Comparative study of the evolution of stock returns for listed Romanian companies which received non-repayable structural and cohesion European funds

Panait, Iulian
Stoian, George-Daniel
Publication date: 
JEL codes: 
G01 - Financial Crises, G11 - Portfolio Choice; Investment Decisions, G12 - Asset Pricing; Trading volume; Bond Interest Rates, G15 - International Financial Markets.
Our paper investigates the particularities of the evolution of stock returns for the Romanian listed companies that were beneficiaries of non-repayable structural and cohesion European funds during Jan.2010 – Mar.2012. We use data mining techniques to analyze daily prices for 18 such companies and compare their characteristics with those of another 20 listed companies that didn’t receive such free financial resources for investments and development. We take into account the distribution form, mean, variance, skewness, kurtosis and we also compute the rolling window beta coefficient for all the studied companies. We simulate multiple theoretical portfolios with different combinations of companies which benefited and which didn’t benefited of the non-repayable European funds to see how the Markowitz efficient frontier behaves. The only significant difference that we found in daily returns behavior between companies which benefited from non-repayable funds and the other companies is that the first ones seem to have lower value for beta and as result they offer much more efficiency for portfolio diversification.
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