International Stock Market Efficiency: A Non-Bayesian Time-Varying Model Approach

This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it to estimate the joint degree of market efficiency in the sense of Fama (1970, 1991). Our empirical results provide a new perspective that the international linkages and market efficiency change over time and that their behaviors correspond well to historical events of the international financial system.Comment: 21 pages, 2 tables, 6 figure

Earnings Management to Avoid Delisting from a Stock Market

We show that firms 'in danger' of being delisted from a stock market (NASDAQ) report higher performance-adjusted discretionary accruals and the inflated accruals are associated with an increased likelihood of maintained listing. Accruals of firms 'in danger' are less positive in fiscal quarters audited by a Big-4 auditor and after the implementation of SOX. In contrast, accruals are higher for firms that benefit most from public listing and for firms with good future prospects. This suggests that managers consider reputation and litigation risk associated with earnings management and they manage earnings only when they believe the firm will recover in near future. The market can thus interpret discretionary accruals as a signal revealing managers' private information about firm quality. Consistent with the signaling explanation we observe a stronger stock price reaction on the announcement of earnings that contain large accruals in threatened firms

The behaviour of SMEs’ capital structure determinants in different macroeconomic states

The recent global financial crisis has triggered questions in the scientific area of capital structure dynamic determination regarding how “quickly” companies tend to adjust their capital structure to their long-term targets, in different macroeconomic states. We broaden the scope of the debate by focusing on SMEs and by discussing the relative importance of firm-specific and macroeconomic variables, when macroeconomic conditions change. Based on a partial adjustment model, we find that short-term and long-term debt ratios follow different patterns regarding their adjustment speeds; the adjustment speed for long-term debt slows down during the crisis, while the respective of the short-term debt is not affected. We also find clear differentiations of the effects and the contribution of the firm-specific and the macroeconomic variables between short-term debt and long-term debt ratios, when macroeconomic states change. We thus conclude that the nature and maturity of borrowing affect the persistence and endurance of the relationship between determinants and borrowing, across different macroeconomic states. © 2017 Elsevier B.V

Corporate governance, internal audit and profitability: “Evidence from P.I.G.S. countries”

This paper aims to explore whether and how specific corporate governance and internal audit determinants affect the profitability of businesses in the countries internationally called P.I.G.S. (Portugal, Italy, Greece, Spain, respectively). The sample consists of listed companies of the Southern European countries P.I.G.S. The survey data covers the period 2011-2016. Statistical analysis was based on a panel data regression model. In contrast to many research studies, this paper finds that internal managers are more suitable to perform the duties of the audit committee effectively, that there is a positive effect in profitability by increasing the Board Size with new members and that frequent meetings of the boards entail additional costs that outweigh any benefits. In addition, there is evidence that firms’ profitability may behave differently in countries with similar macroeconomic and cultural characteristics and for specific examined periods. © 2020

Adjusting for risk factors in mutual fund performance and performance persistence: Evidence from the Greek market during the debt crisis

Purpose: The purpose of this paper is to examine the performance of Greek equity mutual funds and the persistence in annual performance for the period 2008-2017 by using a variety of performance models. Design/methodology/approach: Using all the available funds in operation and daily data, the authors apply single-index (Jensen, 1968) and multi-factor models (Fama and French, 1993; Carhart, 1997) to measure risk-adjusted returns. To assess performance persistence, a series of parametric (Bollen and Busse, 2005) and nonparametric tests (Malkiel, 1995; Brown and Goetzmann, 1995; Kahn and Rudd, 1995) is implemented. Findings: Results show that the Greek equity mutual funds perform, on average, worse than the market index, irrespective of the performance measure applied, and the estimations obtained by the models are similar. Few managers that followed large-cap strategies, pursued stocks with high book-to-market value ratio and eliminated their exposure to the momentum effect were able to add value to their portfolios. Furthermore, a winner-picking strategy based on sustained superior performers is questioned. However, assigning fund returns to the corresponding risk factors results in the partial disappearance of persistence in performance. Originality/value: The sample period includes the turbulent period, following the introduction of capital controls, which affected capital flows significantly. Moreover, the application of multiple performance measures enables us to investigate performance persistence in a wider spectrum. © 2019, Emerald Publishing Limited

SMEs capital structure determinants during severe economic crisis: The case of Greece

The objective of this paper was to explore whether and how the main capital structure determinants of SMEs affected capital structure determination in different ways during the years of economic crisis. We used panel data of 8,052 SMEs operating in Greece during 2009-2012. We found that the effect of capital structure determinants on leverage does not change in an environment of economic crisis; larger SMEs continued to show higher debt ratios, the relationship between profitability and tangibility of assets with leverage continued to be negative, and growth was positively related to leverage. © 2016 The Author(s)

Credit rating model development: An ordered analysis based on accounting data

In this paper we propose and test a methodology for constructing a credit rating model. We follow a polytomous ordered probit analysis leading to the specification of statistically significant credit rating intervals. We test our model with accounting data of Greek listed firms over the years 2004-2013, a period which includes both the pre-crisis growth and the crisis phase of the Greek economy and the stock market. Using the empirically-based rating categories that the model generates endogenously, we observe not only a clear and timely response of ratings to the changing economic environment, but we also obtain significant predictive ability over a period of one, two and three years. © 2016 Elsevier B.V

Corporate governance mechanisms and earnings management

This article aims to summarise a significant number of previous qualitative and quantitative researches in order for scholars to reconsider their understanding of corporate governance mechanisms. The fundamental purpose of examining corporate governance practices is to define the way earnings management can be reduced. The findings show unclear conclusions concerning the board of directors’ and the committee’s characteristics on earnings management. That is why adopting corporate governance mechanisms strives for reducing the ‘agency’ problem. Furthermore, researchers can monitor the impact of corporate governance mechanisms by focusing on recent literature (2019, 2020, 2021). Future research in this area is therefore being promoted. Implementing corporate governance in companies is a given, as it can ensure their effectiveness and increase their credibility and prestige. Adopting corporate governance practices mitigates earnings management phenomena, and companies make the right decisions for their smoother operation. Copyright © 2022 Inderscience Enterprises Ltd