Διδακτορικές διατριβές

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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, Andrianos
Η 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.
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, Andrianos
Στόχος 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.
Credit risk, monetary policy and investor sentiment during financial crisis in Europe
Makrichoriti, Panagiota; Chalamandaris, George; Athens University of Economics and Business, Department of Accounting and Finance; Spyrou, Spyros; Galariotis, Emilios
This 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.
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, Andrianos
The 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.
Χάσματα προσδοκιών ελέγχου αναφορικά με τις αρμοδιότητες των ορκωτών ελεγκτών στην πρόληψη, στον εντοπισμό και στην αναφορά της απάτης
Παπαστεργίου, Κωνσταντίνος Α.; Οικονομικό Πανεπιστήμιο Αθηνών, Τμήμα Λογιστικής και Χρηματοοικονομικής; Χέβας, Δημοσθένης; Δεμοιράκος, Ευθύμιος; Παπαδάκη, Αφροδίτη; Σιουγλέ, Γεωργία; Τζιόβας, Χρήστος; Δουκάκης, Λεωνίδας; Μπάλλας, Απόστολος
Με την παρούσα μελέτη, διερευνήθηκε η πιθανή ύπαρξη, καθώς και η έκταση του χάσματος προσδοκιών ελέγχου, εστιάζοντας στην περιοχή της απάτης των οικονομικών καταστάσεων στην Ελλάδα, σε περίοδο έντονης οικονομικής ύφεσης, εταιρικών αποτυχιών, λογιστικών σκανδάλων και αλλαγών του ελεγκτικο-νομοκανονιστικού πλαισίου. Παράλληλα, υιοθετώντας το μοντέλο της Porter (1993), κατεβλήθη προσπάθεια να μελετηθεί το φαινόμενο σε βάθος, στα συστατικά του μέρη –ανεπαρκής επίδοση ελεγκτών (deficient performance), ελλειμματικά ελεγκτικά πρότυπα (deficient standards) και χάσματα εύλογων προσδοκιών (reasonableness gaps)–, αλλά και να αναδειχθούν οι γενεσιουργοί του παράγοντες και να προταθούν τρόποι και δέσμες δράσεων περιορισμού του. Για τον σκοπό αυτό, χρησιμοποιήθηκαν ποσοτικοί και ποιοτικοί τρόποι συλλογής δεδομένων (ερωτηματολόγιο και ημι-δομημένες συνεντεύξεις), με εστίαση στη συγκέντρωση των αντιλήψεων ορκωτών ελεγκτών, διευθυντικών στελεχών εισηγμένων εταιρειών, τραπεζικών στελεχών και εκπροσώπων από διωκτικές και εισαγγελικές/δικαστικές αρχές, προς πληρέστερη διερεύνηση του φαινομένου. Τα αποτελέσματα της μελέτης καταδεικνύουν το φαινόμενο του χάσματος προσδοκιών ελέγχου –εστιαζόμενο στην περιοχή της απάτης–, όχι μόνο υπάρχει στην Ελλάδα αλλά είναι και αρκετά εκτεταμένο. Ιδιαίτερης σημασίας θέμα αναδείχθηκε η επιρροή του εταιρικού, κοινωνικού, αλλά κυρίως του χρηματοοικονομικού περιβάλλοντος στην Ελλάδα, ήτοι της έντονης οικονομικής ύφεσης, παραγόντων που επηρεάζουν σε μεγάλο βαθμό την ποιότητα του ελέγχου και κατ’ επέκταση τον ρόλο του ελεγκτή.Η έρευνα κατέδειξε μεταξύ άλλων ως αιτίες του εν λόγω φαινομένου τις υπερβολικές προσδοκίες των χρηστών των οικονομικών καταστάσεων και της κοινωνίας γενικότερα, τις οικονομικές και κοινωνικές συνθήκες του περιβάλλοντος και την έλλειψη ανεξαρτησίας ελέγχου. Τέλος, ως τρόποι περιορισμού αναδείχθηκαν μεταξύ άλλων, η εκπαίδευση/ενημέρωση όλων των χρηστών των οικονομικών καταστάσεων και της κοινωνίας η ενίσχυση των μηχανισμών διασφάλισης της ανεξαρτησίας του ελέγχου, η δημιουργία αρχικά κουλτούρας ηθικής του κράτους και εν συνεχεία κουλτούρας επιχειρηματικής ηθικής των εταιρειών και η αποτελεσματικότερη εποπτεία της ποιότητας της ελεγκτικής εργασίας, συμπεριλαμβανομένων της αναβάθμισης της εποπτικής αρχής.
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.
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, Efthymios
The 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.
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, Spyros
The 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.
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, Manolis
This 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.
Option-implied risk measures and the cross-sectional variation of stock returns
(2021) Lykourgos, Alexiou; Αλεξίου, Λυκούργος; Athens University of Economics and Business, Department of Accounting and Finance; Κωστάκης, Αλέξανδρος; Λελεδάκης, Γεώργιος; Χαλαμανδάρης, Γεώργιος; Σπύρου, Σπυρίδων; Τσεκρέκος, Ανδριανός; Καβουσανός, Εμμανουήλ; Ρομπόλης, Λεωνίδας
This thesis focuses on examining the information contained in options about the valuation of equity securities. Options incorporate valuable information about investors’ expectations on future returns of their underlying securities. This stems from the fact that markets are imperfect due to constraints such as asymmetric information and barriers to short selling, making options non-redundant assets.Over the last decade there have been many studies deriving a measure from option contracts and examining whether it predicts future stock returns. For example, Guo and Qui (2014) find a negative relation between implied volatility and future stock returns and Stilger Kostakis and Poon (2017) show that risk-neutral skewness positively predicts future stock returns. The aforementioned studies use a measure based on a single property/moment of the risk-neutral distribution of stock returns and therefore may lose valuable information. In chapter 1 we propose a joint measure of the probability density function of stock returns. More specifically, we combine volatility, skewness and kurtosis implied by options in a score variable based on investors’ moment preferences, that is, a low score identifies a stock with high volatility, low skewness and high kurtosis. On the contrary, a high score identifies a stock with low volatility, high skewness and low kurtosis. Essentially, our measure can be interpreted as a defensiveness measure where the definition of defensiveness is expanded by incorporating skewness and kurtosis alongside with volatility.We sort stocks in portfolios based on our score measure and find that high score stocks have higher returns than low score stocks. This statistically significant relation between our score measure and future stock returns holds various robustness tests such as double sorts, Fama-MacBeth regressions and using a sample with larger cap stocks. We show that this relation is explained by the exposure to shocks in aggregate volatility and depends on investors’ sentiment. In periods of low sentiment, the intertemporal capital asset pricing model (ICAPM) fully explains this relation, while in periods of high sentiment the relation remains statistically significant and is attributed to mispricing.The literature has shown that jump risk is priced by investors in the options market. A part of the research has examined the impact of jump risk on equity and variance risk premiums, providing strong evidence that an important fraction of those premiums can be attributed to the jump risk premium (see Santa-Clara and Yan (2010) and Bollerslev and Todorov (2011)). Nevertheless, the way that jump risk impacts the cross-sectional variation of stock returns has received less attention in the literature. Therefore, in chapter 2 we examine if exposure to downside (left) and upside (right) jump shocks of the market are priced. We construct a theoretically consistent measure of jump risk through the S&P500 options. The simulation study we conduct shows that it provides reliable estimates as opposed to the JUMP risk factor of Cremers, Halling and Weinbaum (2015) which is a biased measure of jump risk. We find that betas to shocks in downside jumps produce a statistically significant risk premium of -11.52% contemporaneously in an annual basis, while betas on shocks to upside jumps do not. The statistically significant relation between betas to shocks in downside jumps and stock returns is not due to risk-neutral variance and skewness shocks. Additionally, we show that it produces statistically significant abnormal returns on the next month of the formation period while it is robust to different estimation period such as 9, 6 and 3 months and different holding periods such as 3 and 6 months.In chapter 3 we examine the implied volatility curves that are arise from option prices prior to earnings announcements days. We show that a portion of them becomes concave, taking unusual shapes such as W, S, and inverted U. This characteristic, which is mostly observed in short-term options, implies a bimodal risk-neutral density for the stock price. This means that investors predict a jump in the stock price at the earnings announcement day. We find that concave implied volatility curves do predict higher absolute stock returns at the earnings announcement day and higher volatility after the earnings announcement day. However, straddle returns of stocks with concave implied volatility curves are statistically significantly lower than those with non-concave implied volatility curves. This is attributed to the fact that at-the-money options of concave implied volatility curves are much more expensive and the jumps of the stock price at the earnings announcement day are not large enough to offset the substantial cost of these straddles. Therefore, investors identify earnings announcements that make stock prices jump and pay a substantially higher premium to hedge against this risk.
Textual analysis in finance: the cases of mergers and initial public offerings
(2021) Katsafados, Apostolos G.; Κατσαφάδος, Απόστολος; Athens University of Economics and Business, Department of Accounting and Finance; Επίσκοπος, Αθανάσιος; Ανδρουτσόπουλος, Ίων (Ιωάννης); Δράκος, Κωνσταντίνος; Γεωργούτσος, Δημήτριος; Σπύρου, Σπύρος; Τσεκρέκος, Ανδριανός; Λελεδάκης, Γεώργιος
This thesis is divided into seven chapters. Their common feature is that they all revolve around the use of textual analysis, and by extension its application in the finance sector. The first chapter provides the introduction of this thesis and points out why the focus on textual analysis is important. Next, in the second chapter, a relatively brief but thorough review of the literature is presented to crystalize the bases, the constants, and the trends of the research activity in this area. The reason is that in such a case the position of this thesis in relation to the literature, the contribution to it, as well as the empirical findings can better be understood.The third chapter uses textual analysis to identify merger participants, either bidders or targets, in the U.S. banking sector. Based on Loughran and McDonald’s lists of positive and negative words, we compute the sentiment of the bank’s annual reports (10-Ks). In our empirical analysis, we use logistic regression to gauge the probability of a bank participating in a merger event. First, we show that a greater amount of positive words in a bank’s 10-K is linked with a greater possibility of becoming a bidder. Second, we find that a higher frequency of negative words in a bank’s 10-K is associated with a higher possibility of becoming a target. Our inferences remain robust even if we include various bank-specific control variables in our logistic regressions models. The fourth chapter examines the issue of the previous chapter from a different perspective. Unlike the usage of econometric methodologies to explore the significance of the coefficients under an explanatory framework, here our aim is prediction by using machine learning models, including ideas from deep learning models. More specifically, we endeavor to examine whether there is any predictive ability of textual information from annual reports (10-Ks) when predicting bank mergers. We prove that textual data enhance the predictive accuracy of the models both for bidders and targets. By and large, the combination of both textual features and financial variables as input in the models achieves the highest scores. On the one side, the findings for targets indicate that random forest (RF) is the best among others in terms of out-of-sample accuracy. In that case, we use textual features with both unigrams and bigrams using term frequency-inverse document frequency (TF-IDF) weighting scheme along with financial variables. On the other side, deep learning models perform the highest accuracy score at bidder prediction task. In particular, we use the centroid of word embeddings combined with the financial variables. Notably, our finance-specific word embeddings perform better than the generic ones. Again TF-IDF weighting scheme seems to improve the overall predictive outcome. Our findings show that textual disclosure manages to mitigate the opacity of the banks. The fifth chapter tries to get insights into the predictive power of textual data derived from the prospectuses (S-1 filings) in predicting IPO underpricing. In particular, we use several machine learning models to proceed to our prediction tasks. First of all, our research differentiates from prior literature as it predicts not only if an IPO will be underpriced or not, under a binary classification framework, but also it foresees the magnitude of underpricing. At both of these tasks, we find that textual features can efficiently complement financial variables. In reality, machine learning models that use both textual features and financial variables as inputs achieve greater performance compared to models employing a single type of input. Also, we explore methodological ways with which financial variables can be effectively combined with the numerous textual features. Overall, our findings offer empirical evidence on how textual information is able to reduce the ex-ante valuation uncertainty of IPO firms.The sixth chapter adds to the literature that attempts to explain the IPO underpricing, especially based on the tone of the IPO prospectus. We prove that a higher fraction of uncertain text in S-1 filings as an internal source of uncertainty is related to higher underpricing. However, the main merit of our study is that we focus on the policy uncertainty index as a source of external uncertainty, in addition to the textual sentiment. We surprisingly find that higher policy uncertainty prior to the filing date of S-1 is connected with a lower underpricing. Interestingly, we show that high policy uncertainty influences the firm’s decision to go public. In fact, policy uncertainty is negatively linked to IPO volume. We further document that only firms with good quality continue going public despite the high policy uncertainty, thus experiencing a lower underpricing. The seventh chapter provides the main inferences of this thesis as well as offers several suggestions for future research.
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.
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, Christos
This 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.
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, Spyros
During 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.
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, Σπυρίδων
Στην 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.
Macroeconomic expectation formation under uncertainty
(2020) Θωμά, Φωτεινή-Άννα; Thoma, Fotini-Anna; Athens University of Economics and Business, Department of Accounting and Finance; Γεωργούτσος, Δημήτριος; Κωνσταντίνου, Παναγιώτης; Καβουσανός, Εμμανουήλ; Σπύρου, Σπυρίδων; Επίσκοπος, Αθανάσιος; Τσεκρέκος, Ανδριανός; Δράκος, Κωνσταντίνος
Ο κύριος στόχος του Ευρωπαϊκού Συστήματος Κεντρικών Τραπεζών (ΕΣΚΤ) είναι η διατήρηση σταθερότητας των τιμών δηλαδή η ετήσια αύξηση του Εναρμονισμένου Δείκτη Τιμών Καταναλωτή (ΕνΔΤΚ) για τη ζώνη του ευρώ με ρυθμό χαμηλότερο, αλλά πλησίον του 2%. Με τον τρόπο αυτό αποτρέπονται φαινόμενα αύξησης του γενικού επιπέδου των τιμών με ρυθμό μεγαλύτερο του 2% ή περιπτώσεις αντιπληθωρισμού (δηλ. πτώση του επιπέδου των τιμών). Ένας σταθερός ρυθμός αύξησης των τιμών διατηρεί την αξία του ευρώ διεθνώς διασφαλίζοντας την αγοραστική δύναμη των πολιτών. Όταν η Ευρωπαϊκή Κεντρική Τράπεζα (ΕΚΤ) ανακοινώνει τον στόχο της για το επίπεδο του πληθωρισμού, δίδεται η ευχέρεια στα άτομα να κρίνουν έχει επιτύχει ή όχι το στόχο της αυξάνοντας τη διαφάνεια της νομισματικής πολιτικής και παρέχοντας ένα σταθερό σημείο αναφοράς σχετικά με τις προσδοκίες των ατόμων για τις μελλοντικές αυξήσεις των τιμών. Σε περίπτωση απόκλισης της εξέλιξης των τιμών από τον ορισμό της σταθερότητας των τιμών, η ΕΚΤ θα πρέπει να αναλύσει τον τρόπο με τον οποίο προτίθεται να αποκαταστήσει τη σταθερότητα εντός αποδεκτού χρονικού διαστήματος. Οι προβλέψεις των πολιτών σχετικά με το μελλοντικό επίπεδο των τιμών αποτελούν χρήσιμο εργαλείο χάραξης της νομισματικής πολιτικής. Η περίπτωση ορθολογικών προσδοκιών υποθέτει ότι τα άτομα χρησιμοποιούν κατά άριστο τρόπο όλη τη διαθέσιμη πληροφόρηση σχετικά µε τις τρέχουσες κυβερνητικές πολιτικές προκειμένου να προβλέψουν το μέλλον της οικονομίας. Για παράδειγμα, σε μια πιθανή μείωση του στόχου του ρυθμού πληθωρισμού τα άτομα κατά ορθολογικό τρόπο θα μειώσουν άμεσα τις προσδοκίες τους για το επερχόμενο επίπεδο πληθωρισμού. Παρόλα αυτά, σε πραγματικό χρόνο οι πολίτες λειτουργούν υπό συνθήκες αβεβαιότητας, δεν είναι σε θέση να γνωρίζουν όλη τη διαθέσιμη πληροφορία διαμορφώνοντας με τον τρόπο αυτό μη ορθολογικές προσδοκίες όσον αφορά το μελλοντικό επίπεδο τιμών. Στα πλαίσια χάραξης συνεπώς της νομισματικής πολιτικής είναι σημαντικό να αποσαφηνιστεί ο τρόπος με τον οποίο ενεργούν τα άτομα στην προσπάθειά τους να προβλέψουν τον πληθωρισμό καθώς και οι πιθανοί λόγοι απόκλισης από την ορθολογική συμπεριφορά. Σε θεωρητικό επίπεδο υπάρχουν σημαντικές βιβλιογραφικές αναφορές οι οποίες εξηγούν πιθανούς τρόπους διαμόρφωσης των προσδοκιών. Παρόλα αυτά, το εμπειρικό κομμάτι υστερεί ανοίγοντας το δρόμο για σημαντικό ερευνητικό έργο. Ερωτήματα τα οποία αφορούν τον τρόπο διαμόρφωσης των προσδοκιών καθώς και την εύρεση του καταλληλότερου μοντέλου για την περιγραφή της συγκεκριμένης συμπεριφοράς των ατόμων, παραμένουν ακόμα προς συζήτηση. Η παρούσα διδακτορική διατριβή καλείται να καλύψει τυχόν κενά και να εξελίξει την υπάρχουσα βιβλιογραφία χρησιμοποιώντας εμπειρικά δεδομένα προβλέψεων πολιτών της ζώνης του ευρώ αναφορικά με τη διαμόρφωση των μελλοντικών τιμών υπό συνθήκες αβεβαιότητας. Τα ευρήματα είναι ιδιαίτερα χρήσιμα για τη χάραξη της νομισματικής πολιτικής δεδομένου ότι οι πληθωριστικές προσδοκίες καθορίζουν πέρα από την εξέλιξη των τιμών, επενδυτικές, καταναλωτικές και αποταμιευτικές αποφάσεις.
The role of debt renegotiation in mitigating risk-shifting incentives
(2020) Πρασσά, Χαρίκλεια; Prassa, Charikleia; Athens University of Economics and Business, Department of Accounting and Finance; Τσεκρέκος, Ανδριανός; Χαλαμανδάρης, Γεώργιος; Ρομπόλης, Λεωνίδας; Καβουσανός, Εμμανουήλ; Δράκος, Κωνσταντίνος; Σπύρου, Σπυρίδων; Γεωργούτσος, Δημήτριος
Η παρούσα διδακτορική διατριβή επικεντρώνεται στη διερεύνηση του ρόλου της επαναδιαπραγμάτευσης του χρέους ως μέσο άμβλυνσης ή επίλυσης του προβλήματος μετακύλισης κινδύνου, το οποίο εισήχθη στη διεθνή βιβλιογραφία από τους Jensen and Meckling (1976). Το εν λόγω πρόβλημα ανακύπτει από την ύπαρξη κινήτρου των μετόχων μιας επιχείρησης να επωφεληθούν από επενδύσεις υψηλού κινδύνου σε βάρος των πιστωτών, και αποτελεί μια από τις κύριες πηγές σύγκρουσης συμφερόντων μεταξύ μετόχων και πιστωτών. Η μετακύλιση κινδύνου ανήκει σε μια ευρύτερη κατηγορία ενεργειών με ονομασία ‘κρυφές ενέργειες’, επειδή ο δανειολήπτης, εν προκειμένω ο μέτοχος, προχωρεί σε μια επενδυτική ενέργεια εν αγνοία του δανειστή (Ziegler, 1998). Σε γενικό πλαίσιο, η παρούσα διδακτορική διατριβή συμβάλλει σε ποικίλους τομείς της βιβλιογραφίας. Πρώτον, συνεισφέρουμε στη σχετική βιβλιογραφία δείχνοντας ότι η επαναδιαπραγμάτευση του χρέους μπορεί να θεωρηθεί μία εναλλακτική λύση σε σχέση με τους έως τώρα καλά μελετημένους τρόπους (π.χ. χρήση των warrants, μετατρέψιμο χρέος, βραχυπρόθεσμο χρέος) για την άμβλυνση του προβλήματος μετακύλισης κινδύνου. Δεύτερον, η μελέτη μας συμπληρώνει και επεκτείνει προηγούμενες μελέτες σχετικές με την τιμολόγηση του χρέους. Η υπάρχουσα θεωρητική βιβλιογραφία εξετάζει είτε το πρόβλημα μετακύλισης κινδύνου (Leland, 1998; Ericsson, 2000), είτε την επαναδιαπραγμάτευση του χρέους (Andeson and Sundaresan, 1996; MellaBarral and Perraudin, 1997; Fan and Sundaresan, 2000). Εξ’ όσων γνωρίζουμε, αυτή είναι η πρώτη μελέτη που αναπτύσσει ένα αναλυτικό μοντέλο συνεχούς χρόνου, το οποίο συνδυάζει τις δυο περιοχές. Τρίτον, συμβάλλουμε στις εμπειρικές μελέτες που αφορούν στη μετακύλιση κινδύνου, δείχνοντας ότι οι εταιρείες που αντιμετωπίζουν οικονομική δυσπραγία αλλά επαναδιαπραγματεύονται τις δανειακές τους υποχρεώσεις αντιστρέφουν την τάση για ανάληψη υπερβολικού κινδύνου. Τέλος, η μελέτη αυτή είναι η πρώτη που συνδέει το είδος επαναδιαπραγμάτευσης του χρέους με τα κίνητρα των μετόχων για μετακύλιση κινδύνου, εξετάζοντας ένα μεγάλο δείγμα 30.108 επαναδιαπραγματεύσεων δανειακών συμβάσεων.
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, Δημήτριος
This 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.
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, Κωνσταντίνος
This 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.
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 offs
Παπαϊωάννου, 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, Κωνσταντίνος
The 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.

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