The market capitalization value as a risk factor in the Athens Stock Exchange
Part of : Σπουδαί : journal of economics and business ; Vol.43, No.1, 1993, pages 52-70
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Pages:
52-70
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Abstract:
Under the joint assumption that CAMP holds and capital markets are efficient, systematic risk is the only priced factor. However a stream of literature casts coubt on the above assumption, suggesting that company size is priced. The present study, utilizing data from the Athens Stock Exchange, concluded that stock return was negatively related to company capitalization value. However, after controlling for other firm-specific factors, the observed effect remained strong only within the prortfolio of high (historical) earnings yield securities.
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Περιέχει παράρτημα και βιβλιογραφία
