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Application of the Fama and French Three-Factor-Model to the Greek Stock Market

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University of Macedonia   

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Application of the Fama and French Three-Factor-Model to the Greek Stock Market (EN)
Maris, Georgios (EN)
Zapranis, Achilleas (EN)
Electronic Thesis or Dissertation (EN)
Text (EN)
2009-11-02T07:32:20Z
2009 (EN)
Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2009. (EL)
This thesis investigates the robustness of the Fama and French Three-Factor-Model on the Greek stock market for the period July 1999 to June 2009. It continues the out of sample tests of the model conducted by Malin and Veeraraghavan (2004). The test follows the time series regression approach of Black, Jensen and Scholes (1972). Monthly portfolio returns are regressed on three factors (market, size, BE/ME ratio). We document negative excess market returns probably because of the two major bear market rallies that took place in the beginning and in the ending of the sample period. We also find a big firm effect in contrast to Fama and French (1996) and Malin and Veeraraghavan (2004) who observe small firm effects. Finally, we observe a value effect that is consistent with Fama and French (1996) findings in the U.S. market. However, the portfolios constructed under this model have insignificant market, size and value premia, a finding that seriously questions the validity of the model in the Greek market. In addition, diagnostic tests of the model reveal serious flaws that should be addressed before reaching safe conclusions. Further testing across subperiods should be conducted in order to check parameter stability because there are many indications that structural breaks have taken place during the sample period. For the time being we suggest the model not to be used for making investment decisions in the Greek stock market. (EN)
Approved for entry into archive by eugenia panayiotopoulou([email protected]) on 2009-11-02T07:32:20Z (GMT) No. of bitstreams: 1 Maris Georgios (2009).pdf: 2080312 bytes, checksum: a82726f5290b5022840c59985061b925 (MD5) (EN)
Made available in DSpace on 2009-11-02T07:32:20Z (GMT). No. of bitstreams: 1 Maris Georgios (2009).pdf: 2080312 bytes, checksum: a82726f5290b5022840c59985061b925 (MD5) Previous issue date: 2009 (EN)
Submitted by Georgios Maris ([email protected]) on 2009-10-31T10:11:25Z No. of bitstreams: 1 Maris Georgios (2009).pdf: 2080312 bytes, checksum: a82726f5290b5022840c59985061b925 (MD5) (EN)
CAPM (EN)
Return generating process (EN)
Three-Factor-Model (EN)
Fama and French (EN)
Athens Stock Exchange (EN)
Πανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημών (EL)
Πρόγραμμα Μεταπτυχιακών Σπουδών Λογιστική & Χρηματοοικονομική (EL)
University of Macedonia
Psepheda - Digital Library and Institutional Repository
Ερευνητικές εργασίες φοιτητών / Students’ research papers
Διπλωματικές Εργασίες / Master’s Theses
Ιδρυματικό Καταθετήριο/Institutional Repository
ΠΜΣ Λογιστική & Χρηματοοικονομική (M)



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