Angelo Aspris

Fundamental Based Market Strategies

A pronounced body of literature has raised the possibility that portfolio outperformance based on a simple accounting-based investment strategy can persist through time because markets may ignore and potentially misinterpret financial market signals. Employing a fundamental based strategy, we show that superior performance can be earned consistently through time by identifying and investing in firms with more favourable performance and credit signals. The strength of the portfolios are additionally characterised by the ability of the strategies to avoid firms with poor future prospects. These findings are robust across varying time periods after both transaction costs and related market constraints are considered.

Board Independence, Stock Liquidity, and Price Efficiency

Many recent governance reforms require that a majority of directors on corporate boards should be independent, and that only independent directors should serve on firm sub-committees. We examine the efficacy of these reforms by examining how board independence affects market liquidity and price efficiency. We focus on a comprehensive sample of 239 listed firms from 2004 to 2009 and find that firms with greater board independence have narrower spreads and greater speed of adjustment to new information. Additionally, improvements in board independence over time are positively associated with improvements in firm liquidity and efficiency. The results suggest that greater board independence can lower the probability of informed trading resulting in greater liquidity provision and smaller price delay.