Testing the Performance of Value Strategies in the Athens Stock Exchange

Abstract

This study examines, for the first time consistently, the performance of contrarian (value) strategies in the Athens Stock Exchange (ASE) based on the price/earnings ratios, dividend yields, size (in terms of market value), market to book ratios, financial leverage ratios and the beta coefficient. We tested the validity of the aforementioned strategies, by examining the performance of portfolios of stocks formed on the basis of the above criteria, and by running a time series cross-sectional GLS multiple regression model. Our results showed that stocks having low price/earnings ratios, high dividend yields, small size, low market to book ratios, high market leverage and low betas generated significantly higher returns, which were achieved, with the exception of size variable, with no additional level of risk taken.

Keywords: contrarian/growth strategies, market anomalies, overreaction hypothesis

JEL Classification: G14, G11, G15, G19