John Sorros

Return and risk analysis: a case study in equity mutual funds operating in the Greek financial market

The present article aims to evaluate the performance of sixteen equity mutual funds operating in the Greek financial market over the period 1/1/1995‐31/12/1999. In doing so, the sample mutual funds were ranked on the basis of their return, total risk, coefficient of variation, systematic risk, and the techniques of Treynor, and Sharpe. Four mutual funds achieved lower return than the General Index of the Athens Stock Exchange (ASE). All sixteen mutual funds showed lower total risk, and risk‐return coefficient than the General Index of the ASE. In all mutual funds the beta coefficient was statistically significant at 5 per cent level of significance. The alpha coefficient was also statistically significant at 5 per cent level of significance in eight mutual funds. The movements of the General Index of the ASE explain more than 80 per cent of the variation in return in all sixteen mutual funds. Eight mutual funds were ranked in the same order on either Treynor’s or Sharpe’s technique.

The Reliability of Impairment Tests: The Case of Vessels☆

Abstract For a shipping company the vessel is the most valuable and important asset. In most cases the value of the vessel is the bigger part of total assets. Under International Financial Standards and also US GAAP (IAS 36 and SFAS 144 respectively) entities are required to conduct impairment tests where there is an indication of impairment of an asset. It is of high importance that the assumptions and the methodology of these tests be right, in order the results of the test be valid. Always there is the risk that the accountant manipulate the test in order to avoid any impairment loses. Authors’ purpose is to examine the way that the results from these tests are related with market values. Also under what test assumptions the results from the tests close enough to market values of vessels.

Accounting information and excess stock returns: the role of the cost of capital – new evidence from US firm-level data

The goal of this article is to investigate the impact of accounting information on the cost of capital as well as how the latter influences excess returns. The analysis has certain novelties: first, it extends prior works by investigating how certain components of accounting information affect stock returns through its direct effect on the cost of capital by incorporating influential components of accounting information; second, it makes use of a sample of 330 US manufacturing firms spanning the period 1990Q1 to 2009Q2, while it makes use, for the first time in this literature, of the methodology of panel cointegration. The empirical findings display that accounting information affects directly the firms cost of capital. This, in turn, tends to exert a negative effect on the firms excess stock returns, an empirical documentation not captured in case researchers attempt to directly link the cost of capital and excess stock returns.