Intertemporal Market Risks and the Cross–Section of Greek Average Returns
نویسندگان
چکیده
منابع مشابه
Intertemporal Market Risks and the Cross-Section of Greek Average Returns
This paper examines whether the overall market risk along with risks reecting uncertainty related to the long run dynamics of market cash ows (dividends) and discount rates (returns) price average returns on single-sorted portfolios of the Greek stock market. Following Campbell and Vuolteenaho (American Economic Review, 2004) we check whether these two types of risk provide an empirical impro...
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This paper examines whether the overall market risk, along with risks re ecting uncertainty related to the long run dynamics of market cash ows (dividends) and discount rates (returns), price average returns on single-sorted portfolios in the Greek stock market. Our results suggest that a two-beta intertemporal capital asset pricing model explains half of the cross-sectional variation in averag...
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ژورنال
عنوان ژورنال: Journal of Emerging Market Finance
سال: 2007
ISSN: 0972-6527,0973-0710
DOI: 10.1177/097265270700600204