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Are cross-listed shipping companies trading differently than single-listed ones?
(31-10-2022) Eriksen, Ole-Henrik; Skofteby, Steiro-Bendik; Athens University of Economics and Business, Department of Accounting and Finance; Drakos, Konstantinos
The primary purpose of this dissertation is to cover a gap within existing research on how cross-listing affects maritime companies, and what the benefits and consequences may be. By illuminating this, we can bring valuable information to the different investors and stakeholders already invested- and those interested in the maritime industry. Our sample consists of 15 companies, whereas 5 of which is cross-listed and 10 is single-listed. The companies are listed on 5 different stock exchanges: New York Stock Exchange, Nasdaq, Oslo Stock Exchange, Brussels Stock Exchange and Johannesburg Stock Exchange. Through the use of econometrics and by analyzing quantitative data, we have found some significant factors that affect both cross-listed and single-listed shipping firms. Our findings have among other things enlightened this earlier “minimally examined” research area and shed new light on how cross-listing specifically impacts shipping companies. Our research has among other things shown that indices such as the Baltic Clean Tanker Index and economic indicators such as the spot price for brent crude oil have a significant impact on the stocks in our sample.
Cryptocurrencies: determinants of ownership and trust on cryptocurrencies
(11/09/2021) Salapata, Danai; Σαλαπάτα, Δανάη; Athens University of Economics and Business, Department of Accounting and Finance; Episcopos, Athanasios; Leledakis, Georgios; Drakos, Konstantinos
In this thesis, we investigated the industry of cryptocurrency, an innovative and constantly rising industry. The purpose of this thesis was the examination of the relationship between cryptocurrencies and official currencies. The variables of the sample considered were the Bitcoin, the Ripple, and the Ethereum, as well as the selection of the U.S. Dollar, the Japanese Yen, the Chinese Yuan, and the British Sterling as formal currencies. The examined period was six years, from August 01, 2015, to August 01, 2021. Different statistical methods were utilized, including regression analysis, descriptive statistics, analysis of the stationarity of the variables, VAR model, forecast error variance decomposition analysis, impulse response functions, Granger causality test. The benchmark variable of this paper was Bitcoin. This cryptocurrency is the most stable one. Also, Bitcoin is the most widespread virtual currency and the digital currency with the most ownerships and users. Bitcoin is trusted by the majority of people. The outcomes of the research showed that the variations of the Bitcoin are affected by the variations of the U.S. Dollar and the Japanese Yen. The effects are not strong. There is a small influence among the returns of the prices of the traditional currencies and the Bitcoin. Similarly, a variation of the prices of Bitcoin has a small, negative influence on the return of the prices of the U.S Dollar, the Japanese Yen, the Chinese Yuan, and the British Pound. On the other hand, any variation of the prices of Bitcoin has a positive influence on the price of the Ripple and on the price of Ethereum. The variables are stationary.
Cryptocurrency efficiency: an econometric investigation
(02-11-2024) Σουφτά, Χριστίνα; Soufta, Christina; Athens University of Economics and Business, Department of Accounting and Finance; Leledakis, Georgios; Georgoutsos, Dimitrios; Drakos, Konstantinos
Η μελέτη διερευνά πώς διάφοροι μακροοικονομικοί παράγοντες επηρεάζουν τις αποδόσεις πέντε μεγάλων κρυπτονομισμάτων: Bitcoin, Ethereum, Ripple, Dogecoin και Litecoin. Περιλαμβάνει τη χρήση της ανάλυσης κύριου στοιχείου (PCA) για τη μείωση διαστάσεων και την εφαρμογή μοντέλων παλινδρόμησης πάνελ για την αξιολόγηση της επιρροής των μακροοικονομικών μεταβλητών στην απόδοση των κρυπτονομισμάτων. Τα αποτελέσματα δείχνουν ότι οι παραδοσιακοί δείκτες, όπως η παραγωγή και οι τιμές, δεν έχουν σημαντικό αντίκτυπο στις αποδόσεις των κρυπτονομισμάτων, γεγονός που υπογραμμίζει την κερδοσκοπική φύση αυτών των περιουσιακών στοιχείων. Παρά την εξέταση προηγμένων μοντέλων όπως το MIDAS, η πολυπλοκότητα οδήγησε στην εστίαση στις παλινδρομήσεις του πίνακα για πιο αξιόπιστες πληροφορίες. Συνολικά, τα ευρήματα υποδεικνύουν ότι τα μακροοικονομικά θεμελιώδη μεγέθη διαδραματίζουν περιορισμένο ρόλο, με τις τάσεις στα κρυπτονομίσματα να καθορίζονται κυρίως από το επενδυτικό κλίμα, την αστάθεια της αγοράς και τους ρυθμιστικούς παράγοντες.
Cryptocurrency market: herd behavior during the COVID-19 pandemic
(2021) Skouteri, Miranda; Σκουτέρη, Μιράντα; Kavousanos, Emmanuel G.; Georgoutsos, Dimitrios; Athens University of Economics and Business, Department of Accounting and Finance; Drakos, Konstantinos
Τhis thesis investigates whether the COVID-19 pandemic impacted the cryptocurrency market in regard to herding behavior. The global pandemic is an unprecedented event for the decade-old cryptocurrency market and investigating its financial effects is of great interest and importance for investors and market participants. By utilizing daily data for 20 leading cryptocurrencies from July 2018 to July 2021, we explore herding through static and dynamic methodologies, as well as quantile regression. We find that cryptocurrency market participants abandon their own beliefs and follow the market consensus during the outbreak of COVID-19. However, after the first shock of the pandemic passed, cryptocurrency prices skyrocketed and significant antiherding behavior prevailed in the market. Herding also behaves asymmetrically; during down market movements investors exhibit herd behavior whereas in periods of extremely positive market returns the phenomenon of antiherding is present. Quantile regression estimates show that herding persists in quantiles at and below the median level because they indicate times of instability and uncertainty. Moreover, it was attempted to establish a connection between cryptocurrencies and financial markets in terms of herding but no supporting evidence was indicated. Irrational phenomena as such have serious implications for market participants and policy makers, ranging from insufficient portfolio diversification to additional systematic risk and market inefficiency.
The determinants of the probability of default of shipping firms
(01/21/2022) Giannoukakou, Chrysoula; Fouki, Panagiota; Γιαννουκάκου, Χρυσούλα; Φούκη, Παναγιώτα; Athens University of Economics and Business, Department of Accounting and Finance; Kavousanos, Emmanuel G.; Demirakos, Efthymios; Drakos, Konstantinos
The aim of this study is to investigate the determinants of the probability of default of shipping firms, employing a probit model and its quadratic form in a cross-sectional level, using a sample of 112 internationally listed maritime companies, also employing a Relogit model, using panel data for the period of 2000 till 2020. For the purpose of our analysis and taking into consideration a wide range of independent variables such as financial ratios, industry and macroeconomic ones, we concluded to the independent variables that affect the probability of default. The probit model is followed by the marginal effects and margins. Moreover, a significant part of our study is the creation of different scenarios, conducted with the use of predictive probabilities. Finally, the key findings are in line with prior research, however we point out a changing trend in two liquidity ratios, which come in contrast to the relevant bibliography.
The effect of EEXI regulation to the dynamics of bulk shipping market
(05-11-2023) Πετρίδης, Δημήτριος; Petridis, Dimitrios; Νικολαΐδης, Μιχαήλ; Nikolaidis, Michail; Athens University of Economics and Business, Department of Accounting and Finance; Tsouknidis, Dimitrios; Androutsopoulos, Konstantinos; Drakos, Konstantinos
Η ναυτιλιακή βιομηχανία, ο ακρογωνιαίος λίθος των παγκόσμιων μεταφορών εμπορευμάτων, παλεύει με την επιτακτική ανάγκη των κανονισμών για την απανθρακοποίηση και τη μείωση των εκπομπών ρύπων. Αυτή η μελέτη θα επικεντρωθεί στον κανονισμό για τον υφιστάμενο δείκτη ενεργειακής απόδοσης πλοίων (EEXI) και το αντίκτυπο που ενδεχομένως μπορεί να έχει στη δυναμική του στην αγορά Dry Bulk. Η έρευνα θα ξεκινήσει με βάση την εκτίμηση των τιμών EEXI για μια ομάδα πλοίων μεταφοράς χύδην που ανήκουν σε τέσσερις κύριες κατηγορίες μεγέθους (Handysize, Handymax, Panamax, Capesize). Τα αποτελέσματα αυτού του υπολογισμού θα δείξουν ότι πρέπει για να συμμορφώθουν με τον κανονισμό του EEXI, ο περιορισμός ισχύος κινητήρα (EPL) θα ήταν αναπόφευκτος για την πλειονότητα των σκαφών με αποτέλεσμα μια μέση μείωση της ταχύτητας κατά περίπου 1,7-1,8 κόμβους και συνολική μείωση σε παραγωγικότητα του στόλου περίπου 15%, υπογραμμίζοντας την ανάγκη για περισσότερα νεότευκτα πλοία. Στη συνέχεια, ένα οικονομετρικό μοντέλο δημιουργήθηκε για να εξετάσει τον αντίκτυπο της μείωσης της ταχύτητας στους ναύλους. Τα αποτελέσματα έδειξαν τη στατιστική σημασία της ταχύτητας μόνο για τα πλοία Capesize, χωρίς καμία επίδραση στις άλλες κατηγορίες. Οι περιορισμοί δεδομένων είναι ένας παράγοντας, καθώς το μοντέλο περιλαμβάνει μόνο μερικές εμπορικές μεταβλητές, υπογραμμίζοντας την ανάγκη για ένα πιο ολοκληρωμένο σύνολο δεδομένων. Το αποτέλεσμα της ανάλυσης υποδηλώνει ότι η μείωση της ταχύτητας είναι πιθανό να επηρεάσει τους ναύλους. Αυτή η μελέτη παρέχει ένα θεμέλιο διερεύνησης ενός κρίσιμου ζητήματος, που οδηγεί σε περαιτέρω έρευνα. Ενθαρρύνει επίσης τους ιδιοκτήτες και τους φορείς εκμετάλλευσης να διερευνήσουν μέτρα βελτίωσης της αποδοτικότητας, σε έναν κλάδο που επιδιώκει να ελαχιστοποιήσει το περιβαλλοντικό αποτύπωμα.
The effect of green shipping to the shipping companies performance
(30-11-2022) Chatzipanagiotou, Elias; Choumpas, Marios; Χατζηπαναγιώτου, Ηλίας; Χούμπας, Μάριος; Athens University of Economics and Business, Department of Accounting and Finance; Kavussanos, Emmanuel G.; Tsouknidis, Dimitrios; Drakos, Konstantinos
Στη σημερινή εποχή, η ναυτιλία αποτελεί το θεμέλιο λίθο των μεταφορών, αλλά αποτελεί και έναν κλάδο που έρχεται αντιμέτωπος με συνεχείς αλλαγές. Μια από αυτές είναι η θέσπιση πράσινων κανονισμών στη λειτουργεία των πλοίων, οι οποίες επηρεάζουν την οικονομική απόδοση των ναυτιλιακών εταιριών. Ακόμα τα πράσινα μέτρα που είναι υποχρεωτικά να εφαρμόσουν οι εταιρείες μπορούν να περιγράφουν στους κανονισμούς του IMO και της Ε.Ε., διότι σε αντίθετη περίπτωση οι ναυτιλιακοί οργανισμοί κινδυνεύουν είτε με υπέρογκα πρόστιμα είτε με παραπάνω φόρους για τη μη συμμόρφωσή τους σε αυτά. Η έρευνα και η ανάλυση της εργασίας παρουσιάζει ένα δείγμα τριάντα εισηγμένων εταιρειών, οι οποίες δραστηριοποιούνται στο χώρο των containers. Τα αποτελέσματα δείχνουν ότι η τήρηση των πράσινων κανονισμών δεν προκάλεσαν τόση μεγάλη επίδραση στην οικονομική επίδοση των επιχειρήσεων. Ναι μεν η πράσινη ναυτιλία απαιτεί κάποια επιπλέον κόστη, αλλά πρέπει να σημειώσουμε ότι για τους πλοιοκτήτες αποτελεί μια επένδυση με μακροχρόνια πλεονεκτήματα. Επίσης, η κάθε εταιρεία πρέπει να ακολουθήσει τη δική της στρατηγική σε σχέση με τις συνεχείς προκλήσεις του ανταγωνιστικού κλάδου της ναυτιλίας.
The effects of economic policy uncertainty on tanker shipping freight rates
(2020) Argyridis, Christodoulos; Αργυρίδης, Χριστόδουλος; Germanos, Konstantinos; Γερμανός, Κωνσταντίνος; Athens University of Economics and Business, Department of Accounting and Finance; Kavussanos, Manolis; Moutos, Thomas; Drakos, Konstantinos
In our research we examine the effects of Global Economic Policy Uncertainty (GEPU) on tanker freight rates (VLCC, Suezmax, Aframax and Panamax), a determinant that has not been yet utilized in the existing scientific literature for this certain purpose. Long Run Historical Earnings of the relevant segments are used as a proxy for freight rates. We create a predictive model that employs GEPU along with other established variables for the industry that we divide into two distinct categories, the Shipping Industry Related and the Economic Environment variables. To do so, we collect monthly data from January 1997 to June 2020 sourced from Clarksons Database and the Global Economic Policy Uncertainty Index. We exclude variables through the Akaike information criterion (AIC) and Bayes information criterion (BIC) to avoid multicollinearity, and to avert the impact of outliers on our estimation results we remove the extreme observations beyond the 1st and 99th percentiles. Further, to create our model, we apply panel data Clustered Regression Analysis on a cross sectional time series dataset. Our findings indicate that GEPU influence on LRHE is positive and statistically significant at 1% significance level, implying an unmistakable effect on tanker freight rates which suggests that uncertainty is an inflating factor for the industry. Despite LOWES graph pointing that there is an indication of non-linearity, GEPU’s relationship with LRHE is apositive linear one sine GEPU^2 insertion to our model proves to be statistically insignificant. Additionally, GEPU influence on tanker freight rates is persistent throughout the whole period of our investigation, and not only appearing after, before or during milestone events of economic uncertainty such as the 2008 financial crisis.
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.
Evaluating the impacts of the global financial crisis and Covid-19 on shipping bonds
(01/21/2022) Gulcen, Burak; Woldemariam, Merawi-Girma; Athens University of Economics and Business, Department of Accounting and Finance; Kavussanos, Manolis G.; Demirakos, Efthimios; Drakos, Konstantinos
This dissertation examines whether the Global Financial Crisis (2008) or Covid-19 Pandemic (Great Lockdown) (2020) had direct effects on the yield to maturity, amount raised, and term to maturity in respect to bonds issues by shipping companies around the world, and also identifies the determinants of these 3 shipping bond characteristics for the period between Jan 2000 and June 2021 by examining 1,023 newly issued bonds (cross-sectional) by 176 different worldwide shipping companies.
An examination of the Ricardian Equivalance worldwide; testing the connection between saving behavior and fiscal policies
Papandrianos, Nikos; Athens University of Economics and Business, Department of Accounting and Finance; Drakos, Konstantinos
The present dissertation explores the existence of offsetting movements between private and public saving, in a global level, for the period 1970-2015. The study of saving behavior aims to provide evidence in favor of Ricardian Equivalence or against it. Ricardian Equivalence is a proposition, initially formulated by David Ricardo and since then it has divided the economists. The proposition suggests that, under some assumptions, an individual should be indifferent about how a government will finance its spending (by taxation or debt issuing). A detailed literature review is presented, while the main hypothesis is tested with dynamic panel data econometric methods. The empirical results provide support forthe existence of partial Ricardian behavior but reject the hypothesis of pure Ricardian Equivalence. We also discuss the factors that make the existence and the examination of Ricardian Equivalence a complicated procedure.
Financial risk management: Topics on bank's supervision and risk modeling
(23-06-2014) Koutras, Vasileios; Athens University of Economics and Business, Department of Accounting and Finance; Drakos, Konstantinos
Bank supervisory agencies are responsible for monitoring the financial conditions of commercial banks, enforcing related legislation and regulatory policy. Besides the tools enforced by the regulators, banks are usually enforced to develop their own internal models as a basis for measuring their market risk capital requirements, subject to strict quantitative and qualitative standards. The risks of a bank run may become disastrous and cause instability to the whole financial system. In order to mitigate a risk it is required by each bank to maintain differing levels of reserves for various forms of bank deposits.
Freight rate forecasting: an econometric analysis for the dry-bulk sector
(30-11-2022) Ermeidou, Ioanna; Rodopoulou, Maria; Ερμείδου, Ιωάννα; Ροδοπούλου, Μαρία; Athens University of Economics and Business, Department of Accounting and Finance; Kavussanos, Emmanuel G.; Moutos, Thomas; Drakos, Konstantinos
Τα τελευταία χρόνια με την πανδημία και τώρα με τον πόλεμο μεταξύ Ρωσίας και Ουκρανίας έγινε ξεκάθαρο ότι κανείς δεν μπορεί να είναι σίγουρος για το τι επιφυλάσσει το μέλλον. Γεγονότα όπως αυτά που αναφέρθηκαν (πόλεμος, πανδημίες, οικονομική κρίση) επηρεάζουν σε μεγάλο βαθμό τη ζήτηση για ναυτιλιακές υπηρεσίες. Ωστόσο, αυτό δεν σημαίνει ότι δεν μπορούμε να κάνουμε προβλέψεις για τους μελλοντικούς ναύλους, χωρίς βέβαια να υπερεκτιμούμε την ικανότητα πρόβλεψής τους. Ακόμα κι αν γνωρίζουμε τους περιορισμούς και τη δυσκολία ενός τέτοιου εγχειρήματος, με αυτή τη διατριβή στοχεύουμε να δημιουργήσουμε ένα οικονομετρικό μοντέλο που μπορεί να είναι χρήσιμο στο μέλλον για όσους εργάζονται στην ναυτιλία. Στην παρούσα πτυχιακή εργασία δημιουργήσαμε δυο διαφορετικά μοντέλα στο πρώτο η εξαρτημένη μεταβλητή ήταν το BCI, BPI, BHSI, BSI. Επιλέξαμε τι ρόλο παίζουν οι παράγοντες ζήτησης, προσφοράς και οι οικονομικοί παράγοντες επηρεάζουν τα ναύλα πρώτα ξεχωριστά και έπειτα συνολικά. Στο δεύτερο μοντέλο σαν εξαρτημένη μεταβλητή χρησιμοποιήσαμε έναν νέο δείκτη (βασισμένοι στους BCI, BPI, BHSI, BSI) που δημιουργήσαμε και εξετάσαμε ξανά την επιρροή των παραγόντων αυτών εξαρχής. Στα επόμενα κεφάλαια εξετάστηκαν πολύ προσεκτικά πολλές διατριβές ακαδημαϊκών και ειδικών της ναυτιλίας, οι οποίες παρουσιάζονται στην Ανασκόπηση της Βιβλιογραφίας. Το δεύτερο κεφάλαιο αναλύει τι είναι οι ναυτιλιακοί κύκλοι και την ιστορία τους. Στο τρίτο κεφάλαιο γίνεται μια σύντομη συζήτηση σχετικά με τα πιο κοινά εμπορεύματα ξηρού χύδην και στη συνέχεια φτιάξαμε μια λίστα με όλους τους τύπους πλοίων του συγκεκριμένου τομέα και επισημάναμε τα χαρακτηριστικά τους, όπως τον εξοπλισμό και το μέγεθος κ.λπ. Το πέμπτο κεφάλαιο ασχολείται με τις δυνάμεις της αγοράς (ζήτηση και προσφορά). Επιδείξαμε επίσης τη μεθοδολογία και τα αποτελέσματά μας. Στο τέλος, παρουσιάζεται συζήτηση για τα ευρήματα της ανάλυσης μαζί παραθέτοντας και τους περιορισμούς κατά την περίοδο της μελέτης και κρίσιμες πληροφορίες για μελλοντική έρευνα.
Investigating skewness-kurtosis relationship in shipping markets: evidence for deviations from normality
(22-12-2020) Iliopoulou, Alexia; Ηλιοπούλου, Αλεξία; Pantazis, Victor; Πανταζής, Βίκτωρ; Athens University of Economics and Business, Department of Accounting and Finance; Kavousanos, Emmanuel; Moutos, Thomas; Drakos, Konstantinos
In this study we further investigate the relationship between skewness and kurtosis of returns, as explored and proposed by M.Cristelli (2012), mainly when the sample deviates from normality through the existence of extreme events, such as the Global Financial Crisis. We test its robustness for the field of shipping and compare it to previous definitions of the skewness-kurtosis relationship, in terms of their ‘fit’ on the S-K plane. Taking into account the nature of freight rates and shipping stock returns which are known for their high fluctuations, it is very interesting to examine the behaviour of these samples’ higher moments when deviating from normality.
Investigating the impact of the Russo-Ukrainian war on the financial performance of publicly listed maritime firms in the LNG trade
(11-12-2023) Bougiouklis, Emmanouil; Androutsos, Vasileios; Μπουγιουκλής, Εμμανουήλ; Ανδρούτσος, Βασίλειος; Athens University of Economics and Business, Department of Accounting and Finance; Kavussanos, Emmanuel; Konstantinou, Panagiotis; Drakos, Konstantinos
Αυτή η διατριβή εξετάζει το αντίκτυπο του πολέμου μεταξύ Ρωσίας-Ουκρανίας σε Καίροιους Δείκτες Απόδοσης (KPIs) των εισηγμένων ναυτιλιακών εταιριών οι οποίες δραστηροιοποιούνται στην μεταφορά φυσικού αερίου (LNG). Οι υπο εξέταση χρηματοοικονομικοί δείκτες είναι το περιθώριο κέρδους, απόδοση περιουσιακών στοιχείων, απόδοση ιδίων κεφαλαίων, καθαρά έσοδα προς υποχρεώσεις, δείκτης ρευστότητας, χρέος προς περισιουκά στοιχεία, χρέος προς ιδία κεφάλαια και κέρση ανα μετοχή. Η διατριβή αναζητά για στατιστικά σημαντική αλλαγή στους KPIs δείκτες για προ και μετάπολεμικές περιόδους. Αυτό γίνεται με την εκτέλεση παλινδρομήσεων στα προ και μεταπολεμικά δεδομένα των επιχειρήσεων.
Investigation of the relationship of the Shipowner’s sentiment and the volatility of freight rates in the bulk sector and the development of a quantitative model for predicting freight rates
Digalaki, Theodosia; Lappa, Anastasia; Athens University of Economics and Business, Department of Accounting and Finance; Athens University of Economics and Business, Department of International and European Economic Studies; Drakos, Konstantinos
This dissertation undertakes to shed light on the role of Shipping sentiment and its implications for the determination of the Baltic Dry Index. After a brief theoretical approach on the Shipping industry and its characteristics, the behavioral of sentiment and the unique characteristics of the shipping cycle, we use shipping sentient proxies to capture the expectations of the dry-bulk shipping market and if it affects the Shipping Industry and the shipping cycle by examining the impact on Baltic Dry index. Some of the used proxies are contracting, money committed, newbuildings and secondhand prices, etc. Also, along with the shipping sentiment, a wide range of market and macroeconomic indicators, that capture financial conditions, volatility, macroeconomic conditions, are analyzed regarding to BDI by utilizing the Generalized Least Square (GLS) regression methodology. The results of our analysis concludes that shipping sentiment is a significant factor that determines the Baltic Dry Index.
Investment triggering analysis in dry bulk shipping sector: based on uncertainty & vessel specific reversibility metrics
(2021) Kokkolis, Alexios-Panagiotis; Zotou, Vicky; Κοκκόλης, Αλέξιος-Παναγιώτης; Ζώτου, Βίκη; Athens University of Economics and Business, Department of Accounting and Finance; Rompolis, Leonidas; Kavousanos, Emmanuel G.; Drakos, Konstantinos
Uncertainty is inherent to investment decisions. Therefore, it is extremely important toproperly address this issue. In the field of investment decision making on maritimesector and more specifically in Dry-Bulk segment, the effect of uncertainty is rarelydiscussed or quantified. Theoretically, on top of the system complexity, the physicalmovements of shipments require synchronization from both information and financialflows to maintain its seamlessness. The reliability of the system, therefore, is heavilyaffected by the accumulation of uncertain factors from its components.It is the goal of this paper to fill this gap by focusing on a particular industry, that ofdry-bulk shipping. For this reason, this paper explores the negative nature of uncertaintyreducing the likelihood of investment triggering in world dry bulk shipping. Moreover,this effect is more pronounced as the vessel investment irreversibility1 increases.Reversibility is measured by two different metrics, capturing the ability to resell avessel but also the price discount at which this sale occurs. On one hand by witnessingthe ability to re-sell a secondhand 5yr vessel, we quantify the extent of liquifying avessel in the secondhand market. On the other hand, by quantifying the impact of timeto build a vessel we capture the price discount at which the sale of SH compared to aNB will occur. In other words, the higher the irreversibility of these two metrics, themore often inaction zone exists, and zero-investment triggering is present. Finally, weintroduce the dummy crisis, in order to measure the overall impact on investmenttriggering.
Loan loss provision use: investigating the shift from earnings management to credit risk management
(11/14/2021) Gianneli, Athanasia; Γιαννέλη, Αθανασία; Athens University of Economics and Business, Department of Accounting and Finance; Leledakis, Georgios; Spyrou, Spyros; Drakos, Konstantinos
Prior research shows that banks have strong incentives to use Loan Loss Provisions for Earnings and Credit Risk Management. We examine whether European Banks use Loan Loss Provisions (LLPs) for this purpose and whether there is a shift in their management between pre and post financial crisis period. We analyze a sample of 120 largest Banks, based on their total assets, for a period of 20 years (1999-2020). The financial crisis of 2008 in banks triggered many discussions regarding the massive losses that hit bank’s loan portfolios. Therefore, we examine our hypotheses splitting our sample in two periods, pre-crisis (1999-2007) and post-crisis (2008- 2009), but we also examine our hypotheses considering the whole sample in total, using an interaction term. Our results indicate that largest banks in Europe use Loan Loss Provisions to manage Earnings in both pre and post crisis period. In addition, regarding Earnings Management no statistically significant difference is appeared in banks’ behavior between before and after the 2008 financial crisis. Regarding Credit Risk Management, our analysis shows that there is evidence in European Banks that Loan Loss Provisions reflect changes in the expected quality of banks’ loan portfolio, measured by the amount of non-performing loans. Furthermore, we noticed through our analysis that there is a statistically significant difference between the pre and post crisis period on how Banks in Europe manage their credit risk ratios, which is probably due to new accounting settings or due to increased supervisory. Overall, our findings are useful to bank supervisors, bank managers and accounting standard setters and as well as in their evaluation of the reported accounting numbers for the financial system in Europe.
OPEC's production cut and its effect in crude oil tanker market
(10/31/2018) Kaza, Aikaterini; Denesaki, Despoina; Athens University of Economics and Business, Department of Accounting and Finance; Androutsopoulos, Konstantinos; Tarantilis, Christos; Drakos, Konstantinos
Tanker market has been characterized at the past as a volatile market, due to its cyclicality and numerous endogenous-exogenous interferences. Organization of petroleum could be pointed as such an exogenous monetary interference. OPEC and non-members agreed for a further extension of production cuts until March of 2018. Such a decrease has an immediate impact on shipping industry and already gathers all maritime participants’ attention. After 1971 tanker market transformed from low, into a medium entry barrier sector. Thus the examination of crude oil routes judged crucial, since the producing/exporting countries are numbered and tanker vessels cannot operate as multipurpose vessels serving a wide variety of cargoes. The regulatory bodies controlling the “unrefined oil” production have inserted further pressure on the market and the logical assumption would be that fewer supply of crude oil, will favor market leaders and any firm which can secure frequent spot or time charter voyages. That oligopolistic nature can also derive in a case of production deviation.The fundamental research questions of this paper are the following two: “Are there any signs of market concentration and oligopolistic behavior, in specific routes due to supply restrictions?” and secondly “Which is the amplitude of future contracts volatilities?” As the previously stated questions revealed, the research is focused on shipping primer two earning instruments, spot market operation of a vessel and hedging instruments. The authors of this thesis in comparison with the previous researches doubted the perfect competitive market hypothesis, where all the non-cooperative participants have the same market. Paper’s structure is divided in three sections for logical cohesion purposes. On the first part the contributed research methods and their usage are analytically described, followed by the next section which actualized afore described techniques. Additionally, the third part is an evaluative section, which discusses in further depth the derived results. Finally, a summary of research findings which gives a final solid response on research questions and makes suggestions for further researches is on the last section of the paper.