The Cross-Section of Expected Stock Returns: An Empirical Study in the Athens Stock Exchange

摘要

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.