Determinants of Cross-Sectional Stock Returns During a Turbulent Period: An Application to the Athens Stock Exchange

Sammanfattning: With this study we attempt to shed some light in the existing literature concerning the determinants of cross-sectional stock returns. In our analysis we test a turbulent period for the Athens Stock Exchange which ranges from July/2007 to June/2012. The variables we examine as potential determinants are the market beta, the market value of equity, the book-to-market value of equity, Liu’s liquidity measure over a prior six-month period, and a security’s average past returns over three and six months. After employing Fama and French’s (1992) portfolio analysis and Fama and MacBeth’s (1973) cross-sectional regressions, we end up that although there are inter-correlations among the variables under examination, none of them is proven statistically significant in order to explain the cross-section of stock returns.