Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Determinants of Cross-Sectional Stock Returns During a Turbulent Period: An Application to the Athens Stock Exchange

Leontis, Konstantinos LU (2013) BUSN89 20131
Department of Business Administration
Abstract
With this study we attempt to shed some light in the existing literature concerning the determinants of cross-sectional stock returns. In our analysis we test a turbulent period for the Athens Stock Exchange which ranges from July/2007 to June/2012. The variables we examine as potential determinants are the market beta, the market value of equity, the book-to-market value of equity, Liu’s liquidity measure over a prior six-month period, and a security’s average past returns over three and six months. After employing Fama and French’s (1992) portfolio analysis and Fama and MacBeth’s (1973) cross-sectional regressions, we end up that although there are inter-correlations among the variables under examination, none of them is proven... (More)
With this study we attempt to shed some light in the existing literature concerning the determinants of cross-sectional stock returns. In our analysis we test a turbulent period for the Athens Stock Exchange which ranges from July/2007 to June/2012. The variables we examine as potential determinants are the market beta, the market value of equity, the book-to-market value of equity, Liu’s liquidity measure over a prior six-month period, and a security’s average past returns over three and six months. After employing Fama and French’s (1992) portfolio analysis and Fama and MacBeth’s (1973) cross-sectional regressions, we end up that although there are inter-correlations among the variables under examination, none of them is proven statistically significant in order to explain the cross-section of stock returns. (Less)
Please use this url to cite or link to this publication:
author
Leontis, Konstantinos LU
supervisor
organization
course
BUSN89 20131
year
type
H1 - Master's Degree (One Year)
subject
keywords
determinants, portfolio analysis, cross-sectional regressions, Athens Stock Exchange
language
English
id
3920522
date added to LUP
2013-07-30 10:47:00
date last changed
2013-07-30 10:47:00
@misc{3920522,
  abstract     = {With this study we attempt to shed some light in the existing literature concerning the determinants of cross-sectional stock returns. In our analysis we test a turbulent period for the Athens Stock Exchange which ranges from July/2007 to June/2012. The variables we examine as potential determinants are the market beta, the market value of equity, the book-to-market value of equity, Liu’s liquidity measure over a prior six-month period, and a security’s average past returns over three and six months. After employing Fama and French’s (1992) portfolio analysis and Fama and MacBeth’s (1973) cross-sectional regressions, we end up that although there are inter-correlations among the variables under examination, none of them is proven statistically significant in order to explain the cross-section of stock returns.},
  author       = {Leontis, Konstantinos},
  keyword      = {determinants,portfolio analysis,cross-sectional regressions,Athens Stock Exchange},
  language     = {eng},
  note         = {Student Paper},
  title        = {Determinants of Cross-Sectional Stock Returns During a Turbulent Period: An Application to the Athens Stock Exchange},
  year         = {2013},
}