Διδακτορικές διατριβές
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Τεκμήριο Monetary policy transmission, stock price crash risk & financial contagion in the aftermath of the financial crisis(04-11-2022) Τζομάκας, Χρήστος; Tzomakas, Christos; Athens University of Economics and Business, Department of Accounting and Finance; Chalamandaris, George; Leledakis, Georgios; Drakos, Konstantinos; Spyrou, Spyros; Kavussanos, Emmanuel G.; Georgoutsos, Dimitrios; Tsekrekos, AndrianosΗ παρούσα διατριβή χωρίζεται σε τρία κεφάλαια. Στο πρώτο, ερευνούμε τη σχέση μεταξύ της κρίσης χρέους στην Ευρωζώνη και της χρηματοπιστωτικής κρίσης του 2007-08. Στο δεύτερο, εξετάζουμε την προβλεπτική ικανότητα του μοντέλου FAVAR και την πιθανή χρησιμότητα του στην πρόβλεψη της καμπύλης των αποδόσεων του Ηνωμένου Βασιλείου μετά το Brexit. Στο τελευταίο μέρος, μελετάμε τη σχέση μεταξύ του κινδύνου κατάρρευσης των τιμών των τραπεζικών μετοχών και του αισθήματος κρίσης.Στο πρώτο άρθρο, εξετάζουμε τη σχέση της χρηματοπιστωτικής κρίσης και κρίσης δημόσιου χρέους, και συγκεκριμένα τις αγορές ομολόγων των PIIGS. Χρησιμοποιούμε το μοντέλο EGARCH και το εκτιμούμε μέσω QMLE. Μετά από τη διεξαγωγή ελέγχων απορρίπτουμε την υπόθεση της κανονικότητας και καταλήγουμε στη χρήση μοντέλων EGARCH με βαριά ουρά, όπως η Student-t και GED κατανομή. Στο επόμενο κεφάλαιο, χρησιμοποιούμε ένα μοντέλο FAVAR στον απόηχο του Brexit. Επιπλέον, χρησιμοποιούμε ανάλυση αιφνίδιων διαταραχών και αναδεικνύουμε την υπεροχή του FAVAR μοντέλου. Διερευνούμε επίσης πως οι παράγοντες που σχετίζονται και αλλάζουν πριν και μετά το Brexit. Δοκιμάζουμε την ικανότητα των παραγόντων του FAVAR να προβλέψουν αλλαγές στην καμπύλη απόδοσης του Ηνωμένου Βασιλείου μετά το Brexit.Τέλος, στο τελευταίο κεφάλαιο, εξετάζουμε τον κίνδυνο κραχ των τιμών των μετοχών των τραπεζών της Eυρωζώνης, με μια ποικιλία εναλλακτικών μέτρων που χρησιμοποιούνται ως δείκτες. Μελετάμε τον αντίκτυπο του κλίματος κρίσης στον κίνδυνο κραχ των τιμών των μετοχών των ευρωπαϊκών τραπεζών. Για το σκοπό αυτό, προτείνουμε δύο «κειμενικές προσεγγιστικές μεταβλητές» για το αίσθημα κρίσης, δηλαδή τις αρνητικές και αβέβαιες λέξεις-κλειδιά από τις ομιλίες των Κεντρικών Τραπεζών της Ευρώζώνης. Χρησιμοποιούμε τη μεθοδολογία PVAR και καταλήγουμε σε μια θετική συσχέτιση μεταξύ του κλίματος κρίσης και του κινδύνου κατάρρευσης των τιμών των μετοχών. Έτσι, καθώς το κλίμα κρίσης αυξάνεται, οι επενδυτές πωλούν ακόμη και σε πολύ χαμηλές τιμές εφαρμόζοντας στρατηγικές stop-loss υπό τον φόβο τεράστιων ζημιών.Τεκμήριο Η ποιότητα του ελέγχου των οικονομικών καταστάσεων : αποτελέσματα από την εφαρμογή οικονομετρικών υποδειγμάτων εντοπισμού διαχείρισης κερδών(Οικονομικό Πανεπιστήμιο Αθηνών, 04-2012) Καρμπαδάκης, Γεώργιος; Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής; Μπάλλας, ΑπόστολοςΔιδακτορική διατριβή - Οικονομικό Πανεπιστήμιο ΑθηνώνΤεκμήριο 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, 05-2012) Efthymiou, Vassilios A.; Leledakis, GeorgiosDoctoral thesis - Athens University of Economics and Business. Department of Accounting and FinanceΤεκμήριο The effects of IFRS on investment decisions(07-03-2018) 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, GeorgiaThis 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.Τεκμήριο Early warning systems for banking crises: evidence for the Euro-zone banking sector(10-11-2020) 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, ΣπυρίδωνΣτην 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.Τεκμήριο Sovereign debt risk and financial markets: three essays(22-03-2016) Moratis, Georgios; Μωράτης, Γεώργιος; Athens University of Economics and Business, Department of Accounting and Finance; Georgoutsos, DimitriosThis 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.Τεκμήριο Essays on energy finance(26-10-2022) Βασιλειάδης, Κωνσταντίνος; Vasileiadis, Konstantinos; Athens University of Economics and Business, Department of Accounting and Finance; Rompolis, Leonidas; Yannacopoulos, Athanasios; Drakos, Konstantinos; Spyrou, Spyros; Chalamandaris, George; Georgoutsos, Dimitrios; Tsekrekos, AndrianosΣτόχος της παρούσας διατριβής είναι να εξετάσει εμπειρικά διάφορες πτυχές των σχέσεων του ενεργειακού τομέα και των χρηματοπιστωτικών αγορών. Η διατριβή αποτελείται από τρία ανεξάρτητα δοκίμια, τα οποία διερευνούν: α) μέτρα δυναμικής συνδεσιμότητας μέσω υποδειγμάτων MIDAS SVAR μεταξύ πετρελαϊκών και χρηματιστηριακών αγορών σε χώρες που εξάγουν και σε χώρες που εισάγουν πετρέλαιο, β) τις τιμές του πετρελαίου ως παράγοντα πρόβλεψης για τις αποδόσεις των χρηματιστηριακών αγορών σε ανεπτυγμένες και αναπτυσσόμενες αγορές και γ) τη σχέση ανάμεσα στις επιδόσεις των εταιριών σε επίπεδο εταιρικής κοινωνικής ευθύνης και των χαρακτηριστικών του διοικητικού τους συμβουλίου στον ενεργειακό τομέα.Τεκμήριο Bank M&As in the U.S. and the EU: shareholder value creation through consolidation(31-03-2018) 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, GeorgiosIn 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.Τεκμήριο Banks' accounting policies and monitoring mechanisms: the case of loan loss provisions in the European Union(01/29/2021) 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, ChristosThis 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.Τεκμήριο The valuation practices of sell-side financial analysts and the usefulness of accounting information for the issuance of stock price recommendations and the derivation of target prices in equity research reports(04/14/2022) Chlomou, Grigoria; Χλωμού, Γρηγορία; Athens University of Economics and Business, Department of Accounting and Finance; Ballas, Apostolos; Papadaki, Afroditi; Siougle, Georgia; Doukakis, Leonidas; Xevas, Dimosthenis; Tzovas, Christos; Demirakos, EfthymiosThe primary research objectives of my Ph.D. thesis are: i) to explore the valuation practices of sell-side equity research analysts; and ii) to examine the usefulness of accounting information for the implementation of valuation models, derivation of target prices, and issuance of stock recommendations. My Ph.D. thesis comprises the following three main parts: i) the first part examines the Sum-of-the-Parts (SOTP) valuation framework and the usefulness of IFRS 8 in identifying the operating segments within a SOTP-based valuation exercise; ii) the second part examines the valuation properties and the implementation issues of HSBC’s Rating-to Economic-Profit (REP) as well as its ability to justify financial analysts’ target prices; and iii) the last part examines the valuation methods that financial analysts use to value firms with a going-concern audit opinion and the impact of Covid-19 on the ongoing operations of the firms. Chapter I investigates how financial analysts implement the Sum-of-the-Parts (SOTP) valuation framework. Although SOTP constitutes a popular valuation approach among sophisticated practitioners and investors, it is mostly ignored by researchers and academics. We adopt a structured content analysis of 265 equity research reports written by 33 investment brokerage houses for 140 UK-based firms. We find that analysts typically use EBITDA multiples to implement SOTP. Furthermore, financial analysts are more likely to consider SOTP the dominant or preferred valuation model in their report. We show that managers disclose a greater quantity of segmental information if their firms are considered difficult to analyze and value by investors and creditors, decreasing in this way the information asymmetry with their capital providers. In specific circumstances, we document that financial analysts identify more segments in their SOTP analysis compared to the reportable segments in the firms’ annual reports based on IFRS 8. We argue that the financial analysts’ choice to employ a greater number of segments in their SOTP models might be primarily driven by their effort to support their reports’ optimistic target prices. Finally, although SOTP seems theoretically ideal to estimate the value of a multi-segment firm, we do not find empirical evidence to support the hypothesis that SOTP significantly outperforms a full-blown Discounted Cash Flow (DCF) model, when the latter is used separately to value the company as a whole. The primary objectives of Chapter II are to critically analyze and extend a fundamentals-based investment criterion (HSBC’s Rating to Economic Profit, REP) and to examine its ability to justify analysts’ target prices. This study justifies the use of REP as an investment appraisal technique, provides significant extensions of the basic formula, and discusses implementation issues. It also conducts a content analysis of selected analysts’ reports, which may serve as insightful cases facilitating the work of valuation educators and practitioners. We provide some descriptive evidence of the usefulness of accrual accounting numbers over dividends for valuation purposes. We also demonstrate that analysts may use REP to justify their target prices and explain concurrent stock market valuations. Finally, we offer estimates of the implied growth rates and the implied cost of equity by reverse-engineering the alternative formulas of REP. To the best of our knowledge, this is the first academic study that offers a comprehensive analysis of REP. Chapter III focus on UK-listed firms with a going-concern audit opinion to identify the valuation methods that financial analysts use to value distressed companies. The argument that financially distressed firms are difficult to value motivates our work and highlights the importance of our findings and the implications of our study. In this context, we also examine the effects of contemporary macroeconomic environment, Covid-19 pandemic, and accounting issues on firms’ liquidity and solvency as depicted in their expanded audit reports. The Covid-19 pandemic has put a significant number of firms, especially in the Travel & Leisure sector, under pressure potentially affecting the auditors’ decision to raise a going-concern flag. To accomplish our research objectives, we analyze the content of equity research reports for this sample of financially distressed firms to find the most popular valuation methodologies that financial analysts adopt to base their target prices and stock recommendations. Moreover, we investigate the extent of financial analysts’ optimism in firms that are considered distressed. Hence, our research sheds light on both auditors’ and financial analysts’ frameworks of analysis.Finally, Chapter IV offers a synopsis of the main findings of the Ph.D. thesis and highlights the contribution of this study to the field of market-based accounting research and its implications for valuation practitioners.Τεκμήριο 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, KonstantinosThis 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.Τεκμήριο Contingent claims analysis of investment under uncertainty: an empirical investigation(06/15/2022) Chondrokouki, Maria I.; Χονδροκούκη, Μαρία; Athens University of Economics and Business, Department of Accounting and Finance; Drakos, Konstantinos; Episcopos, Athanasios; Georgoutsos, Dimitrios; Kavousanos, Emmanuel G.; Leledakis, Georgios; Spyrou, Spyros; Tsekrekos, AndrianosThe aim of this thesis is to empirically examine predictions of the real options theory and to contribute to the empirical literature on real options models. The thesis consists of three essays.The first essay examines the predictions of a real options model by Kavussanos and Tsekrekos (2011), who formulate the decision to change flag as an optimal switching problem, and predict that shipping companies register vessels in open registries in periods of high volatility in freight rates. A Cox proportional hazards model, in which the hazard rate of time until a flag change is a function of variables that have been reported to affect flag choice and freight rate volatility, is employed. The empirical findings suggest that increased volatility has a positive effect on the hazard of change from a national to an open registry, and is associated with a short time interval to (and a high probability of) a flag change.The second essay tests the predictions of a real options model by Alvarez and Stenbacka (2006), which suggests that firms supplement their acquisitions with subsequent divestitures of non-core assets so as to extract value from the acquisition-divestiture combination. Strong evidence in favour of the theoretical predictions is reported: (a) the endogenous decision to undertake such sequences of deals is affected by the acquirer’s bargaining power, the target’s cash flow uncertainty and exogenous deal-implementation risks, and (b) firms implementing subsequent divestments pay higher acquisition premia.The third essay tests the prediction of the option-based investment model that total investment risk affects investment behaviour, using aggregate construction data on residential real estate from eight OECD countries. Total uncertainty is found to be significantly negatively related to investment in the short-run in almost all examined countries. The investigation is extended to the long-run equilibrium relationship between investment and uncertainty.Τεκμήριο Essays on finance, economics and shipping(06/29/2021) 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, ManolisThis 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.Τεκμήριο Essays on banking(09/11/2019) 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, ΚωνσταντίνοςThis 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.Τεκμήριο The impact of the ECB intervention on investor expectations and the macroeconomic and financial environment of Eurozone countries with financial instability: conventional and non-conventional monetary policy(09/17/2021) Liosi, Konstantina; Λιώση, Κωνσταντίνα; Athens University of Economics and Business, Department of Accounting and Finance; Georgoutsos, Dimitrios; Episcopos, Athanasios; Drakos, Konstantinos; Kavousanos, Emmanuel; Tsekrekos, Andrianos; Chalamandaris, George; Spyrou, SpyrosThe aim of this thesis is to investigate specific issues such as the impact of both the conventional and unconventional monetary policy of the European Central Bank (ECB) on significant indicators of economic activity, such as indices of bank equity portfolios, indices of income inequality and indices of economic uncertainty, covering significant aspects of the economy and time periods, such as the emergence of the global financial crisis in 2008. The occurrence of the global financial crisis introduced the implementation of unconventional monetary policy measures, since the impact of the conventional measures on the financial conditions of the economy became weaker. As the Core and the Peripheral Euro Area countries responded differently to the global financial crisis, it is also empirically attempted to capture possible patterns between the two groups of countries.Chapter 1 introduces the unconventional monetary policy measures which were implemented as a response to the aftermath of the global financial crisis. Chapter 2 reviews the literature relative to the ECB and the conduction of the monetary policy in the Euro Area. Chapter 3 examines empirically the reaction of bank equity indices of five Core and seven Peripheral Euro Area markets to the announcements of both the ECB and the Federal Reserve Bank (Fed) that relate to the conduction of the unconventional monetary policy. Chapter 4 examines the effect of the monetary policy of ECB on income inequality in Euro Area countries as a whole and at a country level. A sample of three Core Eurozone countries and five Peripheral Eurozone countries is employed and in contrast to previous studies, the analysis is not restricted only on the total population, but also separate models are estimated for males and females. Chapter 5 investigates potential sources of economic uncertainty in Euro Area countries with emphasis to the relation between the monetary policy of ECB and the economic uncertainty. The empirical analysis is based on a sample of four Core Eurozone Countries and four Peripheral Eurozone Countries and it is examined not only each country separately, but also all the countries as a whole with the use of a large data set that offers a great amount of information. Finally, Chapter 6 presents the main conclusions resulted from the thesis.Τεκμήριο 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(09/26/2019) 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, ΔημήτριοςThis 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.Τεκμήριο Corporate Social Responsibility's connection with earnings and cost behavior(11/29/2018) 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, ApostolosThe 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.Τεκμήριο Energy listed firms: an examination of earnings management, herding and liquidity in a sample of eurozone markets(12/23/2020) Zervou, Konstantina V.; Ζερβού, Κωνσταντίνα B.; Demirakos, Efthimios; Galariotis, Emilios; Georgoutsos, Dimitrios; Papadaki, Afroditi; Siougle, Georgia; Leledakis, Georgios; Spyrou, SpyrosDuring 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.Τεκμήριο 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, SpyrosΤεκμήριο 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, SpyrosDoctoral thesis - Athens University of Economics and Business
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