Testing the Relation Between Price-to-Earnings Ratio and Stock Returns in the Athens Stock Exchange

2005 ◽  
Author(s):  
Lambros Stefanis
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Athens Stock Exchange

An Empirical Assessment of CAPM, Market Model and APT: Evidence from the Greek Stock Market

2006 ◽  
Vol 7 (1) ◽  
pp. 87-118
Author(s):  
Petros Messis ◽  
George Emmanuel Iatridis ◽  
George Blanas
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Market Model ◽  
Expected Returns ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Total Risk ◽  
Pricing Theory ◽  
Athens Stock Exchange ◽  
Better Than

This paper uses three models to estimate the financial performance of 33 securities traded on the Athens Stock Exchange (ASE). To estimate the expected returns, this study uses the Capital Asset Pricing Model (CAPM), the Market Model, and the Arbitrage Pricing Theory (APT). There is significant evidence that the APT performs better than the CAPM and the Market Model, while the differences between the CAPM and the Market Model appear not to be significant. The three models are tested for a five-year period from 2000 to 2005. Total risk is significantly negatively related to returns during down markets, while this relationship is positive but not significant in up markets. There is evidence that, apart from the market risk, other risk factors that influence the stock returns are the inflation rate and the exchange rate.

Cross-sectional estimation of stock returns in small markets: The case of the Athens Stock Exchange

2003 ◽  
Vol 13 (6) ◽  
pp. 413-426 ◽  
Author(s):  
George Leledakis ◽  
Ian Davidson ◽  
George Karathanassis
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Cross Sectional ◽  
Athens Stock Exchange

scholarly journals The Relationship of Insider Trading Announcements, Ownership Structure and Corporate Governance: An Event Study Analysis of Athens Stock Exchange Market Technology Firms

2019 ◽  
Vol 11 (7) ◽  
pp. 13 ◽  
Author(s):  
Ioannis Antoniadis ◽  
Christos Gkasis ◽  
Stamatis Kontsas
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Event Study ◽  
Insider Trading ◽  
Boards Of Directors ◽  
Stock Exchange ◽  
Time Windows ◽  
Abnormal Stock Returns ◽  
Athens Stock Exchange ◽  
The Relationship

In the present paper, the relationship between corporate governance mechanisms of a firm and stock returns triggered by insider trading announcements is examined. Event study methodology has been used to evaluate the influence of 636 insider trading announcements performed by executives of 14 listed firms in the Athens Stock Exchange, that operate in the technology sector, during the period 2007-2013. The relationship between cumulative abnormal stock returns (CARs), caused by the announcements, and corporate governance characteristics, was then examined for different time windows, both for sales and purchases of stocks by insiders. Our findings suggest that insider trading, especially in purchases, performed by CEOs and members of the Boards of Directors, has a significant effect on stock returns in the long run. More specifically concentrated ownership structures and control were found to have a negative/positive effect in abnormal stock returns of the firms only in long-term periods of time following the announcement of purchases/sales.

scholarly journals Do stock prices reflect regulatory reforms in the corporate governance mechanisms?

2016 ◽  
Vol 13 (2) ◽  
pp. 419-431 ◽  
Author(s):  
Constantinos Chalevas ◽  
Christos Tzovas
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Stock Prices ◽  
Value Relevance ◽  
Stock Exchange ◽  
Economic Value ◽  
Governance Mechanisms ◽  
Corporate Governance Mechanisms ◽  
Athens Stock Exchange ◽  
Regulatory Reforms

This study provides evidence on the value relevance of corporate governance mechanisms in a developing stock exchange. It empirically investigates the effect of corporate governance mechanisms prescribed by the corporate governance law (L.3016/2002) on abnormal stock returns for firms listed in the Athens Stock Exchange (ASE). The first corporate governance law in Greece aims to improve the existing corporate governance framework. However, stock prices seem no to be affected by the regulatory reforms in the corporate governance mechanisms. Three reasons are given: (1) the fundamental economic value of a firm is not affected by the introduction of corporate governance mechanisms; (2) the fundamental economic value of a firm is affected by the introduction of corporate governance mechanisms but due to the fact that the Greek stock market is not efficient share prices do not reflect firm’s fundamental economic value; and (3) investors may not be convinced that corporate governance mechanisms significantly affect the performance of a company.The findings of this study can facilitate legislators in improving the existing legislation concerning corporate governance and in developing a new one.

scholarly journals A neural network approach for fundamental investment analysis: a case of Athens Stock Exchange

2020 ◽  
Vol 182 (3-4) ◽  
pp. 56-63
Author(s):  
Safwan Mohd Nor ◽  
◽  
Nur Haiza Muhammad Zawawi ◽  
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Investment Analysis ◽  
Financial Statement ◽  
Trading Costs ◽  
Network Approach ◽  
Neural Network Approach ◽  
Data Source ◽  
Athens Stock Exchange

This paper explores investment profitability in an emerging European stock market using fundamental analysis enhanced by artificial neural networks. Using a set of accounting-based financial ratios from publicly available data source, we find that these ratios possess useful information in forecasting future stock returns of Athens Stock Exchange (ATHEX) constituent firms. By combining long and short rules, the neurally reinforced fundamental strategy surpasses the unconditional buy-and-hold rule in the holdout subperiod in terms of returns (total and annualized) and risk (volatility, downside volatility and drawdown) measures. Overall results remain consistent even in the presence of trading costs. Our findings suggest that stock prices in Greece do not fully incorporate financial statement information and thus inconsistent with the principle of market efficiency at the semi-strong form.

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