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dc.contributor.author
Vanasikas, Georgios
en
dc.date.accessioned
2017-03-17T13:41:17Z
dc.date.available
2017-03-18T01:00:14Z
dc.date.issued
2017-03-17
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/15186
dc.rights
Default License
dc.title
Empirical research of the 3-factor versus 5-factor asset pricing model performance and Regional versus Global explanatory factors efficiency in Greece and Spain
en
heal.type
masterThesis
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heal.keywordURI.LCSH
Capital assets pricing model
heal.keywordURI.LCSH
Investment analysis
heal.keywordURI.LCSH
Stocks--Prices
heal.keywordURI.LCSH
Rate of return
heal.keywordURI.LCSH
Stock exchanges
heal.language
en
el
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
el
heal.references
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heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
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heal.publicationDate
2017-03-17
heal.tableOfContents
This dissertation was written as part of t he MSc in Banking & Finance at the Interna- tional He l lenic University. The benchmark model for asset pricing was Capital Asset Pricing Model for many dec- ades. The evolution in this financial sector led to multifactor models, primarily intro- duced by Fama & French in 1992. This research assesses the performance of asset pric- ing multifactor models, specifically 3 - factor and 5 - factor models proposed by Fama & French. It examines the efficiency of Regional versus Global explanatory factors in the multifactor mod els. It also dissects what should be considered as relevant risk - free rate for a particular data - set consisted of Euro Area stock exchanges. The sampling field contains the stocks of Greek and Spanish stock exchanges, Athens Stock Exchange and Bolsa de Ma drid respectively. The sample period is since 2002, the physical implementation of Euro currency, until 2016. The findings cast doubt whether 5 - factor model offers substantial improvement as far as the stock exchanges of the two countries, the evidence are contradicting. The role and importance of using regional factors at country level analysis is emphasize d form findings . F inally, this study sheds light whether Bund is more appropriate than T - bill as risk - free rate in a multifactor model’s factor - set in E uro Area
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heal.advisorName
Artikis, Panayiotis
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heal.committeeMemberName
Grose, Christos
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heal.committeeMemberName
Archontakis, Fragiskos
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heal.academicPublisher
IHU
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heal.academicPublisherID
ihu
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heal.numberOfPages
88
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heal.spatialCoverage
Greece
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heal.spatialCoverage
Spain
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