EconPapers    
Economics at your fingertips  
 

Factors affecting expected stock returns: evidence from the secondary and tertiary sectors of the Athens stock exchange

Panagiotis Artikis (), Sotirios G. Vrakas and Eustathia D. Karmi

International Journal of Financial Services Management, 2010, vol. 4, issue 3, 175-198

Abstract: The present study investigates the effect of systematic risk, size and value on the returns of stocks of the secondary and the tertiary sector of the Athens Stock Exchange. The holdout sample is divided in two sub-samples, for the period 1997–2006. The methodology employed is the time-series approach and the Capital Asset Pricing Model (CAPM) and the Fama and French Three Factor Model are applied. Monthly returns on portfolios of stocks are regressed against the returns of a market portfolio of stocks and mimicking portfolios for size and book-to-market equity. The results seem to be supportive of the 3FM model in both sectors. The 3FM has significant power in capturing the variation of average stock returns. Furthermore, it yields more precise estimates as compared to the CAPM. However, the results of the empirical tests agree that these three factors do not constitute a parsimonious set of explanatory variables.

Keywords: asset pricing models; Fama and French; Three Factor Model; CAPM; Capital Asset Pricing Model; Athens Stock Exchange; expected stock returns. (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.inderscience.com/link.php?id=34551 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijfsmg:v:4:y:2010:i:3:p:175-198

Access Statistics for this article

More articles in International Journal of Financial Services Management from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().

 
Page updated 2022-06-02
Handle: RePEc:ids:ijfsmg:v:4:y:2010:i:3:p:175-198