Η επίδραση του συστηματικού κινδύνου, του μεγέθους και του δείκτη Τιμή/Πωλήσεις στην απόδοση μετοχών
KeywordsΑποδόσεις μετοχών ; Three Factor Model ; Συστηματικός κίνδυνος ; Επίδραση του μεγέθους (size effect) ; Δείκτης Τιμή/Πωλήσεις (P/S)
In this paper we examine the effect of the systematic risk, the size of a company and the Price / Sales ratio on the share returns. The empirical study is focused on the analysis of two countries, England (UK) and the United States of America (USA) and the data which was collected on a monthly base concerns a twenty-year period, from 1996 until 2016. As part of the survey we created twelve portfolios which were analyzed according to the Fama and French model (Three Factor Model). The results of the study showed that in both countries the size factor has a positive effect on the returns of small companies and negative on the returns of large companies. As for beta, which expresses the systematic risk, it was found to be non-statistically significant for USA companies' returns and statistically significant with a positive effect on the returns of the UK companies. Finally, on the value factor (P / S), the results vary according to the country and the size, the systemic risk and the Price / Sales ratio of the company which is examined.