Investigating the possibility of configuration strategies for the constitution of portfolios based on accounting parameters
Ζαφειράκης, Νεκτάριος Γ.
SubjectΜετοχές -- Τιμές -- Μαθηματικά μοντέλα ; Μετοχές -- Στατιστικές μέθοδοι ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Διαχείριση κινδύνου -- Στατιστικές μέθοδοι
This project investigates the connection between accounting variables, stock return and systematic risk. This potential connection can be used from investors for the constitution of profitable portfolios. For this reason, parametric methods are used to find the quarterly and annual accounting data that likely have relationship with the stock return and systematic risk. The results show the change of Price to Cash Flow per Share as the more powerful variable in the explanation of stock return, for companies with high and low market value. Specifically, in bigger companies the Price to Earnings per Share (P/E) indicator and Return on Assets (ROA) connected negative and positive, respectively, with the stock return. Moreover, Market Value to Sales indicator is connected negatively with the stock return, for the total interval of examination. In small-size companies the indicator Return on Equity (ROE) and Profit Margin shows are related positively with the stock return. Of course, the Profit Margin indicator is connected positively with the stock return for the total period of examination. On the other hand, the change of systematic risk is related positively with the change of Profits in big-size companies. For the total period of examination, the change of sales, in small-size companies, is connected with the change of beta factor. Finally, the correctness of discoveries was examined via the use of non-parametric methods. The results confirmed the initial conclusions.