Διδακτορικές διατριβές

Μόνιμο URI για αυτήν τη συλλογήhttps://pyxida.aueb.gr/handle/123456789/34

Περιήγηση

Φιλτράρετε τα αποτελέσματα ανά έτος ή μήνα

Τώρα δείχνει 1 - 20 από 46

Contrarian strategies in the Athens Stock Exchange: is there a rational explanation?
(Athens University of economics and Business, 2009) Christakis, George; Athens University of Economics and Business, Department of Accounting and Finance; Spyrou, Spyros
Doctoral thesis - Athens University of Economics and Business
Contrarian strategies in the Athens stock exchange : is there a rational explanation?
(2009) Christakis, George; Athens University of Economics and Business, Department of Accounting and Finance; Spyrou, Spyros
Η ποιότητα του ελέγχου των οικονομικών καταστάσεων : αποτελέσματα από την εφαρμογή οικονομετρικών υποδειγμάτων εντοπισμού διαχείρισης κερδών
(Οικονομικό Πανεπιστήμιο Αθηνών, 2012-04) Καρμπαδάκης, Γεώργιος; Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής; Μπάλλας, Απόστολος
Διδακτορική διατριβή - Οικονομικό Πανεπιστήμιο Αθηνών
Alternative explanations of the price behavior on the ex-dividend day of common stocks listed in U.S and Greek exchanges
(Athens University of Economics and Business, 2012-05) Efthymiou, Vassilios A.; Leledakis, Georgios
Doctoral thesis - Athens University of Economics and Business. Department of Accounting and Finance
Καμπύλη απόδοσης και κρατικά ομόλογα : μέθοδοι υπολογισμού και ανάλυσης της προγνωστικής τους ικανότητας
(Οικονομικό Πανεπιστήμιο Αθηνών, 2014) Ρες, Στυλιανός; Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής; Γεωργούτσος, Δημήτριος
Διδακτορική διατριβή - Οικονομικό Πανεπιστήμιο Αθηνών
Sovereign debt risk and financial markets: three essays
(2016-03-22) Moratis, Georgios; Μωράτης, Γεώργιος; Athens University of Economics and Business, Department of Accounting and Finance; Georgoutsos, Dimitrios
This thesis is divided into five chapters. Chapter one presents the time line of the global financial crisis and the Eurozone sovereign debt crisis. Chapter two attempts to estimate the effect of sovereign credit rating changes on the pricing of default risk of Euro-zone States. Chapter three investigates empirically the contagion of default risk between the Euro-zone States and their banking sectors. Chapter four studies the determinants of default risk valuation for Euro-zone’s financial institutions. Chapter five concludes with a summary of the main contributions of the thesis.
The effects of IFRS on investment decisions
(2018-03-07) Kapellas, Konstantinos A.; Καπέλλας, Κωνσταντίνος Α.; Athens University of Economics and Business, Department of Accounting and Finance; Ghicas, Dimitrios; Ballas, Apostolos; Papadaki, Afroditi; Xevas, Dimosthenis; Demirakos, Efthimios; Tzovas, Christos; Siougle, Georgia
This thesis studies the relation between the financial reporting framework after IFRS adoption and investment decisions. This thesis is structured around three parts the first part (1st) contains academic literature review in the area of financial reporting practices and investment decisions and the second part (2nd) in the area of the effects of IFRS adoption (the change in financial reporting system) on investment management. The third part (3rd) of this thesis is the empirical research on the effects of IFRS adoption in investment decisions in terms of financial reporting quality, cost of equity capital, return on invested capital, and level of new investments. Additionally the third part studies the effects under crisis and non-crisis economic conditions. The empirical research is focused on European evidence and especially on Eurozone countries.The motivation of this research is based on that corporate investment is a fundamental determinant for future sustainability and growth. The extent to which IFRS adoption does affect corporate investment is essential to our understanding of how financial reporting impact real economic activity and especially focusing on investments on operating assets.
Bank M&As in the U.S. and the EU: shareholder value creation through consolidation
(2018-03-31) Pyrgiotakis, Emmanouil, G.; Πυργιωτάκης, Εμμανουήλ Γ.; Athens University of Economics and Business, Department of Accounting and Finance; Rompolis, Leonidas; Tsekrekos, Andrianos; Drakos, Konstantinos; Episcopos, Athanasios; Georgoutsos, Dimitrios; Spyrou, Spyros; Leledakis, Georgios
In this thesis, we focus on providing new evidence regarding the shareholder wealth effects on bank M&As. As Kaplan (2000) suggests, merging activity is influenced by industry and regulatory shocks. Therefore, the current economic condition provides a unique opportunity for examining potential changes in consolidation trends in the banking industry. On the one hand, the Dodd-Frank Act in the U.S. attempts to re-regulate the financial sector after the market collapse of 2008, and on the other hand, the long-lasting European sovereign debt crisis had revealed the weaknesses of the European banking industry. Therefore, both events are likely to have influenced they way market participants react to bank mergers and acquisitions. Another important issue is the limitation in samples of the existing relevant studies. All studies for the U.S. market focus exclusively in deals between publicly-traded banks, and find no evidence of merger-related bidder gains. Fuller et al., (2002), Officer et al. (2009), among others, examine deals between nonfinancial firms, and find positive bidder gains in private offers. Hence, we attempt to fill this gap and examine whether this “listing-effect” is also evident in the banking industry.
Corporate Social Responsibility's connection with earnings and cost behavior
(2018-11-29) Filiou, Anastasia; Athens University of Economics and Business, Department of Accounting and Finance; Tzovas, Christos; Karampinis, Nikolaos; Papadaki, Afroditi; Demirakos, Efthimios; Siougle, Georgia; Xevas, Dimosthenis; Ballas, Apostolos
The aim of this thesis is to explore the interrelations of corporate social responsibility (CSR) with earnings quality and operating costs’ behavior. The first research question of this study examines the corporate social responsibility (CSR) engagement in relation to the earnings quality. Using panel data set methods for a sample of 1.650 European non-financial companies between 2009 and 2015 a positive relationship is documented between earnings management (EM) and corporate social responsibility (CSR). This result can be explained because according to the legitimacy approach, involvement in social responsibility actions may provide legitimacy and credibility to the organization which justifies why firms with low earnings quality may choose to perform corporate social responsibility actions.The second research question of this dissertation investigates the impact of institutional framework, such as regime for investor protection, political framework, cultural framework, economic factors and corporate governance factors on the associations between corporate social responsibility and earnings quality. A data set is constructed with external and internal corporate governance, political, financial, and cultural factors. The factor of investor protection framework followed by the political factors of rule of law and control corruption are the most important categories of institutions that influence the relationship between corporate social responsibility and earnings management. In the final research question the relation of CSR engagement with operating cost stickiness under the effect of corporate governance structures is explored for European firms. After verifying the existence of operating cost stickiness in the sample, it is divided in high involvement CSR and low involvement CSR firms. The empirical findings indicate that operating expenses exhibit cost stickiness (anti-stickiness) in the case of firms with high (low) intensity of CSR activities. It is shown that the high CSR firms exhibit less operating cost stickiness under strong corporate governance mechanisms.
Essays on banking
(2019-09-11) Αναστασίου, Δημήτριος; Anastasiou, Dimitrios; Athens University of Economics and Business, Department of Accounting and Finance; Τσεκρέκος, Ανδριανός; Κωνστνατίνου, Παναγιώτης; Λελεδάκης, Γεώργιος; Επίσκοπος, Αθανάσιος; Ρομπόλης, Λεωνίδας; Χαλαμανδάρης, Γεώργιος; Δράκος, Κωνσταντίνος
This thesis is divided into two main parts in which we try to shed more light on the empirical investigation of some recent topics of the general banking literature. The first part contains three chapters and deals with the demand and the supply sides of the fundamental banking loan market outcomes. The second part contains two chapters in which we examine the impact of crisis sentiment as captured by Google searches on bank deposit flows.
The effects of the ECB monetary policy on the market rates, the bank lending channel and the systemic and non-systemic risk of the financial institutions during the recent financial crisis in the Eurozone
(2019-09-26) Γαλάνη, Μαρδικούλα; Galani, Mardikoula; Athens University of Economics and Business, Department of Accounting and Finance; Δράκος, Κωνσταντίνος; Χαλαμανδάρης, Γεώργιος; Επίσκοπος, Αθανάσιος; Καβουσανός, Εμμανουήλ; Λελεδάκης, Γεώργιος; Τσεκρέκος, Ανδριανός; Γεωργούτσος, Δημήτριος
This thesis provides evidence regarding the impact of the monetary policy decisions of the European Central Bank (ECB) during recent financial crisis in the eurozone. The effect on the money market yield curve and thus the proper functioning of the interest rate channel of monetary policy transmission before and after crisis has been affected. We found that as in the financial crisis money market rates have been heavily impacted by risk concerns and the ability of the central bank to steer money market rates via standard channels of monetary policy transmission was weakened. However, our results indicate that the ECB's non-standard monetary policy measures regarding additional liquidity measures have proven to be effective in reducing money market rates. Also, the effects of monetary policy on the bank lending channel have been assessed. The standard bank- specific characteristics as size, capitalisation are significant drivers for the loan supply, as well as the type of funding sources such as short-term funding and securitisation activity, the amount of investment banking and other fee-based activities. The outright ECB monetary decisions concerning the support packages provided contributed to the maintenance of the stability of the banking sector, and led to an increase of loan supply. Moreover, the impact of ECB monetary policy on systemic and non-systemic risk of the financial institution of the Eurozone has been examined. The results indicate that the ECB’s monetary policies had a negative impact on both systemic and non-systemic risk. Decisions regarding the liquidity support packages and the establishment of the ESM/EFSF seem to reduce systemic and non - systemic risk. The majority of the banks affected by the ECB’s monetary policy decisions were the banks of the peripheral economies of the eurozone.
Macroeconomic expectation formation under uncertainty
(2020) Θωμά, Φωτεινή-Άννα; Thoma, Fotini-Anna; Athens University of Economics and Business, Department of Accounting and Finance; Γεωργούτσος, Δημήτριος; Κωνσταντίνου, Παναγιώτης; Καβουσανός, Εμμανουήλ; Σπύρου, Σπυρίδων; Επίσκοπος, Αθανάσιος; Τσεκρέκος, Ανδριανός; Δράκος, Κωνσταντίνος
Ο κύριος στόχος του Ευρωπαϊκού Συστήματος Κεντρικών Τραπεζών (ΕΣΚΤ) είναι η διατήρηση σταθερότητας των τιμών δηλαδή η ετήσια αύξηση του Εναρμονισμένου Δείκτη Τιμών Καταναλωτή (ΕνΔΤΚ) για τη ζώνη του ευρώ με ρυθμό χαμηλότερο, αλλά πλησίον του 2%. Με τον τρόπο αυτό αποτρέπονται φαινόμενα αύξησης του γενικού επιπέδου των τιμών με ρυθμό μεγαλύτερο του 2% ή περιπτώσεις αντιπληθωρισμού (δηλ. πτώση του επιπέδου των τιμών). Ένας σταθερός ρυθμός αύξησης των τιμών διατηρεί την αξία του ευρώ διεθνώς διασφαλίζοντας την αγοραστική δύναμη των πολιτών. Όταν η Ευρωπαϊκή Κεντρική Τράπεζα (ΕΚΤ) ανακοινώνει τον στόχο της για το επίπεδο του πληθωρισμού, δίδεται η ευχέρεια στα άτομα να κρίνουν έχει επιτύχει ή όχι το στόχο της αυξάνοντας τη διαφάνεια της νομισματικής πολιτικής και παρέχοντας ένα σταθερό σημείο αναφοράς σχετικά με τις προσδοκίες των ατόμων για τις μελλοντικές αυξήσεις των τιμών. Σε περίπτωση απόκλισης της εξέλιξης των τιμών από τον ορισμό της σταθερότητας των τιμών, η ΕΚΤ θα πρέπει να αναλύσει τον τρόπο με τον οποίο προτίθεται να αποκαταστήσει τη σταθερότητα εντός αποδεκτού χρονικού διαστήματος. Οι προβλέψεις των πολιτών σχετικά με το μελλοντικό επίπεδο των τιμών αποτελούν χρήσιμο εργαλείο χάραξης της νομισματικής πολιτικής. Η περίπτωση ορθολογικών προσδοκιών υποθέτει ότι τα άτομα χρησιμοποιούν κατά άριστο τρόπο όλη τη διαθέσιμη πληροφόρηση σχετικά µε τις τρέχουσες κυβερνητικές πολιτικές προκειμένου να προβλέψουν το μέλλον της οικονομίας. Για παράδειγμα, σε μια πιθανή μείωση του στόχου του ρυθμού πληθωρισμού τα άτομα κατά ορθολογικό τρόπο θα μειώσουν άμεσα τις προσδοκίες τους για το επερχόμενο επίπεδο πληθωρισμού. Παρόλα αυτά, σε πραγματικό χρόνο οι πολίτες λειτουργούν υπό συνθήκες αβεβαιότητας, δεν είναι σε θέση να γνωρίζουν όλη τη διαθέσιμη πληροφορία διαμορφώνοντας με τον τρόπο αυτό μη ορθολογικές προσδοκίες όσον αφορά το μελλοντικό επίπεδο τιμών. Στα πλαίσια χάραξης συνεπώς της νομισματικής πολιτικής είναι σημαντικό να αποσαφηνιστεί ο τρόπος με τον οποίο ενεργούν τα άτομα στην προσπάθειά τους να προβλέψουν τον πληθωρισμό καθώς και οι πιθανοί λόγοι απόκλισης από την ορθολογική συμπεριφορά. Σε θεωρητικό επίπεδο υπάρχουν σημαντικές βιβλιογραφικές αναφορές οι οποίες εξηγούν πιθανούς τρόπους διαμόρφωσης των προσδοκιών. Παρόλα αυτά, το εμπειρικό κομμάτι υστερεί ανοίγοντας το δρόμο για σημαντικό ερευνητικό έργο. Ερωτήματα τα οποία αφορούν τον τρόπο διαμόρφωσης των προσδοκιών καθώς και την εύρεση του καταλληλότερου μοντέλου για την περιγραφή της συγκεκριμένης συμπεριφοράς των ατόμων, παραμένουν ακόμα προς συζήτηση. Η παρούσα διδακτορική διατριβή καλείται να καλύψει τυχόν κενά και να εξελίξει την υπάρχουσα βιβλιογραφία χρησιμοποιώντας εμπειρικά δεδομένα προβλέψεων πολιτών της ζώνης του ευρώ αναφορικά με τη διαμόρφωση των μελλοντικών τιμών υπό συνθήκες αβεβαιότητας. Τα ευρήματα είναι ιδιαίτερα χρήσιμα για τη χάραξη της νομισματικής πολιτικής δεδομένου ότι οι πληθωριστικές προσδοκίες καθορίζουν πέρα από την εξέλιξη των τιμών, επενδυτικές, καταναλωτικές και αποταμιευτικές αποφάσεις.
The role of debt renegotiation in mitigating risk-shifting incentives
(2020) Πρασσά, Χαρίκλεια; Prassa, Charikleia; Athens University of Economics and Business, Department of Accounting and Finance; Τσεκρέκος, Ανδριανός; Χαλαμανδάρης, Γεώργιος; Ρομπόλης, Λεωνίδας; Καβουσανός, Εμμανουήλ; Δράκος, Κωνσταντίνος; Σπύρου, Σπυρίδων; Γεωργούτσος, Δημήτριος
Η παρούσα διδακτορική διατριβή επικεντρώνεται στη διερεύνηση του ρόλου της επαναδιαπραγμάτευσης του χρέους ως μέσο άμβλυνσης ή επίλυσης του προβλήματος μετακύλισης κινδύνου, το οποίο εισήχθη στη διεθνή βιβλιογραφία από τους Jensen and Meckling (1976). Το εν λόγω πρόβλημα ανακύπτει από την ύπαρξη κινήτρου των μετόχων μιας επιχείρησης να επωφεληθούν από επενδύσεις υψηλού κινδύνου σε βάρος των πιστωτών, και αποτελεί μια από τις κύριες πηγές σύγκρουσης συμφερόντων μεταξύ μετόχων και πιστωτών. Η μετακύλιση κινδύνου ανήκει σε μια ευρύτερη κατηγορία ενεργειών με ονομασία ‘κρυφές ενέργειες’, επειδή ο δανειολήπτης, εν προκειμένω ο μέτοχος, προχωρεί σε μια επενδυτική ενέργεια εν αγνοία του δανειστή (Ziegler, 1998). Σε γενικό πλαίσιο, η παρούσα διδακτορική διατριβή συμβάλλει σε ποικίλους τομείς της βιβλιογραφίας. Πρώτον, συνεισφέρουμε στη σχετική βιβλιογραφία δείχνοντας ότι η επαναδιαπραγμάτευση του χρέους μπορεί να θεωρηθεί μία εναλλακτική λύση σε σχέση με τους έως τώρα καλά μελετημένους τρόπους (π.χ. χρήση των warrants, μετατρέψιμο χρέος, βραχυπρόθεσμο χρέος) για την άμβλυνση του προβλήματος μετακύλισης κινδύνου. Δεύτερον, η μελέτη μας συμπληρώνει και επεκτείνει προηγούμενες μελέτες σχετικές με την τιμολόγηση του χρέους. Η υπάρχουσα θεωρητική βιβλιογραφία εξετάζει είτε το πρόβλημα μετακύλισης κινδύνου (Leland, 1998; Ericsson, 2000), είτε την επαναδιαπραγμάτευση του χρέους (Andeson and Sundaresan, 1996; MellaBarral and Perraudin, 1997; Fan and Sundaresan, 2000). Εξ’ όσων γνωρίζουμε, αυτή είναι η πρώτη μελέτη που αναπτύσσει ένα αναλυτικό μοντέλο συνεχούς χρόνου, το οποίο συνδυάζει τις δυο περιοχές. Τρίτον, συμβάλλουμε στις εμπειρικές μελέτες που αφορούν στη μετακύλιση κινδύνου, δείχνοντας ότι οι εταιρείες που αντιμετωπίζουν οικονομική δυσπραγία αλλά επαναδιαπραγματεύονται τις δανειακές τους υποχρεώσεις αντιστρέφουν την τάση για ανάληψη υπερβολικού κινδύνου. Τέλος, η μελέτη αυτή είναι η πρώτη που συνδέει το είδος επαναδιαπραγμάτευσης του χρέους με τα κίνητρα των μετόχων για μετακύλιση κινδύνου, εξετάζοντας ένα μεγάλο δείγμα 30.108 επαναδιαπραγματεύσεων δανειακών συμβάσεων.
Early warning systems for banking crises: evidence for the Euro-zone banking sector
(2020-11-10) Φιλιπποπούλου, Χρυσάνθη; Filippopoulou, Chryssanthi; Athens University of Economics and Business, Department of Accounting and Finance; Δράκος, Κωνσταντίνος; Γαλαριώτης, Αιμίλιος; Καβουσανός, Εμμανουήλ; Γεωργούτσος, Δημήτριος; Επίσκοπος, Αθανάσιος; Χαλαμανδάρης, Γεώργιος; Σπύρου, Σπυρίδων
Στην παρούσα έρευνα, στόχος είναι η δημιουργία ενός Συστήματος Έγκαιρης Προειδοποίησης κρίσεων τραπεζικού συστήματος στην Ευρωζώνη. Για το σκοπό αυτό, χρησιμοποιούνται στοιχεία από τη Μακροπροληπτική Βάση Δεδομένων τής ΕΚΤ. Στο πρώτο μέρος, γίνεται μία βιβλιογραφική ανασκόπηση των συστημάτων έγκαιρης προειδοποίησης τραπεζικών κρίσεων. Στη συνέχεια, εστιάζουμε στη διαμόρφωση του ερευνητικού αντικειμένου και στην πλαισίωση της εμπειρικής μας μελέτης. Στο δεύτερο μέρος, προχωράμε σε μία εφαρμογή της πιο διαδεδομένης και δημοφιλούς μεθόδου που χρησιμοποιείται, με βάση τη βιβλιογραφία, σε αυτού του είδους τα Συστήματα, της δυαδικής πολυμεταβλητής λογιστικής παλινδρόμησης. Η αρχική εφαρμογή επιλέχτηκε να γίνει σε δέκα τραπεζικά συστήματα της Ευρωζώνης για τα οποία υπήρχε πλήρης διαθεσιμότητα δεδομένων, για την περίοδο από το 1999 έως και το 2016, στη Μακροπροληπτική Βάση Δεδομένων της ΕΚΤ. Ως μεταβλητές έχουν χρησιμοποιηθεί κλασικές μακροοικονομικές παράμετροι, τραπεζικοί δείκτες καθώς και, για πρώτη φορά, δύο σύνθετοι δείκτες κινδύνου της ΕΚΤ, ένας δείκτης επενδυτικού αισθήματος και ένας οικονομικής ελευθερίας. Ως εξαρτημένη χρησιμοποιείται δυαδική μεταβλητή για την τραπεζική κρίση, η οποία λαμβάνει την τιμή «1» για την «περίοδος έγκαιρης προειδοποίησης» που ορίζουμε και ως στόχο έχουμε την πρόβλεψή της. Ακολουθεί η εφαρμογή μίας σειράς ελέγχων αξιοπιστίας στο μοντέλο αυτό, καθώς και έλεγχοι με δεδομένα εκτός του δείγματος. Στο τρίτο μέρος, γίνεται εφαρμογή ενός πολυωνυμικού μοντέλου λογιστικής συνάρτησης, στα δεδομένα του αρχικού δείγματος, με τις ίδιες επεξηγηματικές μεταβλητές, λαμβάνοντας υπόψη όμως ξεχωριστά τις παρατηρήσεις που ακολουθούν την κρίση μέχρι να επανέλθει η ομαλότητα. Επαναλαμβάνονται οι περισσότεροι έλεγχοι αξιοπιστίας που εφαρμόστηκαν στο προηγούμενο μέρος. Τέλος, καταλήγουμε ότι το δυαδικό μοντέλο πολυμεταβλητής λογιστικής συνάρτησης, για την έγκαιρη πρόβλεψη συστημικών τραπεζικών κρίσεων στην Ευρωζώνης είναι το πιο αξιόπιστο και υπερτερεί σαφώς έναντι του αντίστοιχου πολυωνυμικού μοντέλου στο συγκεκριμένο τουλάχιστον δείγμα. Επιπλέον, διαπιστώνεται ότι οι δείκτες κινδύνου της Μακροπροληπτικής Βάσης Δεδομένων της ΕΚΤ αποτελούν ένα πολύ χρήσιμο εργαλείο για την πρόβλεψη συστημικών τραπεζικών κρίσεων.
Energy listed firms: an examination of earnings management, herding and liquidity in a sample of eurozone markets
(2020-12-23) Zervou, Konstantina V.; Ζερβού, Κωνσταντίνα B.; Demirakos, Efthimios; Galariotis, Emilios; Georgoutsos, Dimitrios; Papadaki, Afroditi; Siougle, Georgia; Leledakis, Georgios; Spyrou, Spyros
During the past decades, different factors, such as the growing importance of the energy sector, the potential of energy stocks to offer hedging against energy risks, and a growing interest by investors to invest in real assets (Jennings, 2012) has led to the significant expansion of the energy sector. This sector has become one of the most important and promising sectors and has attracted attention from an increasing number of important institutional and professional investment portfolios (Bohl, Kaufmann, Stephan, 2013; among others). Jennings (2012) shows the investment portfolio efficiency is enhanced through a separate allocation to energy listed stocks and in addition, investment in energy stocks may offer a hedge against inflation and unexpected shocks in inflation. In addition, Galvani and Plourde (2010), point out that enormous attention from institutional and individual investors has been attracted to the benefits of portfolio exposure to alternative markets, such as the energy market. Motivated by the discussion above and noting that the academic interest in energy listed stocks is relatively recent, and thus there are many issues that have not been investigated empirically, this thesis concentrates and examines empirically three issues related to energy listed stocks that have never been investigated before in the relevant literature and have an interest for institutional and professional investors in this sector. Thus, the common idea behind the three empirical issues that we look at is to provide information that will shed light in the functioning of this specific sector and assist the investment decisions of institutional and individual investors. More specifically, we first look at the factors that determine earnings management in the sector, then we examine whether stock herding behavior is prevalent in listed stocks in this sector, and finally whether stock market liquidity can impact on investor herd behavior. Our results on the first issue indicate that, on average, firms that spend more on external auditor fees, have higher assets, and are older, tend exhibit lower levels of earnings management. This finding may be explained by the observation that these firms face higher investor and analyst scrutiny and thus it is more difficult for them to manage earnings. The results on the second issue, indicate that, overall, there is no evidence of herd behavior in the sample markets. For German listed energy stocks, however, there is evidence of herding during months of negative market returns and when oil price changes are included in the regression. A main implication of these results is that large institutional investors in energy stocks in Germany, a main and important market in the European energy sector, need to include a larger number of assets in their portfolios to achieve a similar level of diversification as they would in a market where no herding is the norm. The results on the third issue, indicate that overall, and contrary to previous empirical evidence on other asset classes, herd behavior is more prevalent during high liquidity periods mainly for France and not in other markets.
Textual analysis in finance: the cases of mergers and initial public offerings
(2021) Katsafados, Apostolos G.; Κατσαφάδος, Απόστολος; Athens University of Economics and Business, Department of Accounting and Finance; Επίσκοπος, Αθανάσιος; Ανδρουτσόπουλος, Ίων (Ιωάννης); Δράκος, Κωνσταντίνος; Γεωργούτσος, Δημήτριος; Σπύρου, Σπύρος; Τσεκρέκος, Ανδριανός; Λελεδάκης, Γεώργιος
This thesis is divided into seven chapters. Their common feature is that they all revolve around the use of textual analysis, and by extension its application in the finance sector. The first chapter provides the introduction of this thesis and points out why the focus on textual analysis is important. Next, in the second chapter, a relatively brief but thorough review of the literature is presented to crystalize the bases, the constants, and the trends of the research activity in this area. The reason is that in such a case the position of this thesis in relation to the literature, the contribution to it, as well as the empirical findings can better be understood.The third chapter uses textual analysis to identify merger participants, either bidders or targets, in the U.S. banking sector. Based on Loughran and McDonald’s lists of positive and negative words, we compute the sentiment of the bank’s annual reports (10-Ks). In our empirical analysis, we use logistic regression to gauge the probability of a bank participating in a merger event. First, we show that a greater amount of positive words in a bank’s 10-K is linked with a greater possibility of becoming a bidder. Second, we find that a higher frequency of negative words in a bank’s 10-K is associated with a higher possibility of becoming a target. Our inferences remain robust even if we include various bank-specific control variables in our logistic regressions models. The fourth chapter examines the issue of the previous chapter from a different perspective. Unlike the usage of econometric methodologies to explore the significance of the coefficients under an explanatory framework, here our aim is prediction by using machine learning models, including ideas from deep learning models. More specifically, we endeavor to examine whether there is any predictive ability of textual information from annual reports (10-Ks) when predicting bank mergers. We prove that textual data enhance the predictive accuracy of the models both for bidders and targets. By and large, the combination of both textual features and financial variables as input in the models achieves the highest scores. On the one side, the findings for targets indicate that random forest (RF) is the best among others in terms of out-of-sample accuracy. In that case, we use textual features with both unigrams and bigrams using term frequency-inverse document frequency (TF-IDF) weighting scheme along with financial variables. On the other side, deep learning models perform the highest accuracy score at bidder prediction task. In particular, we use the centroid of word embeddings combined with the financial variables. Notably, our finance-specific word embeddings perform better than the generic ones. Again TF-IDF weighting scheme seems to improve the overall predictive outcome. Our findings show that textual disclosure manages to mitigate the opacity of the banks. The fifth chapter tries to get insights into the predictive power of textual data derived from the prospectuses (S-1 filings) in predicting IPO underpricing. In particular, we use several machine learning models to proceed to our prediction tasks. First of all, our research differentiates from prior literature as it predicts not only if an IPO will be underpriced or not, under a binary classification framework, but also it foresees the magnitude of underpricing. At both of these tasks, we find that textual features can efficiently complement financial variables. In reality, machine learning models that use both textual features and financial variables as inputs achieve greater performance compared to models employing a single type of input. Also, we explore methodological ways with which financial variables can be effectively combined with the numerous textual features. Overall, our findings offer empirical evidence on how textual information is able to reduce the ex-ante valuation uncertainty of IPO firms.The sixth chapter adds to the literature that attempts to explain the IPO underpricing, especially based on the tone of the IPO prospectus. We prove that a higher fraction of uncertain text in S-1 filings as an internal source of uncertainty is related to higher underpricing. However, the main merit of our study is that we focus on the policy uncertainty index as a source of external uncertainty, in addition to the textual sentiment. We surprisingly find that higher policy uncertainty prior to the filing date of S-1 is connected with a lower underpricing. Interestingly, we show that high policy uncertainty influences the firm’s decision to go public. In fact, policy uncertainty is negatively linked to IPO volume. We further document that only firms with good quality continue going public despite the high policy uncertainty, thus experiencing a lower underpricing. The seventh chapter provides the main inferences of this thesis as well as offers several suggestions for future research.
Option-implied risk measures and the cross-sectional variation of stock returns
(2021) Lykourgos, Alexiou; Αλεξίου, Λυκούργος; Athens University of Economics and Business, Department of Accounting and Finance; Κωστάκης, Αλέξανδρος; Λελεδάκης, Γεώργιος; Χαλαμανδάρης, Γεώργιος; Σπύρου, Σπυρίδων; Τσεκρέκος, Ανδριανός; Καβουσανός, Εμμανουήλ; Ρομπόλης, Λεωνίδας
This thesis focuses on examining the information contained in options about the valuation of equity securities. Options incorporate valuable information about investors’ expectations on future returns of their underlying securities. This stems from the fact that markets are imperfect due to constraints such as asymmetric information and barriers to short selling, making options non-redundant assets.Over the last decade there have been many studies deriving a measure from option contracts and examining whether it predicts future stock returns. For example, Guo and Qui (2014) find a negative relation between implied volatility and future stock returns and Stilger Kostakis and Poon (2017) show that risk-neutral skewness positively predicts future stock returns. The aforementioned studies use a measure based on a single property/moment of the risk-neutral distribution of stock returns and therefore may lose valuable information. In chapter 1 we propose a joint measure of the probability density function of stock returns. More specifically, we combine volatility, skewness and kurtosis implied by options in a score variable based on investors’ moment preferences, that is, a low score identifies a stock with high volatility, low skewness and high kurtosis. On the contrary, a high score identifies a stock with low volatility, high skewness and low kurtosis. Essentially, our measure can be interpreted as a defensiveness measure where the definition of defensiveness is expanded by incorporating skewness and kurtosis alongside with volatility.We sort stocks in portfolios based on our score measure and find that high score stocks have higher returns than low score stocks. This statistically significant relation between our score measure and future stock returns holds various robustness tests such as double sorts, Fama-MacBeth regressions and using a sample with larger cap stocks. We show that this relation is explained by the exposure to shocks in aggregate volatility and depends on investors’ sentiment. In periods of low sentiment, the intertemporal capital asset pricing model (ICAPM) fully explains this relation, while in periods of high sentiment the relation remains statistically significant and is attributed to mispricing.The literature has shown that jump risk is priced by investors in the options market. A part of the research has examined the impact of jump risk on equity and variance risk premiums, providing strong evidence that an important fraction of those premiums can be attributed to the jump risk premium (see Santa-Clara and Yan (2010) and Bollerslev and Todorov (2011)). Nevertheless, the way that jump risk impacts the cross-sectional variation of stock returns has received less attention in the literature. Therefore, in chapter 2 we examine if exposure to downside (left) and upside (right) jump shocks of the market are priced. We construct a theoretically consistent measure of jump risk through the S&P500 options. The simulation study we conduct shows that it provides reliable estimates as opposed to the JUMP risk factor of Cremers, Halling and Weinbaum (2015) which is a biased measure of jump risk. We find that betas to shocks in downside jumps produce a statistically significant risk premium of -11.52% contemporaneously in an annual basis, while betas on shocks to upside jumps do not. The statistically significant relation between betas to shocks in downside jumps and stock returns is not due to risk-neutral variance and skewness shocks. Additionally, we show that it produces statistically significant abnormal returns on the next month of the formation period while it is robust to different estimation period such as 9, 6 and 3 months and different holding periods such as 3 and 6 months.In chapter 3 we examine the implied volatility curves that are arise from option prices prior to earnings announcements days. We show that a portion of them becomes concave, taking unusual shapes such as W, S, and inverted U. This characteristic, which is mostly observed in short-term options, implies a bimodal risk-neutral density for the stock price. This means that investors predict a jump in the stock price at the earnings announcement day. We find that concave implied volatility curves do predict higher absolute stock returns at the earnings announcement day and higher volatility after the earnings announcement day. However, straddle returns of stocks with concave implied volatility curves are statistically significantly lower than those with non-concave implied volatility curves. This is attributed to the fact that at-the-money options of concave implied volatility curves are much more expensive and the jumps of the stock price at the earnings announcement day are not large enough to offset the substantial cost of these straddles. Therefore, investors identify earnings announcements that make stock prices jump and pay a substantially higher premium to hedge against this risk.
Essays on cryptocurrencies
(2021) Ballis, Antonis I.; Μπαλλής, Αντώνιος; Athens University of Economics and Business, Department of Accounting and Finance; Chalamandaris, George; Tzagarakis, Manolis; Kavousanos, Emmanuel; Spyrou, Spyros; Georgoutsos, Dimitrios; Tsekrekos, Andrianos; Drakos, Konstantinos
This thesis consists of six chapters in which we try to examine various aspects of cryptocurrencies from an economic and financial point of view. In particular, in the first chapter utilizing all cryptocurrencies since market inception, the mobility properties of the market are investigated. Using a Markov Chain model, the Transition Matrix is estimated, describing the probabilistic structure of cross-sectional capitalization transitions. Chapter two addresses the issue of herding in the cryptocurrency market. By analyzing daily data from major cryptocurrencies this study documents evidence that investors in the cryptocurrency market act irrationally and imitate other’s decisions with no reference to their own beliefs. The third chapter offers for the first-time evidence concerning the research question of which is the effect of crisis sentiment on cryptocurrencies’ price returns. By analyzing daily data this study documents that investors’ crisis sentiment has a significant positive impact on cryptocurrencies’ market price returns. In chapter four the effect of crisis sentiment on cryptocurrencies’ price crash risk is examined. The results indicate that investors’ crisis sentiment has a noticeable positive impact on cryptocurrencies’ market price crash risk. In Chapter five, the present study sets out to investigate the impact of COVID-19. Using a Difference-in-Differences (DID) model this analysis compares the traditional and cryptocurrency market, investigating whether there are any discernible differences in their relative time trajectories after the outbreak of the first wave of COVID-19. According to the empirical findings, a closing of the gap between the cryptocurrency market and the traditional assets in the post COVID-19 era is documented. In Chapter six, using an analogy between finance and astrophysics, this study aims to investigate whether there exists a mechanism that can describe the explosive increase in the number of traded cryptocurrencies and the cryptocurrency market in general. Finally, Chapter seven provides the main conclusions for this thesis.
Banks' accounting policies and monitoring mechanisms: the case of loan loss provisions in the European Union
(2021-01-29) Vasilakopoulos, Konstantinos I.; Βασιλακόπουλος, Κωνσταντίνος; Athens University of Economics and Business, Department of Accounting and Finance; Ballas, Apostolos; Siougle, Georgia; Papadaki, Afroditi; Vlismas, Orestes; Xevas, Dimosthenis; Demirakos, Efthimios; Tzovas, Christos
This thesis investigates whether EU bank managers use discretionary loan loss provisions in order to smooth income and whether market discipline, corporate governance mechanisms and audit quality influence those bank managers’ decisions. Loan loss provisions comprise the most important banks accounting accrual given that there are no specific recognition guidelines. The examined sample consist of 133 banks form 26 EU countries for the period 2006-2013. The empirical findings imply that market discipline, as it is exerted by depositors influence managements’ accounting discretion. In fact, accounting decisions appear to be different depending on banks’ capitalization and systemic importance. Furthermore, banks’ accounting discretion is influenced by internal governance mechanisms such as board structure, management’ compensation disclosure and leverage. Finally, my findings imply that the reverse association between audit quality and income smooth is conditioned upon each bank’s idiosyncratic risk. These findings may be useful for regulators, accounting standard setters and auditors who aim to improve banks transparency and accounting quality.
Essays on finance, economics and shipping
(2021-06-29) Moysiadou, Stergiani A.; Μωϋσιάδου, Στεργιανή; Athens University of Economics and Business, Department of Accounting and Finance; Drakos, Konstantinos; Rompolis, Leonidas; Tsekrekos, Andrianos; Georgoutsos, Dimitrios; Chalamandaris, George; Tsouknidis, Dimitrios; Kavussanos, Manolis
This Ph.D. Thesis consists of four research papers. The first paper provides a brief and concise description of the various sectors and segments of the shipping industry and the main economic participants. It also analyses the factors affecting supply and demand in the dry and wet bulk sectors of the industry, and how these forces interact to determine freight rate equilibrium both in the short and the long run, in the various shipping markets (i.e. the freight, the newbuilding, the sales and purchase and the demolition markets). The reader can learn about key shipping market concepts following the historical evolution of shipping cycles in response to core events that triggered changes in market dynamics over time.The second paper examines the long-run market efficiency hypothesis in the bulk shipping transportation markets, observing long-run equilibrium relationships between freight rates on different shipping routes and the dynamics of short-run deviations from the equilibria. The freight rate series on the different shipping routes examined are selected on the basis of a common economic driver, which may be a common port of import, export or a common commodity transported. The results of the analysis confirm the long-run market efficiency hypothesis, providing useful insights for the efficient organisation of supply-chain models. The third paper studies the effect that the relative market power between buyers and sellers of the shipping transportation service (that is, vessel charterers and owners, respectively) may have on the formation on individual voyage freight rates. Also, the paper highlights the asymmetry of the market power distribution between charterers and shipowners, which is essential to consider especially in cases of prospective mergers or acquisitions between chartering companies with high market shares, due the potential adverse consequences such mergers may have on the relevant freight markets. The fourth paper calibrates and examines the performance of various Value-at-Risk (VaR) and Expected Shortfall (ES) modelling specifications for the prediction of ETF risk in dry bulk shipping. The study focuses on ETFs priced against and investing in shipping freight derivatives in the dry bulk sector of the industry. The paper highlights the importance of the accurate estimation of the risk that investing in newly-introduced financial products (like the one under investigation) entails, products which provide access to the freight markets for both individual and institutional investors.

Περιήγηση

Πλοήγηση Διδακτορικές διατριβές ανά Ημερομηνία έκδοσης