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

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  • Argiro Svingou

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

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    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.

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    Bibliographic Info

    Article provided by SPOUDAI Journal of Economics and Business, University of Piraeus in its journal SPOUDAI Journal of Economics and Business.

    Volume (Year): 63 (2013)
    Issue (Month): 1-2 (June)
    Pages: 100-120

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    Handle: RePEc:spd:journl:v:63:y:2013:i:1-2:p:100-120

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    Related research

    Keywords: Cross-sectional analysis; Market beta; Size effect.;

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