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http://dspace.lib.uom.gr/handle/2159/14863
Full metadata record
DC Field | Value | Language |
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dc.contributor.advisor | Παναγιωτίδης, Θεόδωρος | el |
dc.contributor.author | Μανωλάκης, Βαλσάμης | el |
dc.contributor.author | Manolakis, Valsamis | en |
dc.date.accessioned | 2012-03-15T20:25:43Z | - |
dc.date.available | 2012-03-15T20:25:43Z | - |
dc.date.issued | 2012 | el |
dc.identifier.uri | http://dspace.lib.uom.gr/handle/2159/14863 | - |
dc.description | Διπλωματική εργασία--Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη, 2012. | el |
dc.description.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. | en |
dc.format.extent | 56 | el |
dc.format.extent | 1400931 bytes | - |
dc.format.mimetype | application/winzip | - |
dc.language.iso | en | en |
dc.publisher | Πανεπιστήμιο Μακεδονίας Οικονομικών και Κοινωνικών Επιστημών | el |
dc.subject | Greek stock market | en |
dc.subject | Fama-French three-factor model | en |
dc.title | Fama and French Three-Factor model: application to Greek Stock Market. | en |
dc.type | Electronic Thesis or Dissertation | en |
dc.type | Text | en |
dc.contributor.department | Διατμηματικό Πρόγραμμα Μεταπτυχιακών Σπουδών στην Οικονομική Επιστήμη | el |
Appears in Collections: | ΔΠΜΣ Οικονομική Επιστήμη (M) |
Files in This Item:
File | Description | Size | Format | |
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ManolakisValsamisMsc2012.pdf | 1.46 MB | Adobe PDF | View/Open | |
ManolakisValsamisMsc2012extra.zip | Συνοδευτικό υλικό | 27.13 kB | zip | View/Open |
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