Testing the relation between beta and returns in the Athens stock exchange

Nikolaos Theriou; Vassilios Aggelidis; Dimitrios Maditinos; Zeljko Sevic

doi:10.1108/03074351011088441

Testing the relation between beta and returns in the Athens stock exchange

Nikolaos Theriou, Vassilios Aggelidis, Dimitrios Maditinos, Zeljko Sevic

Research output: Contribution to journal › Article

Abstract

The purpose of this paper is to examine the relationship between beta and returns in the Athens stock exchange (ASE), taking into account the difference between positive and negative market excess returns' yields. The data were taken from DataStream database and the sample period consists of 12 years divided into four six-year periods such that the test periods do not overlap. Regression analysis is applied, using both the traditional (unconditional) test procedure and the conditional approach.

Original language	English
Pages (from-to)	1043-1056
Number of pages	14
Journal	Managerial Finance
Volume	36
Issue number	12
DOIs	https://doi.org/10.1108/03074351011088441
Publication status	Published - 1 Jan 2010

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Keywords

market returns
Athens
finance
beta
stock exchange

Cite this

Theriou, N., Aggelidis, V., Maditinos, D., & Sevic, Z. (2010). Testing the relation between beta and returns in the Athens stock exchange. Managerial Finance, 36(12), 1043-1056. https://doi.org/10.1108/03074351011088441

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Documents and Links

10.1108/03074351011088441

http://researchonline.gcu.ac.uk/cbs/238