The 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.
(EN)
Social Sciences ▶ Economics and Business Finance
(EN)
University of Peiraeus
