Αποδόσεις μετοχών, βήτα, χρηματιστηριακή αξία και δείκτης χρηματιστηριακή αξία - προς - λογιστική αξία : υπάρχει σχέση;

Αναστασόπουλος, Αυγερινός

Master Thesis

Author

Αναστασόπουλος, Αυγερινός

Date

2017-02

Abstract

According to recent research, the Capital Asset Pricing Model (CAPM) performes poorly in explaining realized returns. The Fama-French Three Factor Model, which includes two additional risk factors, was developed to enhance the explanatory power of the one-factor CAPM. In the present dissertation, we examine the validity of the Fama- French Three Factor model for the case of German, Poland and Greece for the period 2000-2015. The results showed that, in all countries, there is a positive relationship between the market premium and the excess returns. However, as it concerns the risk factor of the size (SMB) and the risk factor of the value (HML), the results are not as clear. In particular, for Germany, we concluded that for the large-cap companies, the SMB factor is negatively correlated with the excess returns of the portfolios (with the sole exception of the B/L portfolio in which the SMB factor did not have a statistically significant effect) while a positive relation was found in all portfolios of the small-cap firms. As it concerns the HML factor, results showed, on average, a positive effect excluding portfolios B/L and S/L (in which a negative relationship was found) and the S/M portfolio that seemed to remain unaffected by the variable HML. Regarding the results of Poland, the effect of the SMB factor is more obvious. The size of the firm did not seem to influence the large-cap companies (as the SMB variable was not statistically significant in the B/H, B/M, B/L portfolios), while we found a strong positive relationship between the SMB variables and excess performance of all other small-cap portfolios. The factor HML seem to affect the excess returns in the same way as in the case of Germany, and more particularly the results showed an average positive effect excluding portfolios B/L and S/L (in which there was a negative relationship) and portfolio S/M that seemed to remain unaffected by the variable HML. The results for the case of Greece showed, on average, a positive relationship between the size of the company and the excess returns of the portfolios, with the only exception the portfolios with low BE / ME ratio (B/L, S/L) in which this relationship was negative. Finally, the HML factor had a clear positive relationship with excess returns in all portfolios.

Postgraduate Studies Programme

Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για Στελέχη

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

Number of pages

179

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/10332

Collections

Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

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