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A Re-examination of the Performance of Value Strategies in the Athens Stock Exchange

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  • Dimitrios Kyriazis
  • Chris Christou

Abstract

This study tests the performance of contrarian (value) strategies in the Athens Stock Exchange (ASE) in a recent period of time (2003–8) on the basis of the price to earnings ratios, dividend yields, firm size (market value), market to book ratios, financial leverage ratios, and market beta. Apart from the univariate portfolio analysis, we implement a novel panel data analysis based on the procedure suggested by Pesaran ( 2004 , Econometrica 74:967–1012, 2006 ) that provides a valid estimation and inference under cross sectional dependence. Our portfolio analysis results highlight for investors in the ASE the superiority of value strategies formed on the basis of stocks with low price-to-earnings, high dividend yield ratios, and low market-to-book ratios. Our panel data analysis results depend on whether or not we correct for the problem of cross-sectional correlation in the regression residuals as suggested by Pesaran’s (Econometrica 74:967–1012, 2006 ) method. When we correct for this problem, we obtain evidence which support only a negative association between annual stock returns and market-to-book ratios. This may imply to investors that an adoption of a value strategy based on the market-to-book ratio may constitute a safer option compared with the other two alternatives suggested by the portfolio analysis results. Copyright International Atlantic Economic Society 2013

Suggested Citation

  • 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;International Atlantic Economic Society, vol. 19(2), pages 131-151, May.
    • Handle: RePEc:kap:iaecre:v:19:y:2013:i:2:p:131-151:10.1007/s11294-013-9402-7
    DOI: 10.1007/s11294-013-9402-7
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    More about this item

    Keywords

    Value/growth strategies; Market efficiency; Panel data analysis; G10; G15; C30;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General

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