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    International Market Risk and Cross-section of Greek Average Returns


    Panopoulou, Dr. Ekaterini and Koubouros, Michail (2006) International Market Risk and Cross-section of Greek Average Returns. UNSPECIFIED. (Unpublished)

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    Abstract

    This paper examines wheather the overall market risk along with risks reflecting uncertanty related to the long run dynamic of market cash flows (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 wheather these two tpyes of risk provide an empricical improvement over the static CAPM and if cash -flow risk is more inportant than discount-rate risk, as a rationall-CAPM risk story would perdict. Our results suggest that the two-beta intertemporal model performs at least as well as the Fama-French (Journal of Financial Economics, 1993) three factor model since it explains half of the cross-sectional variation in average returns and delivers an economically and statistically acceptable estimate of the coefficient of relative risk averation. More importantly, dispite the relative importance of market discount-rate risk, it is market dividend-growth risk that turns out to be for more inportant in determing average returns on Greek protfolios.

    Item Type: Other
    Commentary on: Panopoulou, Dr. Ekaterini and Koubouros, Michail (2005) Intertemporal Market Risk and Cross-section of Greek Average Returns. UNSPECIFIED. (Unpublished)
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 287
    Depositing User: Ms Sandra Doherty
    Date Deposited: 16 Mar 2006
    Refereed: No
    URI:
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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