This study aims to analyse and investigate the most important factors affecting the performance o... more This study aims to analyse and investigate the most important factors affecting the performance of listed firms in the Athens Stock Exchange, emphasising capital structure, size and sovereign debt rate as a proxy for firms’ borrowing rate. Yet, the most remarkable factor taken into consideration to affect firms’ profitability is the delta of ECB assets as a proxy of the ECB’s strategy during the financial crisis. Indeed, the examination of the ECB’s delta is innovative for such analysis and differentiates this study from previous ones. The survey was conducted for the period 2005–2019, and the sample consisted of 49 firms from all sectors of the economic activity, except for the financial sector, as its companies’ capital structure is subject to supervisory restrictions. Thus, the financial sector’s inclusion in the sample would affect its homogeneity. The sample is divided into two sub periods, based on the statement of ECB’s president Mario Draghi “Whatever it takes,” in 2012, exp...
The fluctuation of the freight rates is an important source of risk for all participants in the t... more The fluctuation of the freight rates is an important source of risk for all participants in the tanker shipping markets including ship-owners, charterers, traders, hedge funds, banks, etc. This study examines the freight rate risk involved in the most popular clean tanker route and the most popular dirty tanker route using historical prices from April 2008 to September 2015 for the routes TC5 and TD7 which are further divided into an in-sample period from 24 April 2008 to 7 November 2013, to estimate the coefficients and an out-of-sample period from 8 November 2013 to 2 September 2015, to measure the day to day Value at Risk performance. The analysis of the historical returns of both spot and future prices reveals historical distributions with high peaks and fat tails. The establishment of a risk management method that could capture these distribution characteristics is of paramount importance. For the quantification of the risk, the Value at Risk approach is applied. More specifically, a range of parametric (multiple GARCH family) and non-parametric (i.e. historical simulation) Value at Risk models are applied on the returns of both TC5 and TC7 spot and one and three months future markets. The results suggest substantial freight rate risk at both routes. The backtesting of the Value at Risk models is applied in two stages, firstly by the means of statistical accuracy of the results and secondly by the means of economic accuracy, in order to track down the best VAR models in the case of our research. According to the results, the simple GARCH and non-parametric models are proposed for risk management purposes, for both spot and future markets. The results are consistent for both long and short positions. According to the results, simple GARCH non-parametric models perform better in risk management, for both spot and futures markets. The results are consistent for both long and short positions.
FinTech is a New Financial Technology, which provides financial services through innovative infor... more FinTech is a New Financial Technology, which provides financial services through innovative information and communication technologies. It is widely accepted that 4th industrial revolution, has affected tremendously the living and working conditions of the societies. The convergence between advanced technologies, entrepreneurship becomes more complex and remarkably computerized. Within such significant changes it is rather expected that banking, has been one of the most challenged sectors. New players like FinTech and Big Tech companies try to capitalize the circumstances, by promoting new consumer patterns to gain market shares. The purpose of this study is to investigate the rapid expansion of FinTech and to evaluate its impact on the Greek banking system. This topic becomes very important nowadays as the number of FinTech companies, which compete with traditional banks on financial products and services, are increasing constantly as digital technology develops. In our study we ap...
Economics of Transition and Institutional Change, 2021
Argentina is the only country in the world that was developed in 1900 and developing in 2000. Alt... more Argentina is the only country in the world that was developed in 1900 and developing in 2000. Although there is widespread consensus on the occurrence and uniqueness of this decline, an intense debate remains on its timing and underlying causes. This paper provides a first systematic investigation of the timing of the Argentine debacle. It uses an array of econometric tests for structural breaks and a range of GDP growth series covering 1886–2003. The main conclusion is the dating of two key structural breaks (in 1918 and 1948), which we argue support explanations for the debacle that highlight the slowdown of domestic financial development and trade protectionism (after 1918) and of institutional development (after 1948)
Electronic copy available at: http://ssrn.com/abstract=1862842 ... Macroeconomic factors as deter... more Electronic copy available at: http://ssrn.com/abstract=1862842 ... Macroeconomic factors as determinants of company value in the context of the Ohlson residual income valuation model; Greek findings, Vergos K., Christopoulos A., Kalogirou V. (2011), SSRN Working ...
The scope of paper is to examine whether the recent financial crisis has had any impact on intern... more The scope of paper is to examine whether the recent financial crisis has had any impact on international capital markets and more precisely on the 4 primary international stock markets of England, France, Japan, the United States and Greece. The research is based on the use of the Financial Stress Index (FSI) from July 2005 until December 2008 and August 2009. Research results showed that the recent financial crisis has had a negative impact on all examined markets, with the Tokyo stock exchange being the one mostly affected. It was, also, found increased variability of performances following the start of the financial crisis, a fact that is indicative of the presence of conditional heteroscedasticity. As far as the Greek market is concerned, the recent financial crisis has not affected in general the credit expansion towards enterprises and households; however, it has affected the credit expansion to enterprises and households on a case-to-case basis.
The aim of this paper is to investigate the factors which have influenced negatively the developm... more The aim of this paper is to investigate the factors which have influenced negatively the development for broadband in Greece and to estimate the price elasticity for the demand of broadband services as well as the cross price elasticity between ISDN and ADSL services. In the empirical analysis we use the 384 kbps connections since over 85% of the total ADSL connections in Greece are at this bandwidth. Our empirical analysis is based on an ad-hoc specification demand equation, with no reference to the utility maximization problem of the representative consumer. It begins by assuming that the demand function for ADSL and ISDN services is influenced by the prices of ISDN and ADSL respectively.
The foremost aim of this paper is to propose a reliable methodology regarding the selection proce... more The foremost aim of this paper is to propose a reliable methodology regarding the selection process of financial ratios as input variables in the construction of corporate failure prediction models. In this paper soft set theory is introduced. In the first stage, emphasis is given on the state of liquidity as a measure for the classification of a group of NASDAQ listed firms in two a priori groups (failed and non-failed) using four liquidity criteria as follows: current ratio 1, current liabilities to total liabilities 70%, Equity to Liabilities 0 and Total Debt to Total Assets 70%. In the second stage, a parameter reduction algorithm is applied in order to determine, from a group of ratios, those which provide significant predictive power and optimize the classification accuracy of the model. A tabular representation of a soft set is constructed in order to select the input variables in the model based on the importance degree of each financial ratio. The findings show that the pri...
The aim of this essay is to investigate the impact of different financial crisis since 1950 till ... more The aim of this essay is to investigate the impact of different financial crisis since 1950 till today especially on the labor market of Greece. Specifically the phenomenon of migration to other developed countries is examined in depth with emphasis on the phenomenon of brain drain. Expanding the causes and effects of each crisis, we concentrate on the recent crisis and it is peculiarities. In particular, we consider the case of Brain-Drain, which regards scientific trained manpower in the country and mainly the newer generations. For this reason, in addition to economic impacts the social parameters are also examined together with the future implications that will bring the Greek economy and society especially for the period 2010-2013.
This study aims to analyse and investigate the most important factors affecting the performance o... more This study aims to analyse and investigate the most important factors affecting the performance of listed firms in the Athens Stock Exchange, emphasising capital structure, size and sovereign debt rate as a proxy for firms’ borrowing rate. Yet, the most remarkable factor taken into consideration to affect firms’ profitability is the delta of ECB assets as a proxy of the ECB’s strategy during the financial crisis. Indeed, the examination of the ECB’s delta is innovative for such analysis and differentiates this study from previous ones. The survey was conducted for the period 2005–2019, and the sample consisted of 49 firms from all sectors of the economic activity, except for the financial sector, as its companies’ capital structure is subject to supervisory restrictions. Thus, the financial sector’s inclusion in the sample would affect its homogeneity. The sample is divided into two sub periods, based on the statement of ECB’s president Mario Draghi “Whatever it takes,” in 2012, exp...
The fluctuation of the freight rates is an important source of risk for all participants in the t... more The fluctuation of the freight rates is an important source of risk for all participants in the tanker shipping markets including ship-owners, charterers, traders, hedge funds, banks, etc. This study examines the freight rate risk involved in the most popular clean tanker route and the most popular dirty tanker route using historical prices from April 2008 to September 2015 for the routes TC5 and TD7 which are further divided into an in-sample period from 24 April 2008 to 7 November 2013, to estimate the coefficients and an out-of-sample period from 8 November 2013 to 2 September 2015, to measure the day to day Value at Risk performance. The analysis of the historical returns of both spot and future prices reveals historical distributions with high peaks and fat tails. The establishment of a risk management method that could capture these distribution characteristics is of paramount importance. For the quantification of the risk, the Value at Risk approach is applied. More specifically, a range of parametric (multiple GARCH family) and non-parametric (i.e. historical simulation) Value at Risk models are applied on the returns of both TC5 and TC7 spot and one and three months future markets. The results suggest substantial freight rate risk at both routes. The backtesting of the Value at Risk models is applied in two stages, firstly by the means of statistical accuracy of the results and secondly by the means of economic accuracy, in order to track down the best VAR models in the case of our research. According to the results, the simple GARCH and non-parametric models are proposed for risk management purposes, for both spot and future markets. The results are consistent for both long and short positions. According to the results, simple GARCH non-parametric models perform better in risk management, for both spot and futures markets. The results are consistent for both long and short positions.
FinTech is a New Financial Technology, which provides financial services through innovative infor... more FinTech is a New Financial Technology, which provides financial services through innovative information and communication technologies. It is widely accepted that 4th industrial revolution, has affected tremendously the living and working conditions of the societies. The convergence between advanced technologies, entrepreneurship becomes more complex and remarkably computerized. Within such significant changes it is rather expected that banking, has been one of the most challenged sectors. New players like FinTech and Big Tech companies try to capitalize the circumstances, by promoting new consumer patterns to gain market shares. The purpose of this study is to investigate the rapid expansion of FinTech and to evaluate its impact on the Greek banking system. This topic becomes very important nowadays as the number of FinTech companies, which compete with traditional banks on financial products and services, are increasing constantly as digital technology develops. In our study we ap...
Economics of Transition and Institutional Change, 2021
Argentina is the only country in the world that was developed in 1900 and developing in 2000. Alt... more Argentina is the only country in the world that was developed in 1900 and developing in 2000. Although there is widespread consensus on the occurrence and uniqueness of this decline, an intense debate remains on its timing and underlying causes. This paper provides a first systematic investigation of the timing of the Argentine debacle. It uses an array of econometric tests for structural breaks and a range of GDP growth series covering 1886–2003. The main conclusion is the dating of two key structural breaks (in 1918 and 1948), which we argue support explanations for the debacle that highlight the slowdown of domestic financial development and trade protectionism (after 1918) and of institutional development (after 1948)
Electronic copy available at: http://ssrn.com/abstract=1862842 ... Macroeconomic factors as deter... more Electronic copy available at: http://ssrn.com/abstract=1862842 ... Macroeconomic factors as determinants of company value in the context of the Ohlson residual income valuation model; Greek findings, Vergos K., Christopoulos A., Kalogirou V. (2011), SSRN Working ...
The scope of paper is to examine whether the recent financial crisis has had any impact on intern... more The scope of paper is to examine whether the recent financial crisis has had any impact on international capital markets and more precisely on the 4 primary international stock markets of England, France, Japan, the United States and Greece. The research is based on the use of the Financial Stress Index (FSI) from July 2005 until December 2008 and August 2009. Research results showed that the recent financial crisis has had a negative impact on all examined markets, with the Tokyo stock exchange being the one mostly affected. It was, also, found increased variability of performances following the start of the financial crisis, a fact that is indicative of the presence of conditional heteroscedasticity. As far as the Greek market is concerned, the recent financial crisis has not affected in general the credit expansion towards enterprises and households; however, it has affected the credit expansion to enterprises and households on a case-to-case basis.
The aim of this paper is to investigate the factors which have influenced negatively the developm... more The aim of this paper is to investigate the factors which have influenced negatively the development for broadband in Greece and to estimate the price elasticity for the demand of broadband services as well as the cross price elasticity between ISDN and ADSL services. In the empirical analysis we use the 384 kbps connections since over 85% of the total ADSL connections in Greece are at this bandwidth. Our empirical analysis is based on an ad-hoc specification demand equation, with no reference to the utility maximization problem of the representative consumer. It begins by assuming that the demand function for ADSL and ISDN services is influenced by the prices of ISDN and ADSL respectively.
The foremost aim of this paper is to propose a reliable methodology regarding the selection proce... more The foremost aim of this paper is to propose a reliable methodology regarding the selection process of financial ratios as input variables in the construction of corporate failure prediction models. In this paper soft set theory is introduced. In the first stage, emphasis is given on the state of liquidity as a measure for the classification of a group of NASDAQ listed firms in two a priori groups (failed and non-failed) using four liquidity criteria as follows: current ratio 1, current liabilities to total liabilities 70%, Equity to Liabilities 0 and Total Debt to Total Assets 70%. In the second stage, a parameter reduction algorithm is applied in order to determine, from a group of ratios, those which provide significant predictive power and optimize the classification accuracy of the model. A tabular representation of a soft set is constructed in order to select the input variables in the model based on the importance degree of each financial ratio. The findings show that the pri...
The aim of this essay is to investigate the impact of different financial crisis since 1950 till ... more The aim of this essay is to investigate the impact of different financial crisis since 1950 till today especially on the labor market of Greece. Specifically the phenomenon of migration to other developed countries is examined in depth with emphasis on the phenomenon of brain drain. Expanding the causes and effects of each crisis, we concentrate on the recent crisis and it is peculiarities. In particular, we consider the case of Brain-Drain, which regards scientific trained manpower in the country and mainly the newer generations. For this reason, in addition to economic impacts the social parameters are also examined together with the future implications that will bring the Greek economy and society especially for the period 2010-2013.
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Papers by apostolos G christopoulos