Fama and French Three-Factor model: application to Greek Stock Market.

Fama and French Three-Factor model: application to Greek Stock Market.

URI: https://www.openarchives.gr/aggregator-openarchives/edm/psepheda/000004-2159_14863
RDF/XML JSON-LD

This item is provided by the institution :
University of Macedonia

Repository :
Psepheda - Digital Library and Institutional Repository

see the original item page
in the repository's web site and access all digital files if the item^*

Title

Fama and French Three-Factor model: application to Greek Stock Market. (EN)

Creator

Μανωλάκης, Βαλσάμης (EL)

Manolakis, Valsamis (EN)

Contributor

Παναγιωτίδης, Θεόδωρος (EL)

Type

Electronic Thesis or Dissertation (EN)

Text (EN)

Thesis
Master thesis (EN)

Issued

2012-03-15T20:25:43Z

2012 (EL)

Year

2012 (EN)

Description

Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2012. (EL)

Submitted by Manolakis Valsamis ([email protected]) on 2012-03-09T15:18:11Z No. of bitstreams: 1 Diplomatiki.zip: 1400931 bytes, checksum: 912642465af73fa4575885bd33549e6c (MD5) (EN)

Made available in DSpace on 2012-03-15T20:25:43Z (GMT). No. of bitstreams: 1 Diplomatiki.zip: 1400931 bytes, checksum: 912642465af73fa4575885bd33549e6c (MD5) Previous issue date: 2012 (EN)

This study empirically examines the Fama and French three-factor model of stock returns for Greek stock market. We find evidence of market, size and book-to-market explanatory power for Greek stock returns. We use time series regression and find that mean returns are explained by exposures to these three factors and not only the market factor alone. We also estimate the model using non-linear methods, like GARCH model, and we find consistency with linear regression models. The empirical results, as whole, are reasonably consistent with the Fama and French three-factor model. (EN)

Approved for entry into archive by Παναγιώτα Πατραγκού([email protected]) on 2012-03-15T20:25:43Z (GMT) No. of bitstreams: 1 Diplomatiki.zip: 1400931 bytes, checksum: 912642465af73fa4575885bd33549e6c (MD5) (EN)

Scientific field

Social Sciences
Economics and Business (EN)

Subject

Fama-French three-factor model (EN)

Greek stock market (EN)

Publisher

Πανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημών (EL)

School / Department / Institute

Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη (EL)

University of Macedonia