Επανεξέταση της επίδρασης του μεγέθους της επιχείρησης στις αποδόσεις των μετοχών, σε περιόδους οικονομικής κρίσης
Master Thesis
Author
Αντωνοπούλου, Ευθυμία Γ.
Date
2011-09-28View/ Open
Subject
Μετοχές -- Στατιστικές μέθοδοι ; Επιχειρήσεις -- Χρηματοοικονομική διοίκηση ; Επενδύσεις ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλαAbstract
According to Capital Asset Pricing Model (CAPM), the only factor that affects stock returns is systematic risk. However, a great number of empirical studies have provided evidence that certain firm specific parameters, such as size, are related to returns. Within the framework of the present study, we attempt to test the possibility that a size effect exist in the Athens Stock Exchange. The findings of our empirical work do not support that such an effect exists. Moreover, they provide evidence against the validity of the CAPM. Given that the Modern Portfolio Theory asserts that CAPM is valid only in efficient markets, the above evidence might be interpreted as an indication of the inefficiency of the Athens capital market.