Διδακτορικές διατριβές

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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.
Essays on hedge funds
(05/05/2022) Karagiorgis, Ariston; Καραγιώργης, Αρίστων; Athens University of Economics and Business, Department of Accounting and Finance; Rompolis, Leonidas; Georgoutsos, Dimitrios; Kavousanos, Emmanuel G.; Spyrou, Spyros; Tsouknidis, Dimitris A.; Sakkas, Athanasios; Drakos, Konstantinos
This thesis is consisted by four chapters which examine various aspects of hedge funds. In detail, the first chapter studies the architecture of the Skewness-Kurtosis plane for hedge funds across investment strategies, both diagrammatically and within a formal econometric framework. It is found that there is a structural quadratic relationship between the two higher moments with discernible differences across investment strategies, while the results remain unaffected after a thorough sensitivity analysis. The second chapter investigated the mobility properties of the higher moments, both individually and jointly. Using a Markov Chain model, the transition matrices are estimated for the sector and the investment strategies describing the probabilistic structure of Skewness, Kurtosis and Joint transitions. Results indicate that there is near perfect mobility towards non-Normality. Third chapter proposes a methodology for hedge fund Leverage estimation. Initially Principal Component Analysis is performed on a set of 49 risk factors for dimension deduction purposes. After acquiring 10 Principal Components, least absolute shrinkage and selection operator regression (LASSO) is employed per fund by seven three-year monthly non overlapping intervals, to select which Principal Components affect each fund. As a last step an OLS regression is executed in the same manner as previously, with only the non-zero Principal Components. By aggregating the coefficients, a mean sectorial leverage of 3.3 is estimated, comparable to reported numbers from SEC. Fourth chapter, exploits an extensive matched hedge fund-prime broker panel dataset and documents a strong and positive statistically significant relationship between hedge fund leverage and prime broker’s stock price crash risk. The results remain robust after controlling for endogeneity and an extensive sensitivity analysis. It is also documented that investment strategies that tend to be more risk averse, appear to decrease the slope of the risk metrics of prime brokers, and ultimately leading to lower stock price crash risk.

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