Διερεύνηση της αποτελεσματικότητας υποδειγμάτων εντοπισμού του κατάλληλου timing στις χρηματιστηριακές επενδύσεις
SubjectΔιαχείριση χαρτοφυλακίου ; Χρηματιστηριακές συναλλαγές ; Ανάλυση επενδύσεων ; Stock price forecasting -- Econometric models
Αccording to Modern Portfolio Theory, if the joint hypothesis of market efficiency and CAPM validity holds, then share prices fully and instantaneously reflect all available information. As a result, there is no investment strategy that permits to investors enjoying superior returns by utilizing the publicly available share data. However, numerous empirical studies have depicted that there exist several ways to identify proper trading time (= timing), thus enabling abnormally high returns. Within the framework of the present study, it was tested the possibility of achieving such returns in the Athens Stock Exchange as well as in the New York Stock Exchange, by applying certain moving average models in the corresponding general market indices data, of the period 2000-2008. The results are surprising: the applied models produced impressively high abnormal returns both in the Athens Stock Exchange, and the New York Stock Exchange, with some restrictions, depending on the market timing. Specifically, in a bull market, three out of the four models tested, where found to be effective for the investor, with the potential of providing substantial returns, beyond the market average. In markets that operate under crisis conditions, two out of the four models appeared to be useful for the investors. Finally, it appeared that investors have less opportunities of acquiring excess returns in bear markets. Just one model is considered effective and only for the Greek Stock Exchange.