THE CROSS-SECTION OF GERMAN STOCK RETURNS: NEW DATA AND NEW EVIDENCE.

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) four-factor model. Our tests are based on a more comprehensive data set than are earlier studies. We investigate the sensitivity of our results to the choice of test assets. Our results indicate that none of the models can consistently explain the cross-section of returns, and that the results of asset-pricing tests are sensitive to the choice of test assets. [ABSTRACT FROM AUTHOR]