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

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

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

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)

Investigating the effects of market microstructure on stock price formation and volatility: evidence from the Athens Stock Exchange

In this article, we investigate the possibility that stock market microstructure characteristics might affect price formation and volatility in the Athens Stock Exchange (ATHEX). We conclude that alterations in the structure and the duration of the trading session do not affect volatility or increase informational efficiency. In addition, statistical evidence is provided that the continuous trading system seems more efficient than the system of trading sessions with halts.

Delisted versus voluntary delisted versus remain listed: financial disclosure timing

We focus in the period of announcement of accounting information for companies listed in an organized market and we re-examine their probability of delisting, voluntarily or not. Adopting the same framework, consideration is given to the assumption that investors utilize market information when accounting data are published. The analysis provided indicates that investors should pay attention to the financial disclosure timing. Our investigation demonstrated that even the short period of three months is quite important to making investment decisions. © 2015 Taylor & Francis

Economic efficiency of Greek retail SMEs in a period of high fluctuations in economic activity: a DEA approach

This study aims to analyse the economic efficiency of Greek small and medium retail enterprises before and after the crisis that started in 2008. Based on the Accounting Equation, we use Data Envelopment Analysis (DEA) to estimate variable returns of scale efficiency scores and to conclude on specific characteristics that efficient companies have, for example, on capital structure. Our results from the DEA application show a high degree of inefficiency. We found that SMEs on the islands are more efficient than those on the mainland and that SMEs in the cities are the least efficient. Size seems to be important, more so on the islands and on the mainland than in the cities. We conclude that companies should act more conservatively in terms of operating cost when the first signs of a recession appear. In addition, during a recession period, companies that have evidences that their operations will continue positively should strengthen their operations by raising more own capital. Finally, our study clarifies four issues: the efficiency of retail companies in a period of growth and a period of recession, focusing on SMEs that operate in different regions, connecting Accounting Equation and DEA and adding acid ratio as an output in our model. © 2015, © 2015 Taylor & Francis

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