Time Varying Beta Risk for the Stocks of the Athens Stock Exchange : A Multivariate Approach
This paper constitutes a different approach concerning the time varying risk premium for the stocks traded on the Athens Stock Exchange. The research methodology utilises two well known empirical findings; the time varying beta risk (eg. Merton (1973), Ng (1991), Fama, French (1988)), and the day-of-the-week effect, and especially the Monday Effect (eg. Cross (1973), French (1980), Arsad, Coutts (1997)). For that purpose, a multivariate model is introduced, based on the research paper of Faff and Brooks (1998). Using a set of dummy variables, we examine the stability of the beta coefficient, and further we investigate the impact that the findings might have on portfolio theory, by re-evaluating the steps that are necessary, when constructing a portfolio. For that purpose, the sample period, that we choose to analyze, is divided into 3 sub-periods (each one having specific characteristics, as the first period doesn't exhibit any significant volatility, while the second and third one is described by increasing and decreasing returns of the market respectively), and we explore the behavior of the beta risk of the sectors, as well as the companies included in the data set. The main findings are that the sub-periods play an important role to the beta risk formation, and that the beta risk is a function of the direction of the market, and the magnitude of the market returns
Year of publication: |
[2003]
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Authors: | Volis, Argyrios |
Other Persons: | Karathanassis, George (contributor) ; Diamandis, Panayiotis F. (contributor) |
Publisher: |
[2003]: [S.l.] : SSRN |
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