Valuation and Trading Efficiency in the Greek Stock Market PDF Download

Author: Despina Kantzi
Publisher:
ISBN:
Category : Corporations
Languages : en
Pages : 158

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Author: Gikas Manalis
Publisher:
ISBN:
Category :
Languages : en
Pages :

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The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalized autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time dependence in the process generating information flow to the market. Using daily trading volume or value as proxies for information flow, we find them to be significant in explaining the variance of daily returns and to reduce GARCH effects substantially. This has implications for the informational efficiency of the market.

Author: A. C. Bletsas
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages :

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Author: Manolis G. Kavussanos
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalised autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time dependence in the process generating information flow to the market. Using daily trading volume or value as proxies for information flow, we find them to be significant in explaining the variance of daily returns and to reduce GARCH effects substantially. This has implications for the informational efficiency of the market.

Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 580

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Abstracts of dissertations available on microfilm or as xerographic reproductions.

Author: Leighton Vaughan Williams
Publisher: Cambridge University Press
ISBN: 1139445405
Category : Business & Economics
Languages : en
Pages : 412

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Book Description
The degree to which markets incorporate information is one of the most important questions facing economists today. This book provides a fascinating study of the existence and extent of information efficiency in financial markets, with a special focus on betting markets. Betting markets are selected for study because they incorporate features highly appropriate to a study of information efficiency, in particular the fact that each bet has a well-defined end point at which its value becomes certain. Using international examples, this book reviews and analyses the issue of information efficiency in both financial and betting markets. Part I is an extensive survey of the existing literature, while Part II presents a range of readings by leading academics. Insights gained from the book will interest students of financial economics, financial market analysts, mathematicians and statisticians, and all those with a special interest in finance or gambling.

Author: Rui M.C. Guimaraes
Publisher: Springer Science & Business Media
ISBN: 3642747418
Category : Business & Economics
Languages : en
Pages : 799

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Book Description
The behaviour of market prices is a fascinating subject for researchers. Opinions vary substantially. from the view that prices accurately and quickly reflect relevant information to the other extreme that prices are not rationally determined and are hence to some degree predictable. This diversity of belief about the efficiency of markets is reflected in these proceedings of the NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets". The thirty-one workshop papers cover stock. currency and commodity markets. We are pleased to have contributions on markets in eleven NATO countries: Belgium. Canada. Denmark. France. Germany. Greece. Italy. the Netherlands. Portugal. the United Kingdom and the United States. The workshop papers thus provide a wide-ranging account of contemporary research into financial markets worldwide. The workshop was held at the Hotel do Mar. Sesimbra. Portugal from April 11 th to April 15th. 1988. We record our gratitude to Jose Cabral for ensuring the smooth progress of the workshop. The generous financial assistance of NATO was supplemented by contributions from: The Chicago Board of Trade. Alianca Seguradora. Banco Comercial Portugues. Fundacao Luso-Americana Para 0 Desenvolvimento. Junta Nacional de Investigacao Cientifica e Tecnologica. We speak for all the workshop participants in expressing our thanks to all our sponsors. Rui M. Campos Guimaraes. University of Porto.

Author: Andre Kuester Simic
Publisher:
ISBN:
Category :
Languages : en
Pages : 53

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Until the outbreak of the most recent shipping crisis in late 2008, German KG ship funds had been a prominent vehicle for investing in, and financing of, global shipping operations. Given that KG shares are not designed to be traded, investors are expected to require higher returns as compensation for illiquidity. Since the early 2000s, secondary market platforms for trading of shares in ship funds emerged. If investors could sell their shares at prices reflecting the fundamentals of their asset, lower returns would be demand. Making use of a novel methodological approach, 341 transactions of container ship funds executed from 2007 through 2012 are analyzed. The results reveal a surprisingly high fundamental-valuation efficiency: The identified pricing-relevant variables explain about 86% of the variations in the secondary market valuations of the ship funds. However, it is documented that shares in ship funds trade at discount relative to fundamental asset values.

Author: A. Kostis
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Michail S. Koubouros
Publisher:
ISBN:
Category :
Languages : en
Pages :

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This paper examines the time series relationship between portfolio specific variables (such as size, book-to-market and dividend yields) and portfolio returns using data from the Greek stock market from 1991 to 2003. Using a conditional version of the three-factor Fama-French (1993) asset pricing model, we find that the predictive power of these variables emerges from their strong comovement with assets' exposures to aggregate value and size related risks rather than to mispricing. Our results indicate that Athens Stock Exchange returns were driven by a rational risk story that allows firm characteristics to track changes in time-varying discount rates through changes in risk.