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Πλοήγηση ανά Συγγραφέα "Paraskevopoulos, Vasilios"

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    The impact of fundamentals, macroeconomics and the economic sentiment on stock returns - The application of panel data regression on Athens Stock Exchange (ASE)
    (2021-02-05) Paraskevopoulos, Vasilios; Παρασκευόπουλος, Βασίλειος; Athens University of Economics and Business, Department of Accounting and Finance; Vlismas, Orestes; Papadaki, Afroditi; Doukakis, Leonidas
    The purpose of this research is to own a broader look on the determinants of the stock returns. In other words, we analyze the effect of fundamentals, macroeconomics and the economic sentiment to test their impact on the future stock returns.This paper conducts a fundamental analysis of Greek firms supported on accounting numbers in their financial statements. The sample consists of all the Greek listed firms during the period 2010 to 2018.We use six fundamental signals to specify the firm’s quality. Beside those, we are using some macroeconomic variables to capture some data about the overall economic environment. Finally, economic sentiment is additionally used, so as to demonstrate the arrogance of the investors. We regress future excess returns on the signals and find that they are related to excess returns; Three of the signals appear to be statistically important. Two of the fundamental signals are negatively related to excess returns, while one is positively related to excess returns. More specifically, our findings showed that the proxy about the Gross Margin and Price-to-Book ratio have a negative beta coefficient, meaning that these ratios are negatively associated with the future stock returns. Return on assets (ROA), has a positive beta coefficient, showing its positive relation with the stock returns. With the introduction of the Macroeconomic variables in the model, we found that, besides the three fundamental variables mentioned previously, two of the macroeconomic variables appear to be statistically important. More particularly, the proxy about the 10-year yields and the GDP Growth, seem to have a positive effect on future stock returns, according to their positive beta coefficient. The volume of the Economic Sentiment Indicator (ESI) seems to have little explanatory power and is displayed as being not being statistically important in explaining the stock returns, in this model.