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

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.