Εντοπισμός παραμέτρων που επηρεάζουν τις τιμές των μετοχών : η περίπτωση του Χρηματιστηρίου Αθηνών

Γιοβάνης, Νικόλαος

Identification of the parameters that affect stock prices : the case of the Athens Stock Exchange

Master Thesis

Author

Γιοβάνης, Νικόλαος

Date

2016-03

View/Open

Μεταπτυχιακή διατριβή (1.341Mb)

Keywords

Μετοχικές αποδόσεις ; Χρηματιστήριο Αξιών Αθηνών ; Παλινδρόμηση

Abstract

Modern portfolio theory suggests that only systematic risk affects stock returns. Within the framework of the current study, we tried to test this suggestion by examining the following two assumptions: Assumption 1: There exist accounting variables that significantly affect stock returns. Assumption 2: Only systematic risk is significantly related to stock returns. After analyzing the data of 43 companies that are listed in the Athens Stock Exchange, for the period 2001-2010, we derived the following conclusions: ‒ Despite the fact that profitability, solvency and capital structure consist of crucial parameters for any company, they don’t significantly affect stock returns. ‒ There is a strong positive relationship between portfolio systematic risk and return. The above results are in line with the findings of numerous similar empirical studies as well as with the suggestions of the modern portfolio theory.