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Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market

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  • Christos Alexakis
  • Theophano Patra
  • Sunil Poshakwale

Abstract

This article examines the predictability of stock returns in the Athens Stock Exchange (ASE) during 1993 to 2006 by using accounting information. Using panel data analysis, this article concludes that the selected set of financial ratios contains significant information for predicting the cross-section of stock returns. Results indicate that portfolios selected on the basis of financial ratios produce higher than average returns, suggesting that the emerging Greek market does not fully incorporate accounting information into stock prices and hence it is not semi-strong efficient.

Suggested Citation

  • Christos Alexakis & Theophano Patra & Sunil Poshakwale, 2010. "Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(16), pages 1321-1326.
  • Handle: RePEc:taf:apfiec:v:20:y:2010:i:16:p:1321-1326
    DOI: 10.1080/09603107.2010.482517
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    Cited by:

    1. Yang, Ann Shawing & Pangastuti, Airin, 2016. "Stock market efficiency and liquidity: The Indonesia Stock Exchange merger," Research in International Business and Finance, Elsevier, vol. 36(C), pages 28-40.
    2. Nikolaos Sariannidis & Polyxeni Papadopoulou & Evangelos Drimbetas, 2015. "Investigation of the Greek Stock Exchange volatility and the impact of foreign markets from 2007 to 2012," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece, vol. 8(2), pages 55-68, October.

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