Οι χρηματιστηριακές ανωμαλίες του δείκτη P/E, της χρηματιστηριακής αξίας και της μερισματικής απόδοσης
KeywordsΧρηματιστηριακές ανωμαλίες ; Φαινόμενο μερισματικής απόδοσης ; Φαινόμενο μεγέθους ; Φαινόμενο τιμής προς κέρδος ; Market anomalies ; Price to earnings effect ; Dividend yield effect ; Size effect
In the international literature, several researches have dealt with investigating the validity of the Effective Market and the Capital Asset Pricing Model. Thus, the academic scholars revealed ways, with which abnormal returns can be created. In other words, higher stock returns occurred, when the price to earnings ratio was low, market value was low and dividend yield was high. This study aims to explore the potential of value strategies to generate additional returns on the German and Greek stock markets based on the aforementioned indices for the period 2006-2017. In order to check, if the above stock market anomalies are still present, we performed a univariate analysis of stock portfolios, based on the above indices. Also, we carried out the multiple regression analysis under a panel data framework. According to our findings, the Small Firm Effect (MV) and Dividend Yield (DY) Effect seem to be the only market anomalies in the German stock market. This conclusion was deduced from the regression analysis, which is the most powerful method of the two empirical methods. Also, in the Greek market, the Size Effect and the Yield Effect seem to prevail, based on the multiple regression analysis.