48 research outputs found
Political uncertainty and the Greek stock market over the period 2011-2015
No full textIn this article, we examine the possible effects of the successive
elections in Greece over the period 2011-2015 on the pricing behaviour of four
basic stock indices of Athens Exchange. Our analysis reveals that, with the
exception of the pre-election period before the elections of the 6th of May
2012, returns over the pre-election periods are positive. During the rest of the
periods assessed returns are negative with the exception of the period 18th June
2012 to 31 December 2014 over which returns are positive. On the other hand,
the variance in the Greek market is relatively low during the pre-election
periods compared to the volatility during the periods before the announcement
of an election process or after carrying out the elections. In addition, volatility
surged during the interval which followed the announcement of the referendum
of the 5th of July 2015 on 28 June 2015 till the announcement of the elections
of the 20th of September 2015 on 28th August 2015
Environmental, Social and Governance Responsibility, financial performance and assets: A study of Exchange Traded Funds
No full textTwo research questions are examined in this study with a sample of 168 passive Exchange Traded Funds (ETFs). The first one asks whether a high Environmental, Social and Governance Responsibility (ESG) rating induces investors to allocate more money in an ETF. The empirical findings indicate that the level of assets is not affected by the ESG rating whatsoever, but it is affected by factors such as the historical performance, the expense ratio and the age of each fund. The second question raised concerns the relationship between the performance of an ETF and its ESG rating. The hypothesis examined is that the higher the ESG rating of an ETF is, the higher the return of the ETF should be. The results do not confirm this hypothesis. Not surprisingly, to a large extent, the performance of ETFs is driven by the return of the tracking indexes. To a lesser degree, expense ratio bears a negative impact on ETFs’ performance.
Financial performance and cash flow: Evidence from the US banking industry
Get PDFThis study examines the relationship between cash flow and financial performance with a sample of 122 American banks covering the period from 2019 to 2022. Panel data analysis is applied in the work. Financial performance is computed as the Return on Assets (ROA) and Return on Equity (ROE). The explanatory variables used are the net cash flow, free cash flow, cash flow from operating activities, cash flow from investing activities, cash flow from financing activities, size of banks, leverage ratio (total liabilities to total assets), liquidity ratio (current assets to current liabilities) and efficiency ratio (total revenue to total assets). The results provide evidence of a negative relationship between financial performance and net cash flow. This is also the case for cash flow from investment and financing activities. On the other hand, the relationship of free cash flow with financial performance is positive. As regards the other explanatory variables, leverage and efficiency are positively related to financial performance
The impact of taxation on firm performance and risk: Evidence from Greece
No full textIn this paper, I examine the relationship of taxation with performance and risk with the usage of a sample of 76 non-financial companies traded on the Athens Stock Exchange. The period covered by my study spans from 2018 to 2022, while correlation and panel data analysis is conducted. Both financial performance and stock return are considered, while risk concerns the volatility of the companies’ share prices. The explanatory variables used concern figures reported both in the balance sheet and the profit and loss statement and include net deferred tax, deferred tax asset, deferred tax liability, total tax expense/revenue, income tax, and deferred tax expense/revenue. The empirical results reveal a positive relationship of financial performance with net deferred tax, total tax expense/revenue, income tax and deferred tax expense/revenue. Moreover, deferred tax asset is found to affect financial performance in a negative fashion, while deferred tax liability bears a positive influence on financial performance. The opposite relationships with deferred tax asset and deferred tax liability are detected in the case of stock return and risk. Finally, evidence of a negative relationship of total tax and income tax with stock risk is obtained. © 2024 the Author, licensee AIMS Press
Predictable patterns in ETFs' return and tracking error
No full textPurposeThe purpose of this paper is to assess whether exchange‐traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the factors that induce tracking error and assess whether there are predictable patterns in ETFs' performance.Design/methodology/approachThe author uses a sample of 50 iShares during the period 2002‐2007 and calculates the simple raw return, the Sharpe ratio and the Sortino ratio, regresses the performance differences between ETFs and market index, calculates tracking error as the standard deviation in return differences between ETFs and benchmarks, assesses tracking error's persistence in the same fashion used to assess the ETFs' outperformance persistence, examines the impact of expenses, risk and age on tracking error and applies dummy regression analysis to study whether the performance of ETFs is predictable.FindingsThe results reveal that the majority of the selected iShares beat the S&P 500 Index, both at the annual and the aggregate levels while the return superiority of ETFs strongly persists at the short‐term level. The tracking error of ETFs also persists at the short‐term level. The regression analysis on tracking error reveals that the expenses charged by ETFs along with the age and risk of ETFs are some of the factors that can explain the persistence in tracking error. Finally, the dummy regression analysis indicates that the performance of ETFs can be somehow predictable.Originality/valueThe findings of this paper may be of help to investors seeking investment choices that will help them to gain above market returns. In addition, tracking error‐concerned investors will be helped by the findings of the paper. Finally, the findings on return predictability can also be helpful to investors.</jats:sec
Predictable patterns in ETFs' return and tracking error
No full textPurpose – The purpose of this paper is to assess whether exchange-traded funds (ETFs) can beat the market, as it is expressed by the Standard and Poor (S&P) 500 Index, examine the outperformance persistence, calculate tracking error, assess the tracking error persistence, investigate the factors that induce tracking error and assess whether there are predictable patterns in ETFs' performance. Design/methodology/approach – The author uses a sample of 50 iShares during the period 2002-2007 and calculates the simple raw return, the Sharpe ratio and the Sortino ratio, regresses the performance differences between ETFs and market index, calculates tracking error as the standard deviation in return differences between ETFs and benchmarks, assesses tracking error's persistence in the same fashion used to assess the ETFs' outperformance persistence, examines the impact of expenses, risk and age on tracking error and applies dummy regression analysis to study whether the performance of ETFs is predictable. Findings – The results reveal that the majority of the selected iShares beat the S&P 500 Index, both at the annual and the aggregate levels while the return superiority of ETFs strongly persists at the short-term level. The tracking error of ETFs also persists at the short-term level. The regression analysis on tracking error reveals that the expenses charged by ETFs along with the age and risk of ETFs are some of the factors that can explain the persistence in tracking error. Finally, the dummy regression analysis indicates that the performance of ETFs can be somehow predictable. Originality/value – The findings of this paper may be of help to investors seeking investment choices that will help them to gain above market returns. In addition, tracking error-concerned investors will be helped by the findings of the paper. Finally, the findings on return predictability can also be helpful to investors.Investment funds, Return on investment, Stock exchanges
Evaluating the weak-form efficiency of emerging markets ETFs
No full textThis paper examines the weak-form efficiency of emerging markets ETFs and to that
end several parametric and non-parametric empirical tests are applied. In particular,
the autocorrelation and the serial correlation in ETF returns are tested and the
randomness in the series of ETF returns is then evaluated by applying runs tests. Finally,
three alternative types of variance ratio tests are used to evaluate whether the prices of
ETFs follow a random walk, that is, whether the market in question is efficient in the
weak form. Overall, the results of the tests reveal that weak-form efficiency is a fundspecific
rather than a universal phenomenon. The majority of serial correlation tests
used demonstrate that the pricing of most ETFs in the sample is efficient. On the other
hand, the autocorrelation, runs and variance ratio tests provide evidence of inefficiency
for some of the ETFs examinedEl objetivo de este artículo es el análisis de la eficiencia débil de los fondos cotizados
de mercados emergentes. Para ello se utiliza una serie de contrastes empíricos de carácter
tanto paramétrico como no paramétrico. En concreto, se aborda la cuestión de
la autocorrelación y correlación serial de los rendimientos de los fondos cotizados objeto
de este artículo. Posteriormente se contrasta la hipótesis de aleatoriedad en los
rendimientos de dichos fondos mediante contrastes de rachas. Finalmente, se utilizan
tres tipos alternativos de contrastes de ratio de varianza para determinar si los precios
de los fondos cotizados de mercados emergentes siguen un paseo aleatorio o, en otros
términos, para contrastar la hipótesis de eficiencia débil. En general, los resultados de
los contrastes realizados revelan que la eficiencia, en su forma débil, en los fondos cotizados
de mercados emergentes, es una cuestión específica de determinados fondos
más que un fenómeno universal. En cuanto a resultados particulares, de los contrastes
de correlación serial se deduce que la valoración de la mayoría de los fondos cotizados
considerados en este artículo es eficiente, mientras que los contrastes de autocorrelación,
rachas y ratio de varianzas proporcionan evidencia de ineficiencia en algunos de
los fondos examinado
Mergers and acquisitions: types, principles, historical information and empirical evidence from the Greek banking sector
No full textThis paper describes the types and main principles of mergers and acquisitions, a
strategic policy adopted by many firms worldwide in their efforts to expand their
business, enter new markets, sectors and countries as well as to mitigate the
competition they face from rivals. In addition to the description of the various types of
mergers and acquisitions, the motivations behind such actions are broken down along
with the obstacles and counterincentives that can lead to the failure of such deals and
the significant issue of financing a merger or an acquisition. A brief analysis of the
recent trends in international mergers and acquisitions is subsequently provided. The
paper goes on to focus on the recent wave of acquisitions in the Greek banking sector
by highlighting the case of Alpha Bank’s takeover of Emporiki Bank. The analysis
performed provides some evidence of a positive financial effect for Alpha Bank’s
shareholders as a result of the announcement of that takeoverEste artículo describe los tipos y principios fundamentales de las fusiones y adquisiciones,
política estratégica adoptada por muchas compañías de todo el mundo en
su esfuerzo por expandir su negocio, entrar en nuevos mercados, sectores y países,
así como por mitigar la competencia de otros rivales. Además de la descripción de
los diferentes tipos de fusiones y adquisiciones, se desglosan las motivaciones que
subyacen a tales acciones, junto con los obstáculos y contra-incentivos que pudieran
hacer fracasar tales acuerdos, así como se estudia la importante cuestión de su financiación.
A continuación, se lleva a cabo un breve análisis de las tendencias actuales
en el curso de las fusiones y adquisiciones. Posteriormente, el artículo se centra
en la ola de recientes adquisiciones en el sector bancario griego, destacando el caso
de la absorción del Emporiki Bank por el Alpha Bank. El análisis realizado proporciona
cierta evidencia del efecto positivo en el valor de la cartera de los de los accionistas
del Alpha Bank provocado por el anuncio de tal absorció
Searching for seasonal patterns in exchange traded funds' trading characteristics
No full textThis paper investigates the seasonal characteristics of exchange traded funds (ETFs) return, risk, tracking error and volume and reveals the existence of a strong November effect in performance. On the other hand, this study finds that the well-known January effect does not affect the performance of ETFs. Moreover, this paper demonstrates that a semi-strong seasonality effect on ETFs' risk exists in November and that ETFs achieve their best index replication in this month. The combination of substantial average performance and low average risk and tracking error signals an opportunity for investors to gain sufficient returns by exposing themselves in modest or low volatility and tracking failure. A straightforward relationship between risk and tracking error is also revealed. Finally, the study indicates that the trading activity of ETFs is lacking in any seasonal pattern but there is some evidence on the direct conjuncture between risk and volume. This connection implies that ETF investors sell their shares when their investments in ETFs are over risky.ETFs; exchange traded funds; seasonality; ETF performance; return; tracking error; volume; risk; seasonal patterns.
