Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting...

Current asset pricing models require mean-variance efficient benchmarks, which are generally unavailable because of partial securitization and free float restrictions. We provide a pricing model that uses inefficient benchmarks, a two-beta model, one induced by the benchmark and one adjusting...

This study examines, for the first time consistently, the performance of value strategies in the Athens Stock Exchange (ASE) based on the price to earnings ratios, dividend yields (DYs), size (market value), market to book ratios, financial leverage ratios and systematic risk. We tested the...

In this paper the phenomenon of short-term overreaction and the existence of price limits on the Athens Stock Exchange (ASE) are examined. An 8% price limit was imposed in August 1992 and remained in place until February 2000. The sample consists of 114 shares traded on the ASE for the period...