Please use this identifier to cite or link to this item: http://dspace.lib.uom.gr/handle/2159/13594
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dc.contributor.advisorZapranis, Achilleasen
dc.contributor.authorMaris, Georgiosen
dc.date.accessioned2009-11-02T07:32:20Z-
dc.date.available2009-11-02T07:32:20Z-
dc.date.issued2009en
dc.identifier.urihttp://dspace.lib.uom.gr/handle/2159/13594-
dc.descriptionΔιπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2009.el
dc.description.abstractThis 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
dc.format.extent58 σ.el
dc.format.extent2080312 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoenen
dc.publisherΠανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημώνel
dc.subjectThree-Factor-Modelen
dc.subjectFama and Frenchen
dc.subjectCAPMen
dc.subjectAthens Stock Exchangeen
dc.subjectReturn generating processen
dc.titleApplication of the Fama and French Three-Factor-Model to the Greek Stock Marketen
dc.typeElectronic Thesis or Dissertationen
dc.typeTexten
dc.contributor.departmentΠρόγραμμα Μεταπτυχιακών Σπουδών Λογιστική & Χρηματοοικονομικήel
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