This paper shows that standard multifactor asset pricing models provide an adequate description of excess returns on stock indexes of German industrial sectors. The only exception is the banking sector index. It offers lower monthly excess returns than suggested by exposures to risk factors in the sample period from 1973 to 2014. This evidence is robust to various changes in the specification of the empirical model. Rolling time window regressions highlight that this finding has been most pronounced since the peak of the global financial crisis in 2008/2009 when the government guarantee for big, systemically important German banks became explicit.