Η επίδραση της οικονομικής επίδοσης στην χρηματιστηριακή απόδοση : μια οικονομετρική ανάλυση με τη χρήση αριθμοδεικτών σε ελληνικές εισηγμένες εταιρείες
The effect of financial performance on stock performance : an econometric analysis in Greek listed firms using financial ratios
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Οικονομετρική ανάλυσηAbstract
In recent centuries, when stock exchanges around the world dominate economic life, there has
been a lot of research and study on how investors can safely predict stock returns to make the
right investments.
There are many and various factors that affect stock prices, such as the phase of the
economic cycle, in which either the global or a national economy is, the economic situation of
an industry, the speculative movements of various investors, and even seemingly unrelated
situations such as weather conditions.
However, economics and financial research have not accurately identified all the
factors, the dynamics with which they affect and the time at which each of them can influence
more decisively than others yet.
The purpose of this research is to determine which financial parameters of a listed
company in the Athens Stock Exchange are reflected in the price of its shares. These financial
parameters are calculated using the financial ratios of these companies. The importance of this
study lies in the fact that it can prove the validity of financial ratios as independent variables in
the forecast of the share price of listed companies in the ASE. According to Martani: "The
accounting information of the financial reports can describe the situation of the company.
Financial reports are influenced by two factors: the activities of companies and the accounting
policies adopted by them”. Some research studies accounting information to predict the future
financial performance of businesses, such as profits and growth (Lev Trigrajan, 1993), while
other research measures the effect of accounting information on stock price (Abarbanell &
Bushee, 1998).
The database of the capital.gr website was used in order to obtain the data on the share
prices of the specific companies over time. For the financial ratios, the financial statements of
the companies for the examined decade were used, as published, and in the second phase, they
were calculated in spreadsheets (Excel) based on numerical relations, as they are listed in
Chapter 1.
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"Panel data" analysis was performed through the econometric program "Eviews 11 SV"
and multiple regression was used. Finally, all the necessary tests for panel data were performed.
This study is related to previous studies on the relationship between financial ratios and
stock returns and how the latter can be predicted based on the numerical configuration of these
ratios. It reviews studies spanning the period from the 1960s to the present day. Having studied
only a small part of rich relevant literature, it is concluded that the issue has concerned mainly
the economies of the USA and the countries of the Far East, and less for the European
economies. The economic community has dealt much less with the Greek economy and the
companies listed on the Athens Stock Exchange, which may be related to the size of the Greek
economy.
The aim is to capture the impact of the actual figures that financial ratios represent and
not just how they are used as sources of financial information, that is, how does profitability -
of various kinds - and overall economic performance affect. This is why the share price is taken
into account on the due date of the financial year and not on the date of publication of the
financial statements. It should be taken as a factor that reacts to the above the fact that the ratios
reflect accounting profits and generally accounting figures and not financial the financial ones.
Finally, an attempt is made to draw conclusions regarding three economic variables:
capital intensity, labor productivity and value added, and their effect on the share price. These
figures are used in the attempt to draw general macroeconomic conclusions but based on
econometric models they do not have such an effect the share price.