Επενδύσεις στρατηγικών αξίας στην ελληνική χρηματιστηριακή αγορά

Μακρής, Νικόλαος

Value investment strategies in the Greek stock market over the period 2009-2018

Master Thesis

Author

Μακρής, Νικόλαος

Date

2019-09

Abstract

The current postgraduate thesis focuses on examining the return of the portfolios that have been structured according to the investment value strategies in the Greek Stock Exchange between 2009-2018. The main objective of the current thesis is to determine whether the value strategies – based on 5 different investment metrics – can yield superior returns. The different metrics that were utilized as the investment criteria for this thesis were the price to earnings ratio (P/E), the dividend yield ratio (DY), the market value, the price to book ratio (PB) and the market value to earnings before interest, taxes, depreciation and amortization ratio (MV/EBITDA). In order to assess the usefulness of the investment value strategies based on above criteria this study performed a portfolio analysis, in which, each index was examined independently, followed by a multiple regression analysis. The findings of the analysis concluded that only stocks with higher DY ratios overperformed the lower DY ratio stocks. These results were also confirmed by the multiple regression analysis where only high DY ratio stocks had a statistically significant positive relationship with stock returns. Thus, it can be argued that with the exception of the DY variable - there is no further evidence to suggest that investment value strategies provided superior returns in the Greek Stock Exchange between the period of 2009-2018. These results are partially in line with studies (Kyriazis and Diacogiannis, 2007 – Kyriazis and Christou, 2013) conducted on earlier periods of the Greek Exchange market.

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

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/12251

Collections

Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

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