Εξέταση της απόδοσης των στρατηγικών αξίας στο χρηματιστήριο Αθηνών την περίοδο 2009-2017
An examination of the performance of value strategies in the Athens stock exchange during the period 2009-2017
KeywordsΕπενδυτικές στρατηγικές ; Υπεραπόδοση ; Value premium ; Μετοχές αξίας ; Μετοχές ανάπτυξης ; Χρηματιστήριο Αξιών Αθηνών
The present thesis examines the returns of the growth/value stocks for the 9year period 2009-2017 characterized by the deep recession which has been incurred in the Greek economy and capital market since 2010 and after. Consequently, the results are of great interest both for academics and the investment community, as long as they can be used for constructing overperforming investment strategies in periods of persistent falling stock prices and literally of a stock market collapse. Our analysis which comprises both portfolio and multiple regression analyses with the application of fixed effects models attempts to answer the question whether or not value investing strategies based on eight criteria may lead to overperformance and positive value premia over time. These criteria were the indices combining stock price divided by earnings per share (P/E), book value per share (P/B), cash flows per share (P/CF), sales per share (P/S), P/E divided by growth of EPS per share (PEG), the dividend yield, i.e. dividend per share divided by stock price (DY) και market capitalization (Market value). The portfolio analysis established that all indices, excluding PEG and P/S, produce on average during the 9year period an overperfomance of stock returns which ranges from +5.4% (MV) to 17.1% (ΡΕ). Despite the fact that, these excess returns were not statistically significant for the total 9year period in all cases of the criteria examined, it is also true that, in at least 3 years (e.g. 2011, 2012, 2015 & 2017) the superior returns of portfolios of value stocks become statistically significant and the most interesting thing is that these first 3 years concern the period of the dramatic slump of stock prices and uncertainty, while the last year (2017) is the year of a weak growth of the economy. Furthermore, the multiple regression analysis confirms the explanatory power of two criteria, namely, P/B and MV, and up to a lesser extent of DY, with respect to the oveperformance of value strategies, which is a finding more or less in agreement with the results of the studies by Kyriazis and Diacogiannis (2007) and Kyriazis and Christou (2013) previously carried out for the Greek stock market. In conclusion, our findings cautiously support the proposition that value investing based on P/B and MV may indeed lead to superior returns in the Athens Stock Exchange (ASE).