Size, Value and Mispricing in the Greek Stock Market
Posted: 28 Aug 2005
Date Written: August 2005
This paper examines the time series relationship between portfolio specific variables (such as size, book-to-market and dividend yields) and portfolio returns using data from the Greek stock market from 1991 to 2003. Using a conditional version of the three-factor Fama-French (1993) asset pricing model, we find that the predictive power of these variables emerges from their strong comovement with assets' exposures to aggregate value and size related risks rather than to mispricing. Our results indicate that Athens Stock Exchange returns were driven by a rational risk story that allows firm characteristics to track changes in time-varying discount rates through changes in risk.
Keywords: Size, Book-to-Market, Dividend Yield, Betas, A.S.E.
JEL Classification: G10, G12
Suggested Citation: Suggested Citation