Ο αριθμός των παραγόντων του γραμμικού υποδείγματος διαμορφώσεως των αποδόσεων μετοχών στο Χρηματιστήριο Αξιών Αθηνών
(EL)
Ο αριθμός των παραγόντων του γραμμικού υποδείγματος διαμορφώσεως των αποδόσεων μετοχών στο Χρηματιστήριο Αξιών Αθηνών
(EN)
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 cavariancecorrelation
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.
(EN)
