Η επίδραση του βήτα και της διασποράς μετοχών στις αναμενόμενες αποδόσεις μετοχών
The effect of beta and variance on expected stock returns
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Keywords
Διαχείριση χαρτοφυλακίου ; Αξιόγραφα ; Διαχείριση κινδύνου ; Συντελεστής βήτα ; Συνδιακύμανση ; Θεωρία χρησιμότητας ; ΚεφαλαιαγοράAbstract
In the context of empirical study of this current dissertation, Lakonishok and Shapiro (1984) methodology framework was applied in order to investigate stock returns with systematic and total risk level, as well as with size. Results in Germany and France for 2007-2017 period confirmed positive relationship of excess returns with both systematic and total risk, while didn’t confirm any relationship with size. Returns association with systematic risk was stronger in Germany compared to France, while risk factors affected stronger excess returns before debt crisis compared during crisis.