Determinants of Cross-Sectional Stock Returns During a Turbulent Period: An Application to the Athens Stock Exchange
(2013) BUSN89 20131Department 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:
http://lup.lub.lu.se/student-papers/record/3920522
- author
- Leontis, Konstantinos LU
- supervisor
- organization
- course
- BUSN89 20131
- year
- 2013
- 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}}, 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}}, }