefited from financial support of Fritz Thyssen Foundation. Earlier versions of the paper were circulated under the title ‘Evaluating conditional asset pricing models for the German stock’ market. The usual disclaimer applies.
Cross-sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market
Article first published online: 23 OCT 2007
European Financial Management
Volume 13, Issue 5, pages 880–907, November 2007
How to Cite
Schrimpf, A., Schröder, M. and Stehle, R. (2007), Cross-sectional Tests of Conditional Asset Pricing Models: Evidence from the German Stock Market. European Financial Management, 13: 880–907. doi: 10.1111/j.1468-036X.2007.00401.x
- Issue published online: 23 OCT 2007
- Article first published online: 23 OCT 2007
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