This paper explores the ability of the capital asset pricing model, as well as the firm specific factors, to explain the cross‐sectional relationship between average stock returns and risk in Athens Stock Exchange (ASE). The objective of this study is to investigate the cross‐section of stock returns in the Greek stock market for the period from July 1993 to June 2001. A methodology similar to that of Fama and French (1992) is employed, by taking into account the constraints imposed by a smaller sample both in time and in terms of number of stocks. Our findings indicate that in the Greek stock market there is not a positive relation between risk, measured by β, and average returns. On the other hand, there is a “size effect” on the cross‐sectional variation in average stock returns.
Theriou, N., Maditinos, D., Chadzoglou, P. and Anggelidis, V. (2005), "The Cross‐Section of Expected Stock Returns: An Empirical Study in the Athens Stock Exchange", Managerial Finance, Vol. 31 No. 12, pp. 58-78. https://doi.org/10.1108/03074350510770026Download as .RIS
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