A Re-examination of the Performance of Value Strategies in the Athens Stock Exchange

This study constitutes a continuation of the work of Kyriazis and Diacogiannis (2007) in testing the performance of contrarial (value) strategies in the Athens Stock Exchange in a more recent period of time (2003-2008) based on the same variables employed by the previous study to construct the portfolios of stocks. These are namely the price to earnings ratios, dividend yields, size, market to book ratios, financial leverage ratios and systematic risk (beta). However, apart from the univariate portfolio analysis which remains essentially the same, the panel data regression analysis used in our current work is based on a new and sophisticated econometric technique which, to the best of our knowledge, is applied for the first time in a study of that kind. Our portfolio analysis results concerning the superiority of value strategies formed on the basis of stocks with low PE and high DY ratios are more or less in agreement with those reported by Kyriazis and Diacogiannis (2007) for the period 1995-2002. However, the current work presents weaker results in the performance of the value stocks portfolios sorted out by the MB ratio, size and beta factor than those reported in the previous study. The empirical results from the panel data analysis, although they do not fully support the results from the portfolio analysis, they seem to point into the same direction.