Thursday, 29 March 2012: 5:30 PM
This study constitutes a continuation of the work by Kyriazis and Diakogiannis (2007) in testing the performance of contrarial (value) strategies in the ASE in a more recent period of time 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 yield ratios, size, market to book ratios, financial leverage ratios and systematic risk (beta). Apart from the univariate portfolio analysis, we implement a novel panel data analysis based on the procedure suggested by Pesaran (2006), which provides a valid estimation and inference under cross sectional dependence. Our results do not support both the results from the portfolio analysis and the findings by Kyriazis and Diakogiannis (2007).