Doukakis, Leonidas
Ηevas, Dimosthenis
Athens University of Economics and Business, Department of Accounting and Finance
This thesis examines the return predictability of financial statement information in screening E.U. bank stocks. The paper follows Mohanram et al. (2018) in constructing an aggregate financial statement information index (denoted BSCORE) based on nine bank-specific valuation ratios. The empirical findings indicate a positive association between BSCORE and one-year-ahead bank stock returns, providing evidence that BSCORE captures fundamental information that the capital markets have not yet impounded in the stock price. A hedge trading strategy based on BSCORE provides 18.58% (22.05%) [34.33%] cumulative buy-and-hold returns over a 12-month (24-month) [36-month] period. Finally, the thesis provides evidence of two potential channels underlying the return predictability strength of financial statement information: investor sentiment and economic uncertainty. Specifically, BSCORE is positively associated with stock returns during periods of high investor sentiment and high economic uncertainty. The findings in this thesis indicate a systematic approach to value banks, especially during bullish or uncertain markets.
Investor sentiment
Fundamental analysis
Uncertainty
Banking
Αποτελεσματικότητα αγορών
Συναίσθημα επενδυτών
Θεμελιώδης ανάλυση
Τραπεζική
Αβεβαιότητα