Realized Volatility and Asymmetries in the A.S.E. Returns

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on assessing the connection between realized volatility and returns. In particular, we find strong evidence on the existence of a volatility feedback effect and the leverage effect, and on the existence of asymmetries between lagged returns and volatility. Furthermore, we examine the cross-sectional distribution of unconditional loadings on the realized risk factor(s) for different sets of characteristics-sorted common stock portfolios. We find that realized risk is a significantly priced factor in A.S.E. and its high explanatory power for the cross- section of portfolio average returns is independent of any return variation related to the market (CAPM) or size and book-to-market (Fama- French) factors. We discuss our findings in the context of the recent literature on realized volatility and feedback effects, as well as the literature on the pricing power of realized risk.realized volatility, leverage effect, volatility feedback effect, asset pricing, A.S.E.

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well in pricing average returns on single- and double-sorted portfolios according to size, book-to-market, dividend-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower average pricing errors than the Fama-French three factor model and economically and statistically acceptable estimates for the coefficient of relative risk aversion.CAPM, cash-flow risk, discount-rate risk, asset pricing

Intertemporal Market Risk and Cross-section of Greek Average Returns

This paper examines wheather tohe overall market risk along with risks reflecting uncertainty related to the long run dynamic of market cash flows (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 wheather these two types of risk provide an empricalimprovement over the static CAPM and if cash-flow risk is more important than discount-rate risk, as a rationalI-CAPM risk story would perdict. Our results suggest that the two-beta intertemporal model performs at least as well as the Fama-French (Jourlan of Financial Economics, 1993) threefactor model since it explains half of the cross-sectional variation in average returns and delivers an economically and statistically acceptable estimate of the coefficient of relatiave risk averation. More inportantly, dispite the relative importance of market discount-rate risk, it is market dividend-growth risk that turns out to be for more important in determing aveage returns on Greek protfolios

International Market Risk and Cross-section of Greek Average Returns

This paper examines wheather the overall market risk along with risks reflecting uncertanty related to the long run dynamic of market cash flows (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 wheather these two tpyes of risk provide an empricical improvement over the static CAPM and if cash -flow risk is more inportant than discount-rate risk, as a rationall-CAPM risk story would perdict. Our results suggest that the two-beta intertemporal model performs at least as well as the Fama-French (Journal of Financial Economics, 1993) three factor model since it explains half of the cross-sectional variation in average returns and delivers an economically and statistically acceptable estimate of the coefficient of relative risk averation. More importantly, dispite the relative importance of market discount-rate risk, it is market dividend-growth risk that turns out to be for more inportant in determing average returns on Greek protfolios

Long-Run Cash-Flow and Discount-Rate Risk in the Cross-Section of US Returns

This paper decomposes the overall market (CAPM)risk into parts reflecting uncertainty related to the long-run dynamic of portfolio-specific and market cash flows and iiscount rates. We decompose market betas into four sub-betas (associated with assets' and market's cash flow and discount rates) and we employ a discrete time version of the I-CAPM to derive a four-beta model. The model performs well in pricing average returns on single-and double-sorted portfolios according to size, book-to-market, dividend-price ratios and past risk, by producing high extimates for the explained cross-sectional variation in average returns and economically and statistically acceptable estimates for the coefficent of relative risk aversion

International Market Risk and Cross-section of Greek Average Returns

This paper examines wheather the overall market risk along with risks reflecting uncertanty related to the long run dynamic of market cash flows (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 wheather these two tpyes of risk provide an empricical improvement over the static CAPM and if cash -flow risk is more inportant than discount-rate risk, as a rationall-CAPM risk story would perdict. Our results suggest that the two-beta intertemporal model performs at least as well as the Fama-French (Journal of Financial Economics, 1993) three factor model since it explains half of the cross-sectional variation in average returns and delivers an economically and statistically acceptable estimate of the coefficient of relative risk averation. More importantly, dispite the relative importance of market discount-rate risk, it is market dividend-growth risk that turns out to be for more inportant in determing average returns on Greek protfolios

Intertemporal Market Risk and Cross-section of Greek Average Returns

This paper examines wheather tohe overall market risk along with risks reflecting uncertainty related to the long run dynamic of market cash flows (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 wheather these two types of risk provide an empricalimprovement over the static CAPM and if cash-flow risk is more important than discount-rate risk, as a rationalI-CAPM risk story would perdict. Our results suggest that the two-beta intertemporal model performs at least as well as the Fama-French (Jourlan of Financial Economics, 1993) threefactor model since it explains half of the cross-sectional variation in average returns and delivers an economically and statistically acceptable estimate of the coefficient of relatiave risk averation. More inportantly, dispite the relative importance of market discount-rate risk, it is market dividend-growth risk that turns out to be for more important in determing aveage returns on Greek protfolios

International Market Risk and Cross-section of Greek Average Returns

This paper examines wheather the overall market risk along with risks reflecting uncertanty related to the long run dynamic of market cash flows (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 wheather these two tpyes of risk provide an empricical improvement over the static CAPM and if cash -flow risk is more inportant than discount-rate risk, as a rationall-CAPM risk story would perdict. Our results suggest that the two-beta intertemporal model performs at least as well as the Fama-French (Journal of Financial Economics, 1993) three factor model since it explains half of the cross-sectional variation in average returns and delivers an economically and statistically acceptable estimate of the coefficient of relative risk averation. More importantly, dispite the relative importance of market discount-rate risk, it is market dividend-growth risk that turns out to be for more inportant in determing average returns on Greek protfolios

Long-Run Cash-Flow and Discount-Rate Risk in the Cross-Section of US Returns

This paper decomposes the overall market (CAPM)risk into parts reflecting uncertainty related to the long-run dynamic of portfolio-specific and market cash flows and iiscount rates. We decompose market betas into four sub-betas (associated with assets' and market's cash flow and discount rates) and we employ a discrete time version of the I-CAPM to derive a four-beta model. The model performs well in pricing average returns on single-and double-sorted portfolios according to size, book-to-market, dividend-price ratios and past risk, by producing high extimates for the explained cross-sectional variation in average returns and economically and statistically acceptable estimates for the coefficent of relative risk aversion

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well in pricing average returns on single- and double- sorted portfolios according to size, book-to-market, dividend-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower average pricing errors than the Fama-French three factor model and economically and statistically acceptable estimates for the coefficient of relative risk aversion.CAPM, cash-flow risk, discount-rate risk, asset pricing