GEORGE ATHANASSAKOS PDF
George Athanassakos is a Professor of Finance and the Ben Graham Chair in Value Investing at Ivey Business School. He has been ranked among the top by Dr. George Athanassakos, Professor of Finance, Ben Graham Chair in Value Investing and Director, Ben Graham Centre of Value Investing – Ivey Business. Dr. George Athanassakos. Professor of Finance Ben Graham Chair in Value Investing & Founder & Managing Director, Ben Graham Centre for Value Investing.
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Prior to joining Ivey, Dr. Athanassakos has been ranked among the top 10 researchers in Canada by research published in Financial Management and among the top 10 Canadian professors by the Globe and Mail.
He has researched extensively the institutional attributes of the Canadian capital markets, the effect institutional trading and analysts’ forecasts have on stock market performance, stock and bond market anomalies and bond and equity valuation issues.
He has prepared studies on the Canadian capital markets and industry analyses for Greece and Canada. His books include Derivatives Fundamentals and Equity Valuation: Athanassakos has also written articles for the Financial Post and currently writes, as a grorge columnist, about investments and economic and financial topics in The Globe and MailCanada’s largest daily newspaper, and the Canadian Investment Review.
This paper sheds light on the individual characteristics associated with investment style. A vast literature documents the importance of individual personality in explaining variation in choice, yet many questions remain regarding the determinants of investment choices.
Recent research suggests that biology plays a significant role in determining investment style. We extend this research by examining whether measurable behavioral and personality factors predict investment style, including risk tolerance, time preference, overconfidence, personal athansasakos of the investment opportunity, and character strengths.
Link s to publication: Using separately interlisted and non-interlisted Canadian stock market data for the periodthe main purpose of this paper is to examine whether negative PE stocks are really different than positive PE firms, and whether negative PE stocks outperform, on average, the universe of positive PE stocks.
We find that firms with negative multiples are indeed different than firms with positive multiples in that a a relatively small number of firms with negative multiples experience high forward stock returns even though the majority gworge them does not resulting in a large difference between mean and median returns and b the value, size, liquidity and business risk premiums behave differently for negative vs.
This indicates that prior academic research was right in excluding negative multiple firms from their analysis. Moreover, the paper also shows that there are key differences between interlisted and non-interlisted firms both in the positive and negative PE space.
As a result, not only must negative PE firms be segregated from positive multiple firms, but also interlisted firms ought to be segregated from non-interlisted firms in related research as aggregation would undermine the clarity and generality of findings, affect the homogeneity of the sample and dilute findings and tests of significance.
The purpose of this paper is two-fold a to determine whether there is value premium in our sample of US stocks for the period May 1, April 30,and b to examine whether an additional screening to the first step of the value investing process can be employed to separate the outperforming value and growth stocks from the underperforming ones.
In this paper, we document the following: We find a consistently strong and pervasive value premium over the sample period. We show that there are distinct differences between US exchanges which means that papers that aggregate all US exchanges under one umbrella may dilute findings and bias conclusions.
The stocks of AMEX firms, high business risk firms and firms that report extraordinary items experience worse returns than the rest of the US stocks in our sample. We find that PE based sortings produce better overall results than sortings based on PB. We are able to construct a composite score indicator SCOREcombining various fundamental and market metrics, which enable us not only to separate the winners from the losers among value and growth stocks, but also to predict future returns of value and growth stocks.
SCORE portfolios give better results for sortings based on PE and when we employed a cross section – time series medians approach. Results remain robust for a time period out of sample, for negative PE or PB ratio firms and for the firms that were excluded from SCORE based performance, namely, AMEX stocks, stocks with high business risk and firms that reported extraordinary items the year before.
Finally, we provide evidence that the return of a portfolio strategy that buys sells stocks that rank low high in the composite score indicator has significant explanatory power in an asset pricing model framework and that such a strategy earns statistically significant positive returns. Using separately AMEX, NASDAQ and NYSE stock market data for the periodthe purpose of this paper is to examine whether negative multiple firms are different from positive ones by examining the performance of negative PE or PB firms and how this performance compared with the most widely examined positive multiples firms.
We find that firms with negative multiples are indeed different than firms with positive in that a a relatively small number of firms with negative multiples experience high forward stock returns even though the majority of them does not resulting in a large difference between mean and median returns and b the small firm-low liquidity effect observed in positive multiple firms is not as clearly observed in the case of negative multiple firms.
This indicates that prior academic research was right in excluding negative multiple firms from their analysis as inclusion would have affected the homogeneity of their sample and would have diluted their findings and tests of significance. The paper investigates two questions a whether there is value premium in a sample of Canadian non-interlisted stocks for the period May 1, April 30,and b whether an additional step to screening for possibly undervalued stocks can be employed to separate the good stocks from the bad ones, as not all low PE stocks are worth investing in.
Professor George Athanassakos offers a nine-point checklist for value investors
The paper extends this analysis to both value and growth stocks. We document a consistently strong value premium over the May 1, April 30, sample period, which persists in both bull and bear markets, as well as in recessions and recoveries. We show that the value premium is not driven by a few outliers, but it is pervasive. Our results are consistent with, but, in general, stronger than, those of other Canadian and US studies. We were able to construct a composite score indicator SCOREcombining various fundamental wthanassakos market metrics, which enabled us to predict future stock returns and separate the winners from the losers among value and growth stocks.
We also find that the return of a portfolio strategy that buys sells geogre that rank low high in the composite score indicator has significant explanatory power in an asset pricing model framework.
Results remain robust out of sample. The purpose of this paper is two-fold. First, to determine whether there athanassakos value athanassa,os in our sample of Canadian non-interlisted and interlisted stocks for the period May 1, April 30, Second, to examine whether an additional screening to the first step of the value investing process can be atanassakos to separate the good value stocks from the bad ones.
For both non-interlisted and interlisted stocks, we document a consistently strong value premium over the sample period, which persists in both bull and bear markets, as well as in recessions and recoveries for noninterlisted stocks, but less so for interlisted stocks. Interlisted stocks have a higher value premium than non-interlisted stocks.
The other difference between interlisted and non-interlisted firms is with regards to stock liquidity, debt to equity and qthanassakos cap metrics, georgw well as to the fact that a typical size effect does athhanassakos exist for interlisted stocks. We are able to construct a composite score indicator SCOREcombining various fundamental and market metrics, which enables us to predict future stock returns and separate the winners from the losers among value stocks.
Results are stronger for interlisted than noninterlisted stocks. It is not clear, however, whether the SCORE indicator performance is linked to risk as evidence is inconclusive.
The paper utilizes a more comprehensive set of data and tests than previous studies and a research methodology that minimizes potential data snooping problems and confounding inferences. We document a consistently strong value premium athanassaoos all markets athanassamos, which persists in both bull and bear markets, as well as in recessions and recoveries.
We show that the value premium egorge not driven by a few outliers, but it is pervasive as the overwhelming majority of stocks in the value portfolio have positive returns, and the majority of the industries in our sample have positive value premiums. The value premium, in general, remains positive and statistically significant over time.
Our ahanassakos are consistent with, but, in general, stronger than, those of other US studies. In terms of explaining the drivers of the value premium, having looked at this question from many angles, we conclude that the evidence is mixed. It seems that both risk and mispricing may play a role in athansssakos the value premium, although the scale of the evidence seems to tilt more to the side of mispricing.
The purpose of this article is first to examine whether a value premium exists following a mechanical screening process i. We find that a strong and pervasive value premium exists in Canada over our sample periods that persists in bull and bear markets and during recessionsrecoveries. Value stocks, on average, beat growth stocks even when using the very mechanical screening of the search process.
Furthermore, this article demonstrates that value investors do add value, in the sense that their process of selecting truly undervalued stocks, via in-depth security valuation of the possibly undervalued stocks and arriving at their investment decision using the concept of ‘margin of safety’, produces positive excess returns over and above the naive approach of simply selecting low PEPBV ratio stocks.
In the second half of the year, however, the opposite is true. Growth stocks exhibit weaker performance than value stocks. Seasonality is also observed in the value premium. The findings, which are pervasive across all markets examined, are consistent with the gamesmanship hypothesis and portfolio rebalancing by professional portfolio managers. However, they are not consistent with the argument that it may be higher risk that drives the outperformance of value stocks.
This is because while portfolio managers seem to rebalance aggressively into value stocks at the beginning of the year, they switch out of growth stocks more aggressively in the second half of the year, thus negating the argument that value stocks bear more risk that growth stocks. Finally, the paper shows that the difference we observe in value and growth stock return seasonality is not driven by size, but it is rather a pure value effect. By focusing on the decisions of investors to invest in cross-listed stocks, this paper presents new evidence on why we observe striking differences in the percentage of trade in foreign markets for cross-listed stocks.
Firms that are more visible to American investors are traded more heavily in the U. At the same time, firms that offer diverse risk characteristics are attractive to Americans. While investors understand the benefits of international diversification, as they are attracted to stocks that are different e. This paper sheds further light on the value premium by providing out-of-sample tests using Canadian data over the period and a search process that involves both PE and PBV ratios.
We document a consistently strong value premium over our sample period, which persists in both bull and bear markets, as well as in recessions and recoveries. The paper also shows that a PE based search process does a better job in identifying value stocks and arriving at more consistent and sizeable value premium than a search process based on PBVs. Both univariate and bivariate tests support the paper’s conclusions.
Using Canadian data for the periodthis paper provides evidence in support of the gamesmanship hypothesis. We document strong seasonality in excess returns of Canadian stocks and government bonds. However, the seasonality in the excess returns of the Canadian government bonds is opposite in direction from that of the Canadian stocks.
The paper provides support for the popular expression ‘Sell in May and Go Away’, as the average performance of risky securities is higher in the November to April period than the May to October period. The opposite is true for government of Canada bonds. Finally, we examine the seasonal behavior of aggregate fund flows into stocks and government of Canada bonds to complement the returns based tests of the gamesmanship hypothesis.
All robustness tests substantiate and consolidate the support for the gamesmanship hypothesis.
Public lecture by Dr. George Athanassakos (30/5/16)
Purpose – The purpose of this paper is to determine the extent to which Canadian companies have embraced value-based management VBM methods, identify the characteristics of these companies and of the executives responsible for the introduction of VBM in their organisations and assess the stock price performance of the companies that use VMB vs.
Designmethodologyapproach – The study is based on a survey of CEOs of a large sample of Canadian companies and examines the relation of a number of explanatory variables, including stock price performance, to the probability of using VBM versus not using VBM via a regression analysis of qualitative choice, namely logit analysis.
Findings – The study finds that value-based management methods are widely used in Canada, with the likelihood of usage being higher for larger companies with younger and more educated executives with an accountingfinance background. The statistical analysis that follows the tabulation of survey results indicates companies that used EVA had a better stock price performance than those not using EVA. Moreover, our logit regression analysis shows that companies with better stock market performance exhibited higher likelihood of using EVA.
Practical implications – The study implies that the lower usage of EVA in Canada, especially at the corporate level, provides some explanation for the stock market under-performance of the Canada market vis-a-vis the USA in the s.
Originalityvalue – To our knowledge, this study serves as the first widespread evaluation of VBM methods in Canada and their effect on company and stock price performance.
This article attempts to demonstrate that Internet venture valuations are not subject to different valuation standards and rules, even though one needs to expand on the traditional valuation approach to make it applicable to internet valuations.
It is shown that traditional valuation methods such as the discounted cash flows approach understate value twice first, when risk changes over time and second, when flexibility matters to an investment decision.
The observed high PE ratios may make most investors turn away from such investments, although the high PE ratios may be justified based on the option to great riches in the future and the lower risk associated with Internet ventures’ cash flows in the future given successful progression through early phases.
The objective of this paper is to investigate whether the current practice among financial planners of recommending stocks at an early age and progressively moving into cash or bonds as retirement approaches would be appropriate.
We computed returns, risks and end-of-period wealth distributions of various Canadian asset classes at increasing horizons between andbased on the bootstrapping technique.
George Athanassakos – The Globe and Mail
Results show that investment outcomes at short horizons can be quite different from outcomes at longer horizons. Evidence is provided in favour of time diversification, while the current market Practice of life cycle investing is not fully supported as stocks continue to exhibit more favourable risk-return payoffs than other asset classes, even at shorter time intervals.
For more xthanassakos please see our Research Database. Skip to Main Content. Richard Ivey Building Research Publications To search for publications by a specific faculty member, select the database and then select the georte from the Author drop down menu.