Διερεύνηση της αποτελεσματικότητας εναλλακτικών επενδυτικών στρατηγικών
Exploring the efficiency of alternative investment strategies
Παύλου, Σωτήρης - Παναγιώτης Κ.
Investigating the existence of effects - anomalies on stock returns has been a matter of concern not only by both the scientific community, and investors around the world. The present study examines the effectiveness of a number of well-known effects, such as the size effect, the book to market (B/M) effect, the cash-flow to price (C/P) effect, the earnings to price (E/P) effect, the leverage effect, the tradability effect, the debt effect and the liquidity effect, using data from the Athens Stock Exchange (ASE) during the period 2001-2010. The results of the analysis support the existence of the E/P ratio effect, the debt effect and the liquidity effect, especially in highly volatile periods. On the contrary, during stable or bull markets, shares’ tradability is the greater influencer on stock returns. Moreover, among the findings there are strong evidence of a size effect and a B/M effect, on stock returns, confirming the out performance of contrarian strategies based on these variables, especially on occasions of thin trading. However, there isn’t enough evidence of leverage or a C/P effect. Finally, it should be noted that the aforementioned excess returns do not imply a higher level of risk.