Athens Stock Exchange Research Articles

An Empirical Assessment Of The Financial Attributes Of Firms Listed On The Athens Stock Exchange

<p class="MsoNormal" style="text-align: justify; margin: 0in 34.2pt 0pt 0.5in; mso-outline-level: 1;"><span style="font-family: Times New Roman;"><span style="color: black; font-size: 10pt; mso-bidi-font-style: italic; mso-bidi-font-weight: bold; mso-font-kerning: 18.0pt;" lang="EN-GB">This paper studies the financial characteristics of firms that are listed on the Athens Stock Exchange. The primary focus of the study is to capture the financial attributes of firms that display </span><span style="color: black; font-size: 10pt; mso-bidi-font-style: italic;" lang="EN-GB">positive and negative stock returns, and firms that display low and high standard deviation in their stock returns. The study also examines the behaviour of firms that belong to ATHEX as well as other market indices, such as FTSE 20, FTSE </span><span style="color: black; font-size: 10pt; mso-bidi-font-style: italic; mso-ansi-language: EN-US;">International</span><span style="color: black; font-size: 10pt; mso-bidi-font-style: italic;" lang="EN-GB">, etc. The study categorises listed firms </span><span style="font-size: 10pt; mso-bidi-font-style: italic;" lang="EN-GB">based on size, growth, profitability, liquidity and leverage, and assesses their financial behaviour and performance.<span style="color: black;"> Firms with high </span>profitability and growth, liquidity and dividend payout<span style="color: black;"> tend to attract investors’ interest and display positive stock returns. Firms with unfavourable financial figures and uncertainty appear to exhibit significant volatility in their stock returns. Firms that are politically and financially visible, either due to size or because they belong to a market index, tend to carefully organise their actions and meet financial analysts’ forecasts. Firms distribute high dividends and pay their creditors timely in order to attract investors, satisfy creditors and favourably affect stock market participants. Overall, firms structure their decision-making so as to improve their financial profile and performance, and influence the picture that the stock market has about their managerial abilities and future prospects.</span></span></span></p>

Capital Structure, Short Run Policy, And Performance Of Listed Manufacturing Firms In Greece

<p class="MsoBodyText2" style="margin: 0in 0.5in 0pt;"><span style="font-size: 10pt;"><span style="font-family: Times New Roman;">Assuming the national culture and the legal tradition of Greece, this paper addresses two questions. First, does the capital structure affect performance in the same way as in the mature economies? Second, does the short run financial policy of the firm affect the performance and under what circumstances? We apply a panel data analysis using data from the Athens Stock Exchange to test for these questions. </span></span></p>

IPSSIS: An integrated multicriteria decision support system for equity portfolio construction and selection

A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria, corresponding to the first two moments of return distributions, namely the expected return and portfolio variance. According to this model and according to most of the portfolio models derived from the stochastic dominance approach, the group of portfolios open to comparisons is divided into two parts: on the one hand there are the efficient portfolios (those that are not dominated by any other portfolio in the group), and on the other, those that are dominated. In other words, these models do not solve for one optimal portfolio, but rather solve for an efficient set of portfolios, among which the investor must choose, given his preference system. One criticism over these models, which has often been addressed both by practitioners and academics, is that they fail to embody the objectives of the decision maker (DM), through the various stages of the decision process. Our purpose in this article is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios, which will take into account the inherent multidimensional nature of the problem, while allowing the DM to incorporate his preferences in the decision process. The proposed approach, which grounds its basis on the field of multiple criteria decision making (MCDM) and more specifically on multiobjective mathematical programming (MMP), is implemented in the IPSSIS (Integrated Portfolio Synthesis and Selection Information System) decision support system (DSS). The validity of the proposed approach is tested through an illustrative application in the Athens Stock Exchange (ASE).

Asset allocation in the Athens stock exchange: a variance sensitivity analysis

ABSTRACTThis paper provides an analysis of asset allocation using univariate portfolio GARCH models applied on daily data for the period January 1999 to December 2009 on stocks traded in the Athens Stock Exchange, a recently monitored emerging market. Our analysis adopts the variance sensitivity analysis (VSA) methodology due to Manganelli (2004) and we are able to recover from the univariate approach the multivariate dimension of the portfolio allocation problem. The main results of the analysis are: First, we demonstrate that using a two asset portfolio consisting of blue chips traded in the Greek capital market the estimated variance is a parabolic and convex function of the estimated weights providing evidence that diversification produces significant gains in terms of risk reduction. Second, based on the shape of the first and second derivatives the model misspecification due to the fitting univariate GARCH models is insignificant. Third, we compare the performance of VSA against that of three popular multivariate GARCH models and it is shown that the adopted methodology provides more efficient results than the competing models. The gains in efficiency get larger as the size of the portfolio increases. Finally, with the application of the Kupiec's test for out‐of‐sample forecasting performance we demonstrate that the VSA outperforms all three alternative models at both the 95% and 99% confidence interval independently of the trading position. Copyright © 2011 John Wiley & Sons, Ltd.

Corporate performance evaluation: a multicriteria methodology and an application on the Athens Stock Exchange

In this article, we present a multicriteria methodology for supporting decisions that concern the evaluation of the overall corporate performance of firms, on the basis of financial analysis. The methodology’s key-characteristic is that the firms participate in the evaluation process are categorised in classes, with respect to their corresponding industry. In this way, the huge issue of competition between rival firms is fully taken into consideration, while unreasonable comparisons between them are excluded. Moreover, the crucial importance issue of accounting singularities between business sectors is also strongly taken into account. The evaluation of each class of firms is based on specialised criteria set which correspond to the specific accounting plan each company belongs in. The validity of the proposed methodology is tested through a large scale application on the Athens Stock Exchange. Finally, an elaborate review of the coherent research studies is also provided.

A conditional CAPM: implications for the estimation of systematic risk

The purpose of this paper is to examine: (i) whether or not, the residuals of the Market Model are conditionally heteroscedastic; (ii) whether or not, there exists an intervalling effect in conditional heteroscedasticity in the residuals of the Market Model; (iii) the effect of conditional heteroscedasticity on the estimation of systematic risk.; as well as to propose a simple data driven conditional CAPM. To this end daily closing price of stocks traded at the Athens Stock Exchange are used. Empirical evidence is provided for the existence of: (a) conditional heteroscedasticity in MM residuals; (b) a pronounced intervalling effect on ARCH in MM residuals; (c) GARCH in mean type of conditional heteroscedasticity for the majority of cases where ARCH was present in MM residuals. These findings in terms of theory are conducive to a conditional CAPM, which takes into account the effect of conditional variance on expected returns, rather than the standard CAPM. Furthermore, in terms of practical implications these findings may lead to better estimates of systematic risk.

On the relationship between systematic risk and financial and operating risk: the case of the Greek listed firms

The study analyses the effect of operating and financial risk and other factors such as profitability, liquidity, dividend payout, size and growth on systematic risk for Greek listed firms, after Greece’s entrance in the Monetary Union. The study also examines whether the explanatory power of the fundamental drivers of systematic risk is time sensitive. A panel data multivariate regression methodology is used. The findings suggest that the degrees of financial and operating leverage, the interest coverage ratio, the growth in total assets and the dividend payout ratio help explain variations in beta. It is shown that there is a negative relationship between DOL * DFL and systematic risk and that the examined relationships are time-sensitive. The study also denotes that the Athens Stock Exchange General Index is not appropriate for the estimation of beta for the Greek listed firms.

Accounting relevance and speculative intensity: empirical evidence from Greece

PurposeThe aim of this paper is twofold: first, it aims to examine the relevance of earnings and book values on stock prices, and second, to test for the effect of speculative intensity on the relevance of accounting information between 1995 and 2004.Design/methodology/approachThe data were collected from a sample of 101 non‐financial firms listed at the Athens Stock Exchange over the period 1996‐2004 and were analyzed using OLS regression models.FindingsResults indicated that book values are not relevant when they are considered solely, but both earnings and book values are more relevant when they are simultaneously included in the model. Finally, taking into consideration the effect of speculative intensity, we observed that it has a positive and significant effect on stock prices yet the value relevance of earnings and book values has not changed even after controlling for speculation.Practical implicationsThe findings can be used by analysts and capital market researchers since both must bear in mind the fact that the quality of the capital market and the quality of the stock prices are not constant over time. Consequently, the classical valuation models are misspecified and could yield significant bias if speculative intensity is not taken under consideration.Originality/valueThe findings provide a further insight on the issue of accounting relevance within the context of an emerging capital market like Greece. According to our knowledge this is the first study which concerns speculation as an important factor of accounting value relevance in an European country.

The impact of accounting of securities valuation on stock returns: the case of Greece

PurposeThe purpose of this paper is to investigate the market reaction to the accounting treatment of the marking‐to‐market of equity investments of Greek firms during the period 2002‐2004.Design/methodology/approachUsing data for firms listed in the ASE, a treatment effects model of returns on control variables, the valuation adjustment and a dummy for the accounting treatment which is modeled as conditional to profitability, size and leverage.FindingsIt is found that firms chose to take valuation losses through equity but the market considered this treatment as a negative signal. The paper concludes that although market behavior is consistent with the efficient markets hypothesis, managerial behavior is more consistent with the mechanistic hypothesis.Originality/valueThis study contributes to understanding the factors that influence the accounting policy decisions of firms listed in the Athens Stock Exchange. In addition, this study contributes to evaluating the IASB's decision to give issuers of reclassify financial the ability to reclassify them.

The Influence Of Boards Of Directors Characteristics On Strategic Decision-Making: Evidence From Greek Companies

This study explores the influence Boards of Directors’ demographic characteristics on the process of making strategic decisions. Empirical testing is based on a sample of 105 Greek companies listed on the Athens Stock Exchange. The results suggest that educational level affect both the financial reporting and the hierarchical decentralisation in the strategic decision-making process. Also, functional background of executives was found to be related with financial reporting. However, the educational specialty did not appear to have any significant influence on the strategic decision-making process. In light of these findings, implications for practitioners are made and avenues for future research are suggested.

The impact of the Athens Olympic Games on the Athens Stock Exchange

PurposeThe purpose of this paper is to examine the relationship between the Athens Olympic Games and the Athens Stock Exchange (ASE). It aims to test: the effect of the Athens 2004 Olympics on the general index of the ASE; the impact of the Olympic Games 2004 to the sponsors' prices traded on the ASE (based on three National sponsors and one International sponsor); and the effect of the Greek Olympic Champions (winners' effect) on the course of the ASE.Design/methodology/approachThis paper captures financial time series characteristics by employing an AR(1)‐GARCH(1,1) model with generalized error distribution (GED). The paper uses daily closing prices for the General ASE index and four Grand Sponsors listed in the ASE (Coca‐Cola, Alpha Bank, OTE, and Cosmote) over the period 19 January 1996 to 20 December 2005.FindingsThe results show no effect on the general ASE index, but a positive effect on the OTE (Hellenic Telecommunications Organisation) index. Also, the results show a positive effect of Greek Medallists on the ASE index and two National sponsors, Alpha Bank and OTE.Research limitations/implicationsFurther research should investigate the impact of other mega sporting events (Mundial, European Championships) on the course of international stock markets using high‐frequency datasets and models.Practical implicationsThe findings are strongly recommended to financial managers and investors dealing with Greek stock indices.Originality/valueThe contribution of this paper is to examine the above hypotheses on the relationship between the Athens Olympic Games and the ASE using a large sample data, and a Generalised Autoregressive Conditional Heteroskedasticity (GARCH) model with GED.

Intellectual Capital and Business Performance: An Empirical Study for the Greek Listed Companies

The aim of this study is to empirically examine the four elements of intellectual capital (human capital, customer capital, structural capital and innovation capital) and their relationship with business performance in the Athens Stock Exchange (ASE). This study was conducted based on a psychometrically validated questionnaire developed and launched by Bontis (1997) and Bontis et al. (2000). Confirmatory Factor Analysis and Structural Equation Model have been used as statistical methods to analyse the five hypotheses developed. Our results are designed to extend it to degrees consistent with those revealed by Bontis et al. (2000) for a Malaysian set of industries. In particularly, we found that: (a) human capital is important and positively associated to customer capital in both service and non-service industries; (b) customer capital has an influence in structural capital rather than in non-service industries; (c) innovation capital seems to have an important and positive relationship to structural capital, regardless of the industry type; and (d) structural capital has a positive relationship to business performance in both industry types, and especially in non-service industries.

Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach

In this research article, our purpose is to propose a single-period multiobjective mixed-integer programming model for equity portfolio construction, in order to generate the Pareto optimal portfolios, using a variant of the well-known ε-constraint method. The decision maker's investment policy, i.e. constraints regarding the portfolio structure, is strongly taken into account. An illustrative application in the Athens Stock Exchange market is also presented.

Greek market efficiency and its international integration

Political, economic and legal risks are among the causes of market inefficiency and the consequent under-development of financial markets. To further the understanding of the factors affecting market development, this study evaluates the Athens Stock Exchange (ASE). The Greek market provides a unique opportunity to isolate market efficiency as a factor in market development. Since its membership to the European Union (EU) in 1981, political and legal risks in the Greek market are similar to those of the other EU member countries such as the U.K., Germany and France. Greece's inclusion in the Eurozone in 2000 has eliminated many of the economic risks. The unrealized potential of the ASE is therefore questioned. Considering the relatively small number of stocks in the ASE, market level analysis is potentially inappropriate: studies may be rejecting the ASE's efficiency due to irregularities in a few influential stocks. Thus, this study analyzes the efficiency of the ASE by evaluating the market's, as well as individual stocks’, returns. A well documented anomaly for the ASE, the day-of-the-week effect, is evaluated as are return predictability tests including a runs test, causality from other markets, and causality from liquidity. Both on the market level and on the individual level, evidence of inefficiencies are found. Based on the evidence that about 94% of Greek stocks’ returns are Granger-caused by at least one foreign market, it is concluded that the Greek market lacks the appeal for international diversification. Overall, the ASE's unrealized potential is blamed on lingering market inefficiencies and especially on its causal relationship with international markets.

Testing the relation between beta and returns in the Athens stock exchange

PurposeThe purpose of this paper is to examine the relationship between beta and returns in the Athens stock exchange (ASE), taking into account the difference between positive and negative market excess returns' yields.Design/methodology/approachThe data were taken from DataStream database and the sample period consists of 12 years divided into four six‐year periods such that the test periods do not overlap. Regression analysis is applied, using both the traditional (unconditional) test procedure and the conditional approach.FindingsThe estimation of return and beta without differentiating positive and negative market excess returns produces a flat unconditional relationship between return and beta. However, when using the conditional capital asset pricing model (CAPM) and cross‐sectional regression analysis, the evidence tends to support the significant positive relationship in up market and a significant negative relationship in down market.Research limitations/implicationsThe small number of listed companies in the ASE led to the inclusion of the financial and insurance companies in the sample, and to the formation of a small number of portfolios. The same research methodology could be applied to individual stocks of the ASE and with the exclusion of all financial companies.Originality/valueThe results tend to support the existence of a conditional CAPM relation between risk and realized return trade‐off.

Environmental reporting in Greece: The Athens stock exchange

There is a growing interest in Greece about subjects such as sustainable development, corporate social responsibility and corporate environmental performance. They are an after-effect of the international calls about the responsibility of corporations towards natural environment. Therefore, Greek corporations have started implementing practices for better environmental performance and reporting them to the public. The present research aimed to investigate Greek corporations’ disclosures about their behavior towards the protection of natural environment. The research year was 2007. It examined the listed corporations in Greek stock market and tested whether there were differences among company groups in terms of environmental reporting. It also tested whether the notion that the environmentally sensitive sectors usually disclose more environment related data compared to other sectors is confirmed in the Greek context. Then the research sought on which environment related aspect tend the Greek companies to report on and finally it clustered them in similar groups of reporting extent. Among other things, the results showed that few corporations in Greece reported in 2007 on environmental issues. Key words: Greece, Athens stock exchange, Greek corporations, protection of natural environment, environmental reporting, environmental expenditure.

Audit pricing, quality of earnings and board independence: The case of the Athens stock exchange

Abstract Prior research has pointed to the importance of the determinants of audit pricing. This paper examines empirically the effect of both audit independence and earnings management on the audit pricing by companies listed on the Athens Stock Exchange. This test is performed in an institutional setting with excessive earnings management and poor corporate governance mechanisms. The results based on a sample of 97 Greek companies for a five-year period (2000–2004), show that there is a positive association between audit independence and auditing pricing. Our results also indicate a positive association between audit pricing and earnings management for the small size companies. Taken together our results suggest that strong governance is related to increased needs for quality assurance services and that the relation between earnings management and audit pricing might indicate potential red flags. Finally, limitations, suggestions for further research and policy implications for regulatory agencies are offered.

Endogeneity and the relationship between board structure and firm performance: a simultaneous equation analysis for the Athens Stock Exchange

The main goal of this paper is to examine the relationship between the three most important characteristics of the board of directors with firm performance. More specifically, we investigate whether the independence of the board, the leadership structure and the board size, are exogenous determinants to the firm's performance, using a simultaneous equations framework. Our database is composed of firms quoted in the ASE, starting from 146 observations in 2000 and ending with 232 firms in 2006. The findings suggest that the board independence and the leadership structure do not affect the firm performance. On the other hand, an inverse relationship between board size and firm performance is observed. Copyright © 2010 John Wiley & Sons, Ltd.

A multiple criteria decision-making approach for the selection of stocks

A fundamental principle of modern portfolio theory is that portfolio selectiondecisions are generally made using two criteria, corresponding to the first twomoments of return distributions, namely the expected returnportfolio variance.One criticism over this theory, which has often been addressed both bypractitioners and academics, is that it fails to embody all thedecision-maker's objectives, through the various stages of the decisionprocess. The aim of this paper is to present an alternative methodologicalapproach for modeling one of the most crucial phases of the portfolio managementprocess, the security selection phase. The main characteristic of the proposedapproach is that it fully takes into account the inherent multi-dimensionalnature of the problem, although allowing the decision-maker to incorporate hispreferences in the decision process. The validity of the proposed approach istested through an illustrative application in Athens Stock Exchange. Besides, adetailed categorized bibliography is provided, relative to the application ofthe techniques of multiple criteria decision making to the problems and issuesof portfolio management.

Predictability of stock returns using financial statement information: evidence on semi-strong efficiency of emerging Greek stock market

This article examines the predictability of stock returns in the Athens Stock Exchange (ASE) during 1993 to 2006 by using accounting information. Using panel data analysis, this article concludes that the selected set of financial ratios contains significant information for predicting the cross-section of stock returns. Results indicate that portfolios selected on the basis of financial ratios produce higher than average returns, suggesting that the emerging Greek market does not fully incorporate accounting information into stock prices and hence it is not semi-strong efficient.