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

Nikolaos Theriou, Vassilios Aggelidis, Dimitrios Maditinos, Zeljko Sevic

    Research output: Contribution to journalArticle

    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 languageEnglish
    Pages (from-to)1043-1056
    Number of pages14
    JournalManagerial Finance
    Volume36
    Issue number12
    DOIs
    Publication statusPublished - 1 Jan 2010

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    Keywords

    • market returns
    • Athens
    • finance
    • beta
    • stock exchange

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