Intertemporal Market Risks and the Cross-Section of Greek Average Returns1
نویسندگان
چکیده
This paper examines whether the overall market risk, along with risks re ecting uncertainty related to the long run dynamics of market cash ows (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 coef cient 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 signi cant in determining average returns on Greek portfolios. JEL: G11, G12, G14
منابع مشابه
Intertemporal Market Risks and the Cross-Section of Greek Average Returns
This paper examines whether the overall market risk along with risks reecting uncertainty related to the long run dynamics of market cash ows (dividends) and discount rates (returns) price average returns on single-sorted portfolios of the Greek stock market. Following Campbell and Vuolteenaho (American Economic Review, 2004) we check whether these two types of risk provide an empirical impro...
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