Cross-sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004-2011

Argiro Svingou ()
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Argiro Svingou: University of Patras,Department of Business Administration, Rio, 265 00, Greece.

SPOUDAI Journal of Economics and Business, 2013, vol. 63, issue 1-2, 100-120

Abstract: This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into portfolios with predefined criteria, and subsequently monthly cross sectional regressions are carried out, according to the Fama-MacBeth approach (1973). The main result of this study is that average stock returns in the ASE are not associated with the market beta (market risk) and there is not a strong relationship with any other risk factor for the stocks market value or book to market ratio.

Keywords: Cross-sectional analysis; Market beta; Size effect. (search for similar items in EconPapers)
JEL-codes: G10 G11 G14 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spd:journl:v:63:y:2013:i:1-2:p:100-120

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