Καρανίκας, ΕυάγγελοςThe cross-sectional relationship between firm-specific characteristics and average stock returns has attracted a significant amount of attention in the financial literature, especially in the U.S. Because these patterns are not explained by the CAPM, they are called CAPM regularities or anomalies. This paper provides evidence on the role of size, book-to-market ratio and dividend yields on average stock returns in the ASE for the period from January 1991 to March 1997. Following Fama and MacBeth's cross-sectional regression methodology enhanced with Shanken's adjustments for the Errors In Variables problem, a statistically significant positive relationship between the book-to-market ratio, dividend yield and average stock returns is reported. The market capitalisation variable ("size effect") does not seem to explain a significant part of the variation in average returns.application/pdfhttps://spoudai.unipi.gr/index.php/spoudai/article/view/1113engUniversity of PiraeusCopyright (c) 2000 SPOUDAI - Journal of Economics and Business1105-8919Σπουδαί - Journal of Economics and Business2241-424XSPOUDAI - Journal of Economics and Business; Vol 50, No 1-2 (2000); 40-57Διαχείριση χαρτοφυλακίουΚεφαλαιαγοράΑγορά χρήματοςPricesCapital marketPortfolio managementCAPM regularities for the Athens Stock ExchangeCAPM regularities for the Athens Stock Exchangeinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersion2000-01-01Δημοσίευση σε περιοδικόPublication in journalΧρηματοοικονομικάFinanceisi - Business, Finance covers resources primarily concerned with financial and economic correlations, accounting, financial management, investment strategies, the international monetary system, insurance, taxation, and banking.Επιστημονικό άρθροScientific articleΠανεπιστήμιο ΠειραιώςGreek Aggregator OpenArchives.gr | National Documentation Centre (EKT)other