arbiter
JournalsPricingAccount

The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market

Philipp Dirkx & Franziska J. Peter

Schmalenbach Business Review2020https://doi.org/10.1007/s41464-020-00105-yarticle
AJG 2
Weight
0.75

What the paper says

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.

71 citations

Open paper page →

Cite this paper

https://doi.org/https://doi.org/10.1007/s41464-020-00105-y

Or copy a formatted citation

@article{philipp2020,
  title        = {{The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market}},
  author       = {Philipp Dirkx & Franziska J. Peter},
  journal      = {Schmalenbach Business Review},
  year         = {2020},
  doi          = {https://doi.org/https://doi.org/10.1007/s41464-020-00105-y},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

The Fama-French Five-Factor Model Plus Momentum: Evidence for the German Market

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.75

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact1.00 × 0.4 = 0.40
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.