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.

我们实施 Fama-French 五因素模型，并使用 2002 年至 2019 年的最新月度数据，通过德国市场的动量因素对其进行增强。我们构建了与市场、规模、价值、盈利能力、投资和动量相关的因素CDAX 成分股，并检查这个六因素模型在多大程度上捕获了德国市场的回报溢价。我们的初步分析没有记录任何有关盈利能力或投资溢价的重要证据。

与三因素模型相比，六因素模型的结果表明，附加因素并没有为分析增加显着的解释力。我们的结论是，国际资产定价研究背景下的盈利能力和投资因素的相关性不能转移到德国市场的具体国家案例中。