The market capitalization value as a risk factor in the Athens stock exchange

Abstract

Under the joint assumption that CAMP holds and capital markets are efficient, systematic risk is the
only priced factor. However a stream of literature casts coubt on the above assumption, suggesting that
company size is priced.
The present study, utilizing data from the Athen Stock Exchange, concluded that stock return was
negatively related to company capitalization value. However, after controlling for other firm-specific
factors, the observed effect remained strong only within the prortfolio of high (historical) earnings yield
securities.