62-96

• Κεβόρκ, Δημήτριος Κ.

The primary objective of the present study —to our knowledge the first on this subject— is to investigate the number of factors (statistical and priced) in the asset return generating process for the Athens Stock Exchange in the Arbitrage Pricing Theory context. Firstly, by forming sample covariance correlation matrices of returns for sequentially larger groups of portfolios (assets) as well as for subperiods, using principal component factor analysis. Secondly, by testing for the priced factors, and thirdly by intertemporally aggregating the basic daily returns into four more observation frequencies different from daily in order to test empirically possible effects on the daily results. We find clear evidence of several statistically generated factors which increase with the number of securities in the matrix of returns and explain more than 50% of the total variation of returns, a percentage which is remaining constant over all the increasing matrices. Two of these factors and possibly two more are found to be priced while the first factor dominates the common variation in asset returns, being consistently present in the pricing results. We also find that there is no significant differentiation of the estimates obtained by the changes in the daily observation frequency of the returns.

• Economics and Business
• Computer and information sciences

• Finance
• Economics
• Statistics

Περιέχει πίνακες, διαγράμματα, υποσημειώσεις και βιβλιογραφία, Ο συγγραφέας (Β. Sc., M. Sc. Finance, University of London) επιθυµεί να εκφράσει τις θερµές του ευχαριστίες ιδιαίτερα προς τον Ν. Τραυλό, Καθηγητή του Τµήµατος Χρηµατοοικονοµικής και Τραπεζικής ∆ιοικητικής Πανεπιστηµίου Πειραιώς και του Boston College (ως και προς την Εµπορική Τράπεζα της Ελλάδος) για την παραχώρηση της ηλεκτρονικής βάσεως χρηµατιστηριακών δεδοµένων 1981-1990 και την εν γένει ενθάρρυνση του. Επίσης θεωρεί ευχαρίστηση του να αναγνωρίσει τις κριτικές παρατηρήσεις επί της µελέτης από τον Αν. Καθηγητή Γ. Διακογιάννη, του ιδίου Τµήµατος, από τον Καθηγητή του Οικονοµικού Πανεπιστηµίου Αθηνών Γ. Καραθανάση και από τον Dr Κ. Πατσό.