In this paper the phenomenon of short-term overreaction and the existence of price limits on the Athens Stock Exchange (ASE) are examined. An 8% price limit was imposed in August 1992 and remained in place until February 2000. The sample consists of 114 shares traded on the ASE for the period 1995-1998. An event study methodology is used in which the event is defined as an increase or decrease in the stock price that activates the price limit for one, two or three days. The findings confirm the occurrence of short-term overreactions on the ASE during the period under investigation.
The Capital Asset Pricing Model (CAPM), developed by Sharpe (1964), Lintner (1965) and Mossin (1966), is an elegant and simple model for pricing risky securities. Unfortunately, it has been strongly criticised by Roll (1977) because the market portfolio has not been identified and thus tests of its empirical validity cannot be constructed.An alternative approach to characterisation of expected returns on risky securities is the Arbitrage Pricing Model (APM) proposed by Ross (1976 and 1977). Its advantage is that several empirical studies have concluded that the APM can be verified empirically. Gehr (1978), Roll and Ross (1980), Chen (1981), Reinganum (1981) and Hughes (1982) provided some evidence towards this end. These tests are, however, based on a number of assumptions concerning the structure of data whose validity cannot always be guaranteed. Unfortunately, the studies mentioned previously took it to be the case that these assumptions are met, and no special tests were made to verify them.These tests of the APM therefore may be characterised as incomplete and so it cannot be inferred that the APM has been tested in an unambiguous fashion.The necessary assumptions which ensure an unambiguous test of the APM using time series data can be summarised as follows:(1) The joint distribution of security returns is multivariate normal and intertemporally stationary. '(2) There exists a security return generating model which remains the same across different security groups and across various time periods. (3) The factor beta coefficients of the security return generating model are intertemporally stationary.The APM alone provides no empirical hypothesis and thus tests concerning its empirical validity require the utilisation of time series data and the employment of multivariate statistical techniques. The empirical verification of these assumptions is very important, as their validity will determine whether security returns can be described by a single factor or a multi-factor linear model which is stationary through time. Furthermore, the number of factors determining the security returns is investigated; 'The author is Lecturer of Financial Management at the University of Bath. (Paper
The paper attempts to determine whether there exists a relationship between the on-time payments of credit card owners of a Commercial Bank and their demographic characteristics (particular personal and family status). It evaluates the statistical technique of discriminant analysis on credit card customers' data of a Greek Commercial Bank and examine whether it is possible to create a model evaluating the credibility of prospective credit-card customer. The sample includes personal data, as well as, payment consistency for 829 customers of the Greek Commercial Bank (X-BANK) of average size.The statistical analysis of the sample data included the identification of the relationship between the theoretical and empirical prices of the distributions of the bank customers' specific variables and discriminant analysis. The results showed that establishing a model to evaluate the credibility of prospective bank card customers, using the technique of the linear discriminant analysis, is not possible. The findings prove interesting and useful for all bank managers. The paper contributes to the financial services literature by adding a further critical analysis into credit scoring systems established by several banking institutions.
This paper expands the two‐parameter (that is, mean‐variance) linear model for the behaviour of returns on securities or portfolios into a model that takes into consideration the skewness of return distributions. As in the case of previous two‐parameter relationships, the three‐parameter risk‐return relationship is valid if and only if the reference portfolio is a three‐parameter boundary portfolio.
This 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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