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Intertemporal Market Risks and the Cross-Section of Greek Average Returns

Koubouros, Michail, Panopoulou, Ekaterini (2007) Intertemporal Market Risks and the Cross-Section of Greek Average Returns. Journal of Emerging Markets Finance, 6 (2). pp. 203-227. (doi:10.1177/097265270700600204) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:34298)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1177/097265270700600204

Abstract

This article examines whether the overall market risk, along with risks reflecting uncertainty related to the long–run dynamics of market cash flows (dividends) and discount rates (returns), price average returns on single–sorted portfolios in the Greek stock market. Our results suggest that a two–beta intertemporal capital asset pricing model explains half of the cross–sectional variation in average returns and delivers an economically and statistically acceptable estimate of the coefficient of relative risk aversion. Despite the relative importance of market discount–rate risk, it is market dividend–growth risk that turns out to be far more significant in determining average returns on Greek portfolios.

Item Type: Article
DOI/Identification number: 10.1177/097265270700600204
Uncontrolled keywords: JEL Classification: G11 JEL Classification: G12 JEL Classification: G14 CAPM beta cash flow risk discount rate risk risk aversion
Subjects: H Social Sciences > H Social Sciences (General)
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Catherine Norman
Date Deposited: 17 Jun 2013 14:07 UTC
Last Modified: 05 Nov 2024 10:17 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/34298 (The current URI for this page, for reference purposes)

University of Kent Author Information

Panopoulou, Ekaterini.

Creator's ORCID: https://orcid.org/0000-0001-5080-9965
CReDIT Contributor Roles:
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