First Published: 20 January 2020 · Citations: 5 | In the presence of environmental policy, how do regulated firms respond? The answer is crucial for the design and effectiveness of policy regimes intended to mitigate environmental damage.
41 Pages · Posted: 26 Dec 2019 · Last revised: 28 Nov 2020 | This paper presents the survey results for financial literacy among Cypriot adults and reports their financial aptitude and behaviour. Additionally, it investigates for the first time the implications of financial literacy on respondents’ usage of digital financial services, particularly internet banking (i-banking).
22 Pages · Posted: 12 Mar 2019 · Citations: 13 | This study presents a theoretical model that links chief executive officer (CEO) overconfidence to the value loss of corporate diversification.
15 Pages · Posted: 6 Dec 2018 · Citations: 5 | While positive, long-run abnormal returns following share repurchase announcements are substantially lower when CEOs are overconfident.
29 Pages · Posted: 9 Oct 2018 · Last revised: 10 Dec 2021 | The study is the first attempt to examine financial literacy, financial aptitude and behaviour among university students in Cyprus. The student survey covers 881 Cypriot students, aged 18-24 years old, across the five biggest universities in Cyprus.
81 Pages · Posted: 12 Dec 2017 · Last revised: 05 Dec 2019 | Market-oriented firms are committed to understanding their customers’ evolving expectations and meeting their needs, while outwitting competitors, to achieve a sustainable competitive advantage and improve performance.
In this study, we document a strong positive relation between pre-crisis managerial ability and corporate investment during the crisis period, which remains robust in the presence of a large array of control variables capturing corporate governance attributes, executive compensation incentives and CEO characteristics.
Banks that follow conditional conservatism in their loan loss accounting treatments benefit from a reduction in crash risk. The key discretionary loan loss accounting channels are provisions and allowances.
56 Pages · Posted: 6 Mar 2017 · Last revised: 4 Aug 2019 | We estimate the term structures of risk-neutral forward variance and skewness, and examine their predictive power for equity market excess returns and variance. We use Partial Least Squares to extract a single predictive factor from each term structure that is motivated by the theoretical implications of affine no-arbitrage models.
When a sole individual acts as both CEO and chair of the board of a firm, the resulting CEO duality creates one of the most contentious issues in the field of strategic leadership (Dalton et al., 2007; Finkelstein et al., 2009).
38 Pages · Posted: 7 Nov 2016 · Last revised: 28 Nov 2017 | This study examines the impact of CEO duality on firms’ internal capital allocation efficiency. We observe that when the CEO is also chair of the board, diversified firms make inefficient investments, as they allocate more capital to business segments with relatively low growth opportunities over segments with high growth opportunities.
First Published: 06 Mar 2016 · Citations: 115 | We investigate whether ownership structure, accounting opacity, board structure & processes and managerial incentives attributes relate to future stock price crash risk.
This study investigates the role of organisational learning on the valuation effects of corporate diversification.
34 Pages · Posted: 17 Nov 2015 · Citations: 51 | This study investigates the impact of managerial ability on banks' liquidity creation and risk-taking behaviour. We find that higher ability managers create more liquidity and take more risk.
Posted: 12 Sep 2016 · Last revised: 7 Nov 2016 | We show that firms with younger CEOs are more likely to experience stock-price crashes, including crashes caused by revelation of negative news in the form of breaks in strings of consecutive earnings increases.
82 Pages · Posted: 17 Apr 2015 · Last revised: 02 Sep 2018 | We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns.
21 Pages · Posted: 10 Aug 2015 · Citations: 8 | This paper investigates how vertical integration may influence inventory turnover and firm operating performance. A causal model is developed to investigate the effects of vertical integration on three types of inventory, namely raw materials inventory (RMI), work in progress inventory (WIPI) and finished goods inventory (FGI).
44 Pages · Posted: 30 Oct 2014 · Last revised: 24 Apr 2015 | We propose a test statistic for nonzero mean abnormal returns based on a Smooth Transition Auto Regressive (STAR) specification.
20 Pages · Posted: Mar 2014 · Citations: 49 | This study investigates the relation between corporate governance with (i) financial management decisions such as earnings management and sub-optimal investment, and (ii) firm performance in maritime firms.
20 Pages · Posted: 12 Mar 2015 · Citations: 10 | We investigate the relative importance of market default risk in explaining the time variation of the S&P 500 Index option-implied risk-neutral moments.
25 Pages · Posted: Feb 2013 · Citations: 8 | This study examines several alternative symmetric and asymmetric model specifications of regression-based deterministic volatility models to identify the one that best characterises the implied volatility functions of S&P 500 Index options in the period 1996–2009.
14 Pages · Posted: Nov 2013 · Citations: 25 | This study investigates valuation effects of mergers and acquisitions in the freight transportation industry.
14 Pages · Posted: Mar 2010 · Citations: 18 | We extend the benchmark nonlinear deterministic volatility regression functions of Dumas et al. (1998) to provide a semi-parametric method where an enhancement of the implied parameter values is used in the parametric option pricing models.
We explore the pricing performance of Support Vector Regression for pricing S&P 500 index call options.
13 Pages · Posted: Apr 2008 · Citations: 10 | Pricing and trading practices in the Athens Derivatives Exchange, a newly established derivatives market, result in significant futures arbitrage profit opportunities for low-cost traders.
19 Pages · Posted: Mar 2008 · Citations: 43 | We compare the ability of the parametric Black and Scholes, Corrado and Su models, and Artificial Neural Networks to price European call options on the S&P 500 using daily data for the period January 1998 to August 2001.
13 Pages · Posted: May 2006 · Citations: 17 | The option pricing ability of Robust Artificial Neural Networks optimised with the Huber function is compared against those optimised with Least Squares. Comparison is in respect to pricing European call options on the S&P 500 using daily data for the period April 1998 to August 2001.
We combine parametric models and feedforward artificial neural networks to price and trade European S&P500 Index options. Artificial neural networks are optimised on a hybrid target function consisted by the standardised residual term between the actual market price and the option estimate of a certain parametric model.
In this paper we compare the predictive ability of the Black-Scholes Formula (BSF) and Artificial Neural Networks (ANNs) to price call options by exploiting historical volatility measures.
