Μεταπτυχιακές Εργασίες

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Capital Asset Pricing Model and Arbitrage Pricing Theory: an econometric analysis in European Union Banks
Vlachothanasi, Aliki; Athens University of Economics and Business, Department of International and European Economic Studies; Bilias, Ioannis
The aim of this thesis is the study of the Capital Asset Pricing Model and the Arbitrage Pricing Theory model. More specifically, in chapter 1of this work, the reader is introduced to the basic concepts of Modern Portfolio Theory and the efficient market hypothesis, based on bibliography. After that, will follow the analysis of the CAPM and its assumptions. In chapter 2, will be examined the Arbitrage Pricing Theory and some empirical studies, in order to be presented the similarities and the differences with the CAPM. In chapter 3 an empirical analysis is done, for the capital asset pricing model before and in crisis based on the data collected. Afterwards, follows some empirical tests and examined how crisis affected the stock returns using dummy variables. In the 4 and last chapter, is examined the APT model and compared with the CAPM, in order to have accurate results. At the end of the research the econometric results are companied by more general conclusions if the research leads to expected results or not.
Contributing factors of spreads differentiations in Eurozone between PIIGS countries and Germany
(01/24/2019) Rrasa, Fugert; Athens University of Economics and Business, Department of International and European Economic Studies; Topaloglou, Nikolaos; Bilias, Ioannis
On the current thesis is studied the spread between the yield curves between PIIGS (Portugal, Italy, Ireland, Greece, Spain) countries and Germany as well as the factors that impact the spreads. The selection of the variables and the regressions were based on the works of Lorenzo Codogno, Carlo Favero and Alessandro Missale (2003) and Athanasiadis (2010). Panel data methodology was used for the computation of the regression and the data cover the time period between 2000 and 2016. The results of the research indicate that global financial crisis, domestic risk and corporate risk impact positively and increase the spread between PIIGS and Germany.
The effect of Investor-State Dispute Settlement mechanisms on investor confidence: empirical evidence from the Transpacific Partnership’s Tobacco negotiations
Papaefthymiou, Argyrios I.; Athens University of Economics and Business, Department of International European Economic Studies; Hatzipanayotou, Panos; Bilias, Ioannis
The present thesis attempts to provide an empirical perspective on the expected impact that a trend towards rolling back ISDS would have on firm-level profits. This is done through an event study examination of the relationship between the presence of an ISDS mechanism in an IIA and investor confidence. Specifically, we ask the question: how do investors react to announcements regarding the prospect of limited ISDS benefits in a trade and investment treaty that is under negotiation? The underlying purpose of this exercise is to examine how investors view ISDS, in terms of its availability alone, from a profit-enhancing perspective. Do they consider their exclusion from access to ISDS in atrade and investment agreement, in and of itself, an indication of future losses/loss of profits for the firm? Depending on the findings from such an empirical study, certain conclusions could be drawn as to how integral a part of modern international economic cooperation treaties investors consider ISDS to be. We view the case of the TPP’s so-called ‘tobacco carve-out’ as providing a unique opportunity to perform an empirical study such as the one delineated above. Given that this provision directly affected one particular industry as far as access to ISDS under the treaty is concerned, this enables us to examine whether certain news related to the negotiations preceding the provision’s final unveiling were followed by abnormally negative returns in the stocks of affected US tobacco companies. In other words, in light of the considerable political pressure that the tobacco industry channeled towards avoiding limitations on its ISDS benefits in the TPP, did those tobacco companies potentially affected by an ISDS carve-out ‘put their money were their mouth is’? To our knowledge, the present thesis constitutes the first endeavour to employ an event study approach in examining the impact of a specific provision in an international trade and/or investment agreement on investor confidence.
The employment effects of minimum wages during the Great Recession and the subsequent recovery: evidence from 17 EU Member States
(2018) Filippopoulos, Nikolaos; Athens University of Economics and Business, Department of International and European Economic Studies; Demos, Antonis; Bilias, Ioannis
Using data for 17 EU member-states, we examine the employment effects of minimum wages during 2007-2015. The sample period allows us to investigate the employment patterns that are related to minimum wage developments during a period of weak aggregate conditions. Nevertheless, before proceeding to our own estimates, we review the relevant theoretical and empirical literature. As regards our findings, we do not find any adverse employment effects. However, we do not rest on the nonnegative impact of the minimum wage, but instead argue that its effect is not a predetermined outcome. Hence, we also take into count the interaction between the minimum wage and GDP growth, in order to estimate the minimum wage effect during different aggregate conditions. Finally, we also attempt to investigate which minimum wage system is more effective. According to our sample, our estimates indicate that as far as bargaining involves all relevant economic agents, the minimum wage will most likely not lead to disemployment effects.
A modern approach of Phillips Curve in european countries
Tsoulos, Karolos A.; Athens University of Economics and Business, Department of International and European Economic Studies; Bilias, Ioannis
The aim of this MSc thesis is the estimation of Phillips Curve and the estimation of the natural rate of unemployment in order to investigate NAIRU.At first, some characteristics of unemployment and inflation will be presented. Then, a brief history of Phillips Curve will be displayed in order to end up to the definition of Phillips Curve and its parameters. Subsequently some other empirical studies will be included.In this MSc thesis I am going to examine the Euro zone countries (except from Cyprus and Malta due to lack of data) so for Phillips Curve as for the natural rate of unemployment.

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