ABSTRACT We model the demolition market, an integral part of the international shipping industry.... more ABSTRACT We model the demolition market, an integral part of the international shipping industry. It is shown through the implementation of a Vector Autoregressive (VAR) model that international steel-scrap prices contribute decisively towards price discovery in the ship-demolition industry. Our finding is explained and attributed to the fact that the growth models of Southeast Asian countries, where the ship-demolition market is primarily located, rely on scrap metal imports. These are mainly obtained from the developed economies rather than the recycling of vessels. We then proceed to test the forecasting ability of our model and use it for price prediction in the ship-demolition market. We establish that it provides the decision-makers with a useful prediction tool which enables all stakeholders involved, the ship owner, the recycler and the cash buyer alike, to gain valuable insights of the underlying trend in the sector.
In this study, we propose a new approach to forecast exchange rate movements on a panel of two ex... more In this study, we propose a new approach to forecast exchange rate movements on a panel of two exchange rates quite vulnerable to financial contagion, the Brazilian Real and the Russian Ruble vis-a-vis the US Dollar. We investigate interrelationships during periods of excess volatility and reverse conditions across a range of asset classes, capturing symmetric and asymmetric tail dependences. Using the Joe-Clayton (SJC) copula we attain upper and lower tail dependences with symmetric relations during periods of increased volatility and asymmetric dependencies for the rest of the time period. Particularly, an aggressive increase in the Volatility Index and the stock market index lead to accelerated increases in the volatility levels in the foreign exchange market. Moreover, we observe positive relationships when a prompt increase in the S&P Goldman Sachs commodity index volatility provokes accelerated increases in the foreign exchange market volatility. Consequently, shocks in the foreign exchange market can be anticipated when risk managers and corporations adjust their risk levels accordingly, while asset managers and investors modify their strategic asset allocation considering spikes in volatility levels from these asset classes. JEL Classification: C53, C58, G11, G17.
Purpose –This is a research paper aiming to re-examine Fama's proxy hypothesis which states t... more Purpose –This is a research paper aiming to re-examine Fama's proxy hypothesis which states that inflation is negatively related to real economic activity and the negative relationship between stock returns and inflation reflects the positive impact of real variables on stock returns. Design/methodology/approach - Two issues are addressed, first if there is a relationship between the real and financial sectors and once this is established the next step is to investigate the type of relationship present. The study uses annual data covering the years 1960-2000, on the German economy, and builds a VAR model to test the hypothesis of the negative impact of real economic activity on stock returns. Findings - The findings suggest that in Germany employment growth has a negative effect on stock returns and influences positively inflation. The rational lies in the fact that employment growth forecasts inflation which is expected to erode firm's profits. This is expressed through falling stock returns. Research limitations/implications- Germany is the largest economy in the European Union, the findings suggest that over the period under examination, the economy operated close to its potential level of output and this has implications for policy formulation. It would have been of interest to use quarterly data, so that the unification factor could be tested. More case studies to this direction should be undertaken. Originality/value - It adds to the understanding and knowledge on a debate that is as current as ever from the point of view of the macroeconomist as well as the politician.
The study of corporate entrepreneurship (CE) has principally used accounting measures to gauge a ... more The study of corporate entrepreneurship (CE) has principally used accounting measures to gauge a firm's CE activities, even though it has increasingly been recognized in entrepreneurial research that more appropriate, theory-based measures are required to provide an accurate picture of a firm's CE performance. This study links corporate entrepreneurship to financial theory by advancing additional value creation (AVC) as a better measure of performance for corporate entrepreneurship activities and based on the output of the firm, rather than the usual accounting measures that are input based.
ABSTRACT Background Knowledge: In the new forming economic port reality, Intangible Assets (IA) m... more ABSTRACT Background Knowledge: In the new forming economic port reality, Intangible Assets (IA) may constitute an important part of port infrastructures and facilities’ financial value. The term “new” port industry refers to ports that develop “new” economy actions and describes port economy aspects and sectors related to innovation and information. New economy and its dynamics seem to affect and shape the terms of port development and competitiveness at international level. New economy actions are closely related to the meaning of Intangible Assets.
ABSTRACT We employ a Markov-switching vector autoregression (MSVAR) model to capture the transmis... more ABSTRACT We employ a Markov-switching vector autoregression (MSVAR) model to capture the transmission of shocks from stock, commodity and credit markets to four alternative assets (i.e. shipping indices). We estimate the impulse response functions (IRF), identify the episodes and document the existence of three regimes and directional spillovers between low, intermediate and high volatility regimes. The estimation results obtained using a Gibbs sampler indicate that the S&P 500, the S&P GSCI, Banks’ Credit Default Swaps and the Volatility Index behave as channels which transform risk to the shipping market with the propagation of shocks and spread the risk to the alternative assets. Moreover, we identify that higher risk premium that is required by investors for holding financial assets depresses the shipping market. Additionally, we capture volatility spikes and propose the use of VIX futures as a hedging proxy instrument and a device to decide on investment or divestment timing in the shipping market.
The purpose of this paper is to identify and examine the existence of electorate business cycles ... more The purpose of this paper is to identify and examine the existence of electorate business cycles in Greece over the last thirty three years. After a brief literature review of the theoretical framework regarding electorate business cycles we used quarterly data for Greece ranging from 1974Q1-2004Q4. Error correction models for major macroeconomic variables were initially employed, and then through a PROBIT and LOGIT estimation evidence was found in support of an opportunistically manipulative incumbent in the case of Greece.
ABSTRACT Companies going public on leading global stock markets are not obliged to disclose earni... more ABSTRACT Companies going public on leading global stock markets are not obliged to disclose earnings forecasts in their prospectuses. The maritime sector deviates from this general trend, as the majority of the companies holding initial public offerings (IPOs) in this sector voluntarily announce their forecasted profits. This study takes advantage of the opportunity that this practice of voluntarily announcing forecasted profits offers and pro-vides unique evidence on an international level. The findings of this study indicate pessimistic forecast by ship-owners, which is mainly attributed to the uncertain and volatile environment surrounding the maritime sector. Efforts should focus on improving the accuracy levels of earnings forecasts in order to increase the reliability of the shipping industry. Financial leverage, listing in emerging markets, and global market condi-tions prove to be the main factors that are responsible for inaccurate earnings forecasts.
Abstract The Initial Public Offerings (IPOs) pricing has become a leading example of market ineff... more Abstract The Initial Public Offerings (IPOs) pricing has become a leading example of market inefficiency during the last decades. Although there is an extensive amount of work that provides some evidence for the existence of short-term excess performance, there in no study to document price ...
... ANDREAS G. MERIKAS*y, ANNA A. MERIKAz and GEORGE KOUTROUBOUSISy yUniversity of Piraeus, Athen... more ... ANDREAS G. MERIKAS*y, ANNA A. MERIKAz and GEORGE KOUTROUBOUSISy yUniversity of Piraeus, Athens, Greece zDeree College, Voula ... Alizadeh and Nomikos [17] investigated the relationship between second-hand prices and trading activity for dry bulk vessels. ...
This paper argues that in the investment decision of the entrepreneur (if he should purchase a se... more This paper argues that in the investment decision of the entrepreneur (if he should purchase a second hand vessel or build a new one), what matters is not the second hand price and its determinants per se, but instead the ratio (SP/NP) second hand price over the new building price and its movement. We investigate the determinants of this ratio across different ship sizes in the tanker sector and show that it can be used as an effective tool in decision making as well as in asset evaluation. W e employ monthly data between 1995 and 2006 for four different ship sizes, VLCC, Suezmax, Aframax and Handymax in the tanker sector and implement a GARCH(1,1) model. It is found that the perception of riskiness directly impacts upon the ratio (SP/NP). An increase in freight volatility leads to an increase in the risk premium across ship sizes and therefore the ratio under examination rises. Furthermore, in the case of Suezmax, the mean ratio is strongly affected by the volatility of shocks to t...
ABSTRACT We model the demolition market, an integral part of the international shipping industry.... more ABSTRACT We model the demolition market, an integral part of the international shipping industry. It is shown through the implementation of a Vector Autoregressive (VAR) model that international steel-scrap prices contribute decisively towards price discovery in the ship-demolition industry. Our finding is explained and attributed to the fact that the growth models of Southeast Asian countries, where the ship-demolition market is primarily located, rely on scrap metal imports. These are mainly obtained from the developed economies rather than the recycling of vessels. We then proceed to test the forecasting ability of our model and use it for price prediction in the ship-demolition market. We establish that it provides the decision-makers with a useful prediction tool which enables all stakeholders involved, the ship owner, the recycler and the cash buyer alike, to gain valuable insights of the underlying trend in the sector.
In this study, we propose a new approach to forecast exchange rate movements on a panel of two ex... more In this study, we propose a new approach to forecast exchange rate movements on a panel of two exchange rates quite vulnerable to financial contagion, the Brazilian Real and the Russian Ruble vis-a-vis the US Dollar. We investigate interrelationships during periods of excess volatility and reverse conditions across a range of asset classes, capturing symmetric and asymmetric tail dependences. Using the Joe-Clayton (SJC) copula we attain upper and lower tail dependences with symmetric relations during periods of increased volatility and asymmetric dependencies for the rest of the time period. Particularly, an aggressive increase in the Volatility Index and the stock market index lead to accelerated increases in the volatility levels in the foreign exchange market. Moreover, we observe positive relationships when a prompt increase in the S&P Goldman Sachs commodity index volatility provokes accelerated increases in the foreign exchange market volatility. Consequently, shocks in the foreign exchange market can be anticipated when risk managers and corporations adjust their risk levels accordingly, while asset managers and investors modify their strategic asset allocation considering spikes in volatility levels from these asset classes. JEL Classification: C53, C58, G11, G17.
Purpose –This is a research paper aiming to re-examine Fama's proxy hypothesis which states t... more Purpose –This is a research paper aiming to re-examine Fama's proxy hypothesis which states that inflation is negatively related to real economic activity and the negative relationship between stock returns and inflation reflects the positive impact of real variables on stock returns. Design/methodology/approach - Two issues are addressed, first if there is a relationship between the real and financial sectors and once this is established the next step is to investigate the type of relationship present. The study uses annual data covering the years 1960-2000, on the German economy, and builds a VAR model to test the hypothesis of the negative impact of real economic activity on stock returns. Findings - The findings suggest that in Germany employment growth has a negative effect on stock returns and influences positively inflation. The rational lies in the fact that employment growth forecasts inflation which is expected to erode firm's profits. This is expressed through falling stock returns. Research limitations/implications- Germany is the largest economy in the European Union, the findings suggest that over the period under examination, the economy operated close to its potential level of output and this has implications for policy formulation. It would have been of interest to use quarterly data, so that the unification factor could be tested. More case studies to this direction should be undertaken. Originality/value - It adds to the understanding and knowledge on a debate that is as current as ever from the point of view of the macroeconomist as well as the politician.
The study of corporate entrepreneurship (CE) has principally used accounting measures to gauge a ... more The study of corporate entrepreneurship (CE) has principally used accounting measures to gauge a firm's CE activities, even though it has increasingly been recognized in entrepreneurial research that more appropriate, theory-based measures are required to provide an accurate picture of a firm's CE performance. This study links corporate entrepreneurship to financial theory by advancing additional value creation (AVC) as a better measure of performance for corporate entrepreneurship activities and based on the output of the firm, rather than the usual accounting measures that are input based.
ABSTRACT Background Knowledge: In the new forming economic port reality, Intangible Assets (IA) m... more ABSTRACT Background Knowledge: In the new forming economic port reality, Intangible Assets (IA) may constitute an important part of port infrastructures and facilities’ financial value. The term “new” port industry refers to ports that develop “new” economy actions and describes port economy aspects and sectors related to innovation and information. New economy and its dynamics seem to affect and shape the terms of port development and competitiveness at international level. New economy actions are closely related to the meaning of Intangible Assets.
ABSTRACT We employ a Markov-switching vector autoregression (MSVAR) model to capture the transmis... more ABSTRACT We employ a Markov-switching vector autoregression (MSVAR) model to capture the transmission of shocks from stock, commodity and credit markets to four alternative assets (i.e. shipping indices). We estimate the impulse response functions (IRF), identify the episodes and document the existence of three regimes and directional spillovers between low, intermediate and high volatility regimes. The estimation results obtained using a Gibbs sampler indicate that the S&P 500, the S&P GSCI, Banks’ Credit Default Swaps and the Volatility Index behave as channels which transform risk to the shipping market with the propagation of shocks and spread the risk to the alternative assets. Moreover, we identify that higher risk premium that is required by investors for holding financial assets depresses the shipping market. Additionally, we capture volatility spikes and propose the use of VIX futures as a hedging proxy instrument and a device to decide on investment or divestment timing in the shipping market.
The purpose of this paper is to identify and examine the existence of electorate business cycles ... more The purpose of this paper is to identify and examine the existence of electorate business cycles in Greece over the last thirty three years. After a brief literature review of the theoretical framework regarding electorate business cycles we used quarterly data for Greece ranging from 1974Q1-2004Q4. Error correction models for major macroeconomic variables were initially employed, and then through a PROBIT and LOGIT estimation evidence was found in support of an opportunistically manipulative incumbent in the case of Greece.
ABSTRACT Companies going public on leading global stock markets are not obliged to disclose earni... more ABSTRACT Companies going public on leading global stock markets are not obliged to disclose earnings forecasts in their prospectuses. The maritime sector deviates from this general trend, as the majority of the companies holding initial public offerings (IPOs) in this sector voluntarily announce their forecasted profits. This study takes advantage of the opportunity that this practice of voluntarily announcing forecasted profits offers and pro-vides unique evidence on an international level. The findings of this study indicate pessimistic forecast by ship-owners, which is mainly attributed to the uncertain and volatile environment surrounding the maritime sector. Efforts should focus on improving the accuracy levels of earnings forecasts in order to increase the reliability of the shipping industry. Financial leverage, listing in emerging markets, and global market condi-tions prove to be the main factors that are responsible for inaccurate earnings forecasts.
Abstract The Initial Public Offerings (IPOs) pricing has become a leading example of market ineff... more Abstract The Initial Public Offerings (IPOs) pricing has become a leading example of market inefficiency during the last decades. Although there is an extensive amount of work that provides some evidence for the existence of short-term excess performance, there in no study to document price ...
... ANDREAS G. MERIKAS*y, ANNA A. MERIKAz and GEORGE KOUTROUBOUSISy yUniversity of Piraeus, Athen... more ... ANDREAS G. MERIKAS*y, ANNA A. MERIKAz and GEORGE KOUTROUBOUSISy yUniversity of Piraeus, Athens, Greece zDeree College, Voula ... Alizadeh and Nomikos [17] investigated the relationship between second-hand prices and trading activity for dry bulk vessels. ...
This paper argues that in the investment decision of the entrepreneur (if he should purchase a se... more This paper argues that in the investment decision of the entrepreneur (if he should purchase a second hand vessel or build a new one), what matters is not the second hand price and its determinants per se, but instead the ratio (SP/NP) second hand price over the new building price and its movement. We investigate the determinants of this ratio across different ship sizes in the tanker sector and show that it can be used as an effective tool in decision making as well as in asset evaluation. W e employ monthly data between 1995 and 2006 for four different ship sizes, VLCC, Suezmax, Aframax and Handymax in the tanker sector and implement a GARCH(1,1) model. It is found that the perception of riskiness directly impacts upon the ratio (SP/NP). An increase in freight volatility leads to an increase in the risk premium across ship sizes and therefore the ratio under examination rises. Furthermore, in the case of Suezmax, the mean ratio is strongly affected by the volatility of shocks to t...
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