Αποτίμηση μετοχών με τη βοήθεια μακροοικονομικών παραγόντων : μελέτη των αγορών των ΗΠΑ, του Ην. Βασιλείου και της Γερμανίας
KeywordsΑποδόσεις μετοχών ; Asset pricing ; CAPM ; Fama - French ; Fama - Macbeth ; Financial anomalies ; Macroeconomic factors
The present thesis aims to study the factors that determine the cross-sectional stock returns and the examination of financial anomalies in the use of macroeconomic factors, for the three major stock markets. We examine a sample of stocks for the markets of US, United Kingdom and Germany for the period 1995-2014. In our analysis, we test the validity of CAPM and the the Fama-French models for individual stocks and for portfolios based on size and beta, according the model of Ho, Strange and Piesse (2000) extended via the use of macroeconomic variables, such as industrial production indicators, the spread of long-term and short-term interest rates, inflation and unemployment. We conclude that the results for the three markets are mixed. We confirmed the existence of financial anomalies in all markets and strong impact of the macroeconomic factors especially in the cases of the US and the United Kingdom markets. In addition, for these markets the effect of the market can not be rejected. Finally for the German equity market the results seems to support the validity of the zero-beta CAPM.