Size and Market Anomalies

G. Karathannasis and N. Phlilipas

European Research Studies Journal, 1998, vol. I, issue 4, 61-73

Abstract: The paper examines the market model's underlying assumptions using data from the Athens Stock Exchange. It is found that there are significant distortions in the traditional market model. The Market Model is applied to subsamples of data in order to determine the extent to which the various market anomalies vary with size.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:ers:journl:v:i:y:1998:i:4:p:61-73

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