Διερεύνηση της αποτελεσματικότητας επενδυτικών στρατηγικών

Δημακάκος, Παναγιώτης

Master Thesis

Author

Δημακάκος, Παναγιώτης

Date

2011-06-02

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Subject

Επενδύσεις ; Διαχείριση χαρτοφυλακίου ; Μετοχές -- Τιμές

Abstract

This study examines whether the contrarian investment strategy, implies simultaneously buying previous shares, which had the lowest performance (losers) for a specified period and selling shares that have increased yields (winners) over the same period, exists in stock market of Athens. The purpose of this study is to investigate whether the adoption of an contrarian strategy can lead to systematically higher returns of 'losers' portfolios in relation to the "winners". This study utilizes the methodology of De Bondt and Thaler (1985) contrarian strategies in a list of 36 shares of companies listed on the Athens Stock Exchange. The reporting period from January 2000 until June 2009 has been divided into three sub-periods to cope with any seasonal events and economic circumstances. Building a portfolio is firstly to find the shares that constitute, on the other, the respective weighting. After the construction of "Winners" and "Losers" portfolio we move to the comparison between them in every phase of the period under consideration. The empirical results of this study do not converge in one direction and often have entirely different results from period to period. The results of the analysis indicate the possibility of obtaining higher yields for investors, particularly the period when the Athens Stock Exchange recorded losses. Instead, there is little evidence to support the effectiveness of contrarian strategies on the growth period of Greek stock market and achieving long-term contrarian profits.