Size and Market Anomalies

G. Karathannasis, N. Phlilipas
European Research Studies Journal, Volume I, Issue 4, 61-73, 1998
EOI: 10.11214/thalassinos.01.04.005

Abstract:

The paper examines the market model's underlying assumptions using data from the Athens Stock Exchange. It is found that there are significant distortions in the traditional market model. The Market Model is applied to subsamples of data in order to determine the extent to which the various market anomalies vary with size.


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