Please use this identifier to cite or link to this item:
Author: Μανωλάκης, Βαλσάμης
Manolakis, Valsamis
Title: Fama and French Three-Factor model: application to Greek Stock Market.
Date Issued: 2012
Department: Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη
Supervisor: Παναγιωτίδης, Θεόδωρος
Abstract: 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.
Keywords: Greek stock market
Fama-French three-factor model
Information: Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2012.
Appears in Collections:ΔΠΜΣ Οικονομική Επιστήμη (M)

Files in This Item:
File Description SizeFormat 
ManolakisValsamisMsc2012.pdf1.46 MBAdobe PDFView/Open
ManolakisValsamisMsc2012extra.zipΣυνοδευτικό υλικό27.13 kBzipView/Open

Items in Psepheda are protected by copyright, with all rights reserved, unless otherwise indicated.