Testing the performance of value strategies in the Athens Stock Exchange
AbstractThis study examines, for the first time consistently, the performance of value strategies in the Athens Stock Exchange (ASE) based on the price to earnings ratios, dividend yields (DYs), size (market value), market to book ratios, financial leverage ratios and systematic risk. We tested the usefulness of the above strategies, by examining the performance of portfolios of stocks formed on the basis of the above criteria, and by applying multiple regression analysis. Our univariate portfolio analysis showed that the higher returns observed in high DY stocks and low beta stocks were achieved with no additional level of risk taken. When the effect of cross-sectional correlation in the residuals of our regression model was removed, we found that only stocks with high DYs may be associated with significantly higher returns. Thus, we can conclude that except the application of the DY variable, there is little support for the argument of overperformance of value strategies even in the case of a small emerging market, such as the ASE during the period 1995-2002 examined.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 17 (2007)
Issue (Month): 18 ()
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- Dimitrios Kyriazis & Chris Christou, 2013. "A Re-examination of the Performance of Value Strategies in the Athens Stock Exchange," International Advances in Economic Research, Springer, vol. 19(2), pages 131-151, May.
- Chin-Sheng Huang & Chun-Fan You, 2014. "Dividend-Yield Trading Strategies: Evidence from the Chinese Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 382-399.
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- Eero J. Pätäri & Timo H. Leivo & J.V. Samuli Honkapuro, 2010. "Enhancement of value portfolio performance using data envelopment analysis," Studies in Economics and Finance, Emerald Group Publishing, vol. 27(3), pages 223-246, August.
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