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

Kyriazis, Dimitrios; Christou, Christina

doi:10.1007/s11294-013-9402-7

Cited by 4 publications

(5 citation statements)

References 33 publications

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“…Al-Mwalla, Al-Omari, & Ayad (2010) focused on the importance of PE ratio in a developed market where they concluded that there is a long run equilibrium between dividend yield, PE ratio, size of the firm and the return on stocks. Kyriazis and Christou (2013) found evidence that stocks with low PE ratio yield more return on investment in the long term. Penkar and Deo (2010) compared PE ratios in different industries and regions and found that they vary significantly.…”

Section: Literature Reviewmentioning

confidence: 99%

Using Statistical Analysis to Investigate the Relevance of Accounting Information in Emerging Financial Markets: An Empirical Study

Belassi¹,

Elbarrad²

2020

ASS

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Despite extensive literature and numerous published work on the area of value relevance of accounting information, a major part of the studies have been conducted on large and developed capital markets. While there are a number of published articles in the area of value relevance of accounting information in developing markets, there is still a need to investigate more developing markets to see if there are similarities or different attributes of each market that could shed more light on the importance and usefulness of accounting relevance in developing markets. To study further the gap of accounting relevance in developing markets, this study investigates the relationship between the accounting information – represented in the financial ratios, F-Score, M-Score, in addition to market-related measures – and stock price represented in the ratio of Price to Book Value (PBV) per share and Price-Earnings (PE) Ratio. In order to shed light on the significant variables that affect the stock price in emerging markets, this study examines the cement sector in Saudi Arabia. The results of the study indicate that F-score, inventory turnover, current ratio, debt-to-equity ratio, return on assets, and average trading are significant determinants of PBV. Combined, they explain 75.1% of the variations in PBV. The study also shows that F-score and inventory turnover are significant determinants of PE. Combined, they explain 23.1% of the variations in PE.

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Section: Literature Reviewmentioning

confidence: 99%

Using Statistical Analysis to Investigate the Relevance of Accounting Information in Emerging Financial Markets: An Empirical Study

Belassi¹,

Elbarrad²

2020

ASS

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“…The existence of value premium has been supported by a vast range of studies that provide empirical evidences. Additionally, growth and value stock indicators can be identified with different value-growth indicators (Fama & French, 1998Gharghori et al, 2013;Kyriazis & Christou, 2013;Loughran, 1997;Novy-Marx, 2013;Petkova & Zhang, 2005). The above researches investigated if the value premiums detected between the types of stocks, which can be either large or small stocks in portfolios, are unlike on Monday and on a different day of the week.…”

Section: Introductionmentioning

confidence: 99%

Testing Daily Seasonality Using Value Premium Portfolios Returns: The Case of Pakistan

Naz

Zahra

Lutfullah

2023

AAR

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Calendar anomalies are a well-documented phenomena in financial markets. The current study scrutinized calendar anomalies in the context of the local market by analyzing the Pakistan stock exchange. The data from the listed companies of PSX have been considered to test for seasonality in value premium portfolios using OLS regression, general GARCH (1,1), TGARCH, GJR-GARCH, PGARCH, and EGARCH models. The findings suggest that return seasonality among different value premium portfolios explains the economically and statistically significant magnitude of small firm effect. The current research also analyzed average stock returns with cross-sectional variation. It confirmed the relationship of size with daily seasonality. Furthermore, it also determined that a weak form of efficiency exists in the Pakistani stock market. Thus, the findings indicate that the investors are able to earn abnormal returns on their investments with the help of timing strategies.

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“…The most famous accounting anomaly is that returns from firms with higher earnings-to-price (E/P) ratios outperform those with lower E/P ratios (Basu, 1977;Goodman and Peavy, 1983;Levy and Lerman, 1985;Chou and Liao, 1996;Lau et al, 2002;Kyriazis and Christou, 2013).…”

Section: Introductionmentioning

confidence: 99%

“…Some studies also point out that returns on higher book-to-market equity (B/M) portfolios are higher than those on lower B/M portfolios in US, Japanese and UK markets (Basu, 1983;Chan et al, 1993;French, 1992, 2008;Lakonishok et al, 1994;Lau et al, 2002;Cenesizoglu, 2011;Eraslan, 2013;Kyriazis and Christou, 2013). In addition, Ko et al (2014) have found that a zero-investment portfolio, constructed by buying the highest B/M and short-selling the lowest B/M portfolios based on the moving average rule, can produce significantly positive returns.…”

Section: Introductionmentioning

confidence: 99%

“…Besides, the findings of Gharghori et al (2013) reveal that high CF/P ratios portfolios dominate low CF/P ratios portfolios in the Australian stock markets. Fama and French (1988) and Kyriazis and Christou (2013) document another accounting anomaly, dividend-to-price (D/P) effect. They find that returns from firms with higher D/P ratios outperform those with lower D/P ratios.…”

Section: Introductionmentioning

confidence: 99%

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The selection of popular trading strategies

2015

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Purpose – The relative performance of five popular nonzero-investment strategies, including Size, book-to-market ratios, earnings-to-price (E/P) ratios, cash flow-to-price (CF/P) ratios and dividend-to-price ratios, and their corresponding zero-investment strategies (also known as premiums) are first examined altogether for equally weighted (EW) and value-weighted (VW) methods to check whether a certain strategy (or some strategies) could be recommended to portfolio managers as the best (better) strategy (strategies). The paper aims to discuss these issues. Design/methodology/approach – This paper uses the stochastic dominance (SD) approach, a non-parametric test, to investigate the relative performance among various strategies and help investors search for the best or better strategy (strategies). Findings – The main results show that both the highest E/P and CF/P strategies (and their corresponding premiums) generally produce higher returns than the other three strategies (and their corresponding premiums) through allocating investors’ capital between the risky and risk-free assets for the EW and VW methods, respectively. Research limitations/implications – This study only examines US stock markets by SD approach, whether the results are consistent with non-US markets still needs further investigation. The findings imply that investors can benefit by investing in the highest E/P or CF/P stocks (or their corresponding premiums) to make more profit or less loss for US stock markets. Practical implications – First, the SD findings suggest that investors or portfolio managers can allocate their funds between risky and risk-free assets to maximize their profits. Next, the simulation results again prove that the profits of each nonzero-investment or zero-investment strategy for EW portfolios are higher than those of each corresponding strategy for VW portfolios. Finally, the findings imply that portfolio managers or investors can invest in the highest E/P or CF/P stocks (or their corresponding premiums) to make more profit or less loss. Originality/value – This study first uses an extensive data set (1952-2009) to examine the relative performance of nonzero-investment strategies and their corresponding zero-investment strategies for the five popular indicators altogether for the EW and VW methods with the SD approach for US stock markets. Moreover, the results reveal that the investors or portfolio managers can invest in the highest E/P and/or CF/P portfolios (or their corresponding premiums) to make more profit or less loss.

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

Cited by 4 publications

References 33 publications

Using Statistical Analysis to Investigate the Relevance of Accounting Information in Emerging Financial Markets: An Empirical Study

Using Statistical Analysis to Investigate the Relevance of Accounting Information in Emerging Financial Markets: An Empirical Study

Testing Daily Seasonality Using Value Premium Portfolios Returns: The Case of Pakistan

The selection of popular trading strategies

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