Intertemporal Market Risks and the Crossâ€“Section of Greek Average Returns
Michail Koubouros and
Ekaterini Panopoulou ()
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Michail Koubouros: Michail Koubouros, Department of Economics, University of Peloponnese and Management School, University of Liverpool, Terma Karaiskaki, 221 00 Tripolis, Greece. Eâ€“mail: email@example.com
Journal of Emerging Market Finance, 2007, vol. 6, issue 2, 203-227
This article examines whether the overall market risk, along with risks reflecting uncertainty related to the longâ€“run dynamics of market cash flows (dividends) and discount rates (returns), price average returns on singleâ€“sorted portfolios in the Greek stock market. Our results suggest that a twoâ€“beta intertemporal capital asset pricing model explains half of the crossâ€“sectional variation in average returns and delivers an economically and statistically acceptable estimate of the coefficient of relative risk aversion. Despite the relative importance of market discountâ€“rate risk, it is market dividendâ€“growth risk that turns out to be far more significant in determining average returns on Greek portfolios.
Keywords: JEL Classification: G11; JEL Classification: G12; JEL Classification: G14; CAPM; beta; cash flow risk; discount rate risk; risk aversion (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:6:y:2007:i:2:p:203-227
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