Διδακτορικές διατριβές
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Τεκμήριο 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 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 Bank M&As in the U.S. and the EU: shareholder value creation through consolidation(2018) Πυργιωτάκης, Εμμανουήλ; Ρομπόλης Λεωνίδας; Τσεκρέκος Ανδριανός; Δράκος Κωνσταντίνος; Επίσκοπος Αθανάσιος; Γεωργούτσος Δημήτριος; Σπύρου Σπυρίδων; Λελεδάκης ΓεώργιοςΗ παρούσα διατριβή επικεντρώνεται σε μία λεπτομερή μελέτη των τραπεζικών συγχωνεύσεων και εξαγορών, και πιο συγκεκριμένα, στον τρόπο με τον οποίο οι κεφαλαιαγορές αντιδρούν στις ανακοινώσεις των συγχωνεύσεων αυτών. Απώτερος σκοπός της μελέτης είναι να εντοπίσει νέα ευρήματα στο χώρο των τραπεζικών συγχωνεύσεων, δεδομένων των δομικών αλλαγών του υπέστη ο τραπεζικός κλάδος τα τελευταία χρόνια. Όπως αναφέρει ο Kaplan (2000), οι απότομες αλλαγές στον τραπεζικό κλάδο και στην σχετική νομοθεσία δημιουργούν κύματα τραπεζικών συγχωνεύσεων. Ως εκ τούτου, η τρέχουσα οικονομική κατάσταση αποτελεί μια μοναδική ευκαιρία για την μελέτη του φαινομένου αυτού. Στην Αμερική, το νομοσχέδιο Dodd-Frank εφαρμόστηκε ως μια λύση για την κρίση του 2008 και άλλαξε το κανονιστικό πλαίσιο των τραπεζών, και στην Ευρώπη, η κρίση χρέους αποκάλυψε τις αδυναμίες των τραπεζικών συστημάτων των κρατών μελών. Και τα δύο γεγονότα είναι πιθανό να επέφεραν αλλαγές στον τρόπο που οι επενδυτές αντιδρούν στις ανακοινώσεις για επικείμενες συγχωνεύσεις στον τραπεζικό κλάδο. Ένα επίσης σημαντικό κομμάτι με το οποίο ασχολείται η παρούσα διατριβή είναι ένας βασικός περιορισμός των προηγουμένων σχετικών μελετών. Πιο συγκεκριμένα, όλες οι μελέτες έως τώρα χρησιμοποιούν δείγματα μεταξύ εισηγμένων τραπεζών. Παρόλα αυτά, στην βιβλιογραφία των μη τραπεζικών συγχωνεύσεων, υπάρχουν σαφείς ενδείξεις πως η εξαγορά μιας μη εισηγμένης εταιρίας έχει σημαντικά χρηματοοικονομικά οφέλη για τον αγοραστή (Fuller et al., 2002; Officer et al., 2009). Κατά συνέπεια, επιχειρούμε να καλύψουμε το βιβλιογραφικό αυτό κενό και να εξετάσουμε εάν η θετική επίδραση των μη εισηγμένων εταιριών στόχος ισχύει και στον τραπεζικό κλάδο.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 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 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 BusinessΤεκμήριο 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 Credit risk, monetary policy and investor sentiment during financial crisis in EuropeMakrichoriti, Panagiota; Chalamandaris, George; Athens University of Economics and Business, Department of Accounting and Finance; Spyrou, Spyros; Galariotis, EmiliosThis thesis is divided into five chapters. Chapter one presents the timeline of the global financial crisis and the Eurozone sovereign debt crisis. Chapter two examines the determinants of CDS spreads and potential spillover effects for Eurozone countries during the recent financial crisis in the EU. Chapter three offers for the first time evidence on the effect of ECB’s conventional monetary policy on economic expectations in Euro-area countries during the EU crisis. Chapter four proposes an alternative way to estimate the effects of ECB’s unconventional monetary policy announcements on investor sentiment and on real economy in EU. Chapter five concludes with a summary of the main contributions of the thesis.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 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 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 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 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 Essays on banking: modelling and forecasting default rates, impact of competition οn capitalization & time and cross patterns analysis of loans charge offs, recoveries and net charge offsΠαπαϊωάννου, Χρήστος; Papaioannou, Christos; Athens University of Economics and Business, Department of Accounting and Finance; Γεωργούτσος, Δημήτριος; Επίσκοπος, Αθανάσιος; Λελεδάκης, Γεώργιος; Τσεκρέκος, Ανδριανός; Καβουσανός, Εμμανουήλ; Χαλαμανδάρης, Γεώργιος; Δράκος, ΚωνσταντίνοςThe third chapter examines the impact of competition on bank capital ratios which is not straightforward to date, as both economic theory and empirical research are divided. By establishing two alternative models we find that across all model specifications competition is a significant determinant of banks’ capitalization, as all four proxies for market power which we employ are found statistically significant. All measures carry a positive coefficient, suggesting that there is a negative relationship between competition and capital.Τεκμήριο 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, KonstantinosThis 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.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 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 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 Essays on the Informational Efficiency of the Credit Default Swap Market(Οικονομικό Πανεπιστήμιο Αθηνών) Angelopoulos, Georgios; Γιαμουρίδης, ΔανιήλConsiderable theoretical and empirical research has been undertaken in an attempt to test financial markets' informational efciency. Although there is an extensive literature concerningequity markets, examining the informational role of credit markets has remaineda challenging task for both academics and practitioners. The informational eficiency ofcredit markets has been explored either in relative terms, by investigating its interactionwith the equity markets, or on a standalone basis, by examining its reaction around eventsthat contain corporate financial information.
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