Athens Stock Exchange Research Articles

Determinants of Audit Report Lag: Some Evidence from the Athens Stock Exchange

The timely publication of corporate financial information depends on the time taken to complete the audit. The audit report lag is a particularly critical factor in emerging and newly developed capital markets where the audited financial statements in the annual report are the only reliable source of information available to investors. This paper examines the audit report lag of companies listed on the Athens Stock Exchange at the time of its transition from an emerging market to a newly developed capital market. A statistically significant association is found between audit report lag and type of auditor, audit fees, number of remarks in the audit report, the presence of extraordinary items, and an expression of uncertainty in the audit report. The results suggest that audit report lag is reduced by appointing an international audit firm or paying a premium audit fee, but is extended by aspects of potentially bad news.

Intellectual capital performance determinants and globalization status of Greek listed firms

PurposeTo present a study analyzing the intellectual performance of Greek listed corporations on the Athens Stock Exchange under the distinctive aspect of being a “globalized” or “localized” firm.Design/methodology/approachDue to the used VAIC™ method the firm's performance is researched under its intellectual (IC) and physical (CA) aspect. The investigation confirms the existence of some semantic – added value‐based – performance differences by using predictor variables (discriminant analysis) and factors or “drivers” (factor analysis) influencing the actual “globalization status quo”.FindingsStates that “localized firms” are the distinct small technocratic, blue‐collar intellectual performers while the “globalized” ones are the large plutocratic, white‐collar intellectual performers.Research limitations/implicationsThere is a need to analyze data of more corporations and for a longer time period in order to prove clearly the assumptions of the VAIC™ method. Additional comparative research with other (international) corporations will prove (or not) the above findings concerning intellectual differences due to the “globalization” status.Practical implicationsOffers an international comparative research possibility for “advanced” researchers in academia or praxis and enables “beginners” to learn a way of measuring intellectual capital performance.Originality/valueThis paper is an original research based on confirmed data of listed firms, using a “simple” but excellent method, in order to highlight the intellectual phenomenon in a “rational” (metric) way.

Value-at-Risk for Greek Stocks

This paper analyses the application of several volatility models to forecast daily Value-at-Risk (VaR) both for single assets and portfolios. We calculate the VaR number for 4 Greek stocks, 2 portfolios based on these securities and for the Athens Stock Exchange General Index. We model VaR for long and short trading positions by employing non-parametric methods, such as historical and filtered historical simulation, as well as parametric ones. Especially for the later techniques we use a collection of ARCH models (GARCH, EGARCH and TARCH) based on three distributional assumptions (Normal, Student-T and Skewed Student-T), while we combine the Extreme Value Theory with a volatility updating technique (via GARCH type-modeling). In order to choose one model among the various forecasting methods, we employ a two-stage backtesting procedure. In the first one, we implement two backtesting criteria (unconditional and conditional coverage) to test the statistical accuracy of the models.

Generalized beta distributions for describing and analysing intraday stock market data: testing the U-shape pattern

There is an impressive body of empirical evidence which indicates the existence of an intraday U-shaped curve in stock prices. In an effort to shed additional light on the U-shaped curve a new procedure for U-shape testing is introduced. From careful analysis of intraday data it is observed that minimum or maximum stock prices can occur several times during the day. Here, attention is focused on the first time during the day that the maximum or minimum stock price occurred. Because of the importance of the first time during the day that the maximum or minimum stock price occurred, an attempt is made to model these two characteristics with probability distributions. The objective of this study is to use a generalized beta distribution to examine the intradaily behaviour of stocks, using closing stock prices for each one-minute interval, using data from Athens Stock Exchange (ASE). This generalized beta distribution has not been used before to model U-shaped behaviour. The results are consistent with the intraday U-shaped curves, i.e. the time to first maximum (or minimum) stock prices follows a U-shaped pattern. In addition, some potential applications of the generalized beta distribution are discussed and exemplified by analysing the relationship between herd behaviour and U-shaped.

Price limits and overreaction in the Athens stock exchange

In this paper the phenomenon of short-term overreaction and the existence of price limits on the Athens Stock Exchange (ASE) are examined. An 8% price limit was imposed in August 1992 and remained in place until February 2000. The sample consists of 114 shares traded on the ASE for the period 1995–1998. An event study methodology is used in which the event is defined as an increase or decrease in the stock price that activates the price limit for one, two or three days. The findings confirm the occurrence of short-term overreactions on the ASE during the period under investigation.

The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange

We analyze the components of the bid-ask spread in the Athens Stock Exchange (ASE), which was recently characterized as a developed market. For 18 large and 13 medium capitalization stocks, we estimate the adverse selection and the order handling component of the spreads as well as the probability of a trade continuation on the same side of either the bid or the ask price, using the Madhavan et al. (1997) model. We extend it by incorporating the traded volume and we find that the adverse selection component exhibits U-shape patterns, while the cost component pattern depends on the stock price. For high priced stocks, the usual U-shape applies, while for low-priced ones, it is an increasing function of time, mainly due to the different magnitude of the order handling spread component. Our analysis shows that the order handling component dominates inventory effects, particularly in the first and last half hour of the trading day and hence we observe economies of scale in trading. Furthermore, the expected price change is higher in the low capitalization stocks, while the most liquid stocks are the high priced ones. Moreover, by estimating the Madhavan et al. (1997) model for two distinct periods we explain why there are differences in the components of the bid-ask spread.

Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange

This paper investigates the existence of contrarian profits and their sources for the Athens Stock Exchange (ASE). The empirical analysis decomposes contrarian profits to sources due to common factor reactions, overreaction to firm-specific information, and profits not related to the previous two terms, as suggested by Jegadeesh and Titman (1995). Furthermore, in view of recent evidence that common stock returns are related to firm characteristics such as size and book-to-market equity, the paper decomposes contrarian profits to sources due to factors derived from the Fama and French (1993, 1996) three-factor model. For the empirical testing, size-sorted sub-samples that are rebalanced annually are employed, and in addition, adjustments for thin and infrequent trading are made to the data. The results indicate that serial correlation is present in equity returns and that it leads to significant short-run contrarian profits that persist even after we adjust for market frictions. Consistent with findings for the US market, contrarian profits decline as one moves from small stocks to large stocks, but only when market frictions are considered. Furthermore, the contribution to contrarian profits due to the overreaction to the firm-specific component appears larger than the underreaction to the common factors.

A note on equity ownership and corporate value in Greece

AbstractThis study attempts to investigate whether corporate performance is affected by the ownership structure, using data from companies quoted on the Athens Stock Exchange for the period 1996–1998. Given such an objective, the basic hypothesis examined, is that corporate performance as measured by Tobin's Q ratio is a function of ownership and other control variables. Our econometric approach relies on the use of a combination of time series and cross section data (panel‐data analysis), a procedure that avoids many statistical problems. After examining the role of each identifiable shareholder, we find a positive relationship between institutional investors and corporate performance. Copyright © 2004 John Wiley & Sons, Ltd.

An event study analysis of outward foreign direct investment: the case of Greece

The purpose of this article is twofold. Firstly, by applying the event study methodology, it provides detailed and updated evidence on the value generating effect of different modes of foreign direct investment (FDI) entry. Secondly, this is the first paper to empirically evaluate the impact of FDI on the stock returns of Greek firms participating in the Athens Stock Exchange (ASE). In the case of Greece, the cross‐section analysis revealed that successful outward FDI projects tend to be located in developed countries, performed in a high‐technology sector and linked to horizontal integration.

The 2004 Olympic Games announcement and its effect on the Athens and Milan stock exchanges

Through an event study methodology, the effect of the nomination of Athens as the hosting city for the Olympics of 2004 on the stock exchanges of Greece (winner) and Italy (loser), the two primary candidates for the Games is examined. Academic literature suggests that sporting mega events have a positive contribution to the host area economy. This implies that the stock exchange should react positively to the announcement of such events. Berman et al. (2000), in a similar study on the announcement of the Sydney 2000 Olympics, found no significant effect on the overall market and only limited effect on infrastructure-related companies based in the specific area hosting the Games. This study reveals a significantly positive effect on the Athens Stock Exchange (ASE) as a whole, as well as on infrastructure-related industries. No significant effect was identified on the Milan Stock Exchange (MSE). The differences in the impact of the announcement to economy size differences between the two countries and to the assessment is attributed to the fact that due to the highly competitive nature of the bidding process the financial markets assign higher probability to losing instead of winning.

Sources of contrarian profits and return predictability in emerging markets

Acknowledging a gap in the literature, the study performs an investigation on short-term contrarian profits and their sources for the Athens Stock Exchange (ASE). The methodology is based on Jegadeesh and Titman (Review of Financial Studies, 8, 973–93, ); however, this paper employs annually rebalanced size-sorted subsamples instead of a one-off arrangement throughout the sample period. Other key contributions relate to: (a) testing the effect on the empirical results of the choice of an equally as opposed to a value weighted index as a proxy for the market portfolio, and (b) testing for the January effect following the ongoing discussion and disagreement in the literature on seasonality. Empirical findings suggest that short-run contrarian profits are present in the ASE. Furthermore, although both underreaction to common factors and overreaction to the firm-specific return component, appear to contribute to profits; the contribution of overreaction is much larger than that of underreaction. Not only so, but any contribution of the later is restricted to the month of January. Seasonality however has no effect on firm specific overreaction. The selection of a value weighted or an equally weighted index does not alter the main findings, and thus does not explain predictability for this market.

Value relevance of institutional investors

In this paper we investigate the influence of institutional investors on share prices using data from companies quoted on the Athens Stock Exchange. For finance theorists the value of an investment, real or financial, is a function of its expected benefits and the riskiness of these benefits. Whatever influences are exerted by the structure of equity ownership are diversified away by efficient risk‐averse investors. Managerial and agency theorists argue that the particular ownership structure may have an effect on share value or returns. Their arguments are based (mainly) on the consequences of the separation of ownership from control. In addition to traditional methods of estimation we have used Chamberlain’s (1982) multivariate panel data estimator, which allows for arbitrary patterns of error autocorrelation and parameter temporal behavior. Among all alternative methods of estimation used, only this one produced a statistically significant and econometrically well specified relationship between share prices and institutional shareholdings.

Risk analysis: a case study of the Greek bond mutual funds

The present article aims to test the suitability of a newly developed bond index to measure and analyze the risk undertaken by the bond mutual funds operating in the Greek financial market. In doing so, the capital asset pricing model is applied using as an approximation of the market portfolio, first the General Index of the Athens Stock Exchange, secondly the new Bond Index, while, in turn, the results from these two applications are compared with each other. The research concludes that the proposed Bond Index approximates the market portfolio (Greek bond market) much better than the General Index of the Athens Stock Exchange.

Intelligent Investor: An intelligent decision support system for portfolio management

Intelligent Investor is an intelligent system which aims to support investment decision-making. In particular, the system supports the selection procedure regarding stocks in the Athens Stock Exchange, as well as portfolio composition and management procedures.

Financial market liberalization and stock market efficiency: Evidence from the Athens Stock Exchange

This paper examines whether Greece's financial market liberalization efforts have had any effects on the efficient operation of its equity market, the Athens Stock Exchange (ASE). Several tests for structural change, market integration, and efficiency, suggest that the ASE was weak-form efficient and was operating as a random walk even before any market liberalization announcements were made. Furthermore, the political uncertainties of the 1990s did not increase return volatility in the ASE in the postliberalization period. Overall, the results suggest that foreign and domestic investors were mostly guided by fundamentals and thus could not systematically engage in profitable undertakings.

Testing the Performance of Value Strategies in the Athens Stock Exchange

This study examines, for the first time consistently, the performance of contrarian (value) strategies in the Athens Stock Exchange (ASE) based on the price/earnings ratios, dividend yields, size (in terms of market value), market to book ratios, financial leverage ratios and the beta coefficient. We tested the validity of the aforementioned strategies, by examining the performance of portfolios of stocks formed on the basis of the above criteria, and by running a time series cross-sectional GLS multiple regression model. Our results showed that stocks having low price/earnings ratios, high dividend yields, small size, low market to book ratios, high market leverage and low betas generated significantly higher returns, which were achieved, with the exception of size variable, with no additional level of risk taken.

Analysing long memory and volatility of returns in the Athens stock exchange

A recent paper by Barkoulas et al. (Applied Financial Economics, 10, 177–84, 2000), examining long memory of returns in the Athens Stock Exchange (ASE, hereafter), finds evidence in favour of long memory. In this paper, long memory of returns in the ASE along with volatility are examined, using an ARFIMA–GARCH model, estimated via conditional maximum likelihood (ML, hereafter), and find weaker evidence in favour of long memory.

The Underpricing of Initial Public Offerings in the Athens Stock Exchange: Evidence from the Athens Stock Market During the period 1994-2001

This paper investigates the underpricing of initial public offerings (IPOs) phenomenon in the Athens Stock Exchange (A.S.E.) during the period 1994-2001. Specifically, it examines the differences between the listing price of IPOs and their equilibrium market prices formed at the end of the first day and at the end of some pre-determined days during the first year of trading. The IPO puzzle on the Greek stock market is also examined according to some specific criteria such as the kind of the market and some institutional interventions that took place during the period under consideration concerning the cap on the daily price movement.

VOLUNTARY DISCLOSURES IN AN EMERGING CAPITAL MARKET: SOME EVIDENCE FROM THE ATHENS STOCK EXCHANGE

Prior research has pointed to the need to subdivide aspects of voluntary disclosure rather than treat this as an amorphous mix. However, questions about the relative reasons for the variations observed across categories of voluntary disclosure remain open to investigation. This paper contributes to that investigation in the context of a European emerging capital market. Three categories of voluntary disclosure are developed (namely, corporate environment, social responsibility and finance-related disclosures) and each category is tested for association with seven company-specific variables (corporate size, gearing, profitability, liquidity, industry, share return and listing status) in the annual reports of 87 companies listed on the Athens Stock Exchange (ASE). The extent of voluntary disclosure is relatively low. Using linear regression analysis, different explanations are found for the separate categories of disclosure based on prior evidence. Interpretation and analysis are offered in the context of the operation of the ASE.

VAR and Intraday Volatility Forecasting: The Case of the Athens Stock Exchange

We evaluate the performance of symmetric and asymmetric ARCH models in forecasting one-day-ahead Value-at-Risk (VaR) and realized intra-day volatility of two equity indices in the Athens Stock Exchange (ASE). Under the framework of three distributional assumptions, we find out that the most appropriate method for the Bank index in forecasting the one-day-ahead VaR is the symmetric model with normally distributed innovations, while the asymmetric model with asymmetric conditional distribution applies for the General index. On the other hand, the asymmetric model tracks closer the one-step-ahead intra-day realized volatility with conditional normally distributed innovations for the Bank index but with asymmetric and leptokurtic distributed innovations for the General index. Therefore, as concerns the Greek stock market, there are adequate methods for predicting market risk but it does not seem to be a specific model that is the most accurate for all the forecasting tasks.