Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance
Πρόσφατες υποβολές
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Working Paper Open Access
Risk management optimization for sovereign debt restructuring
(Journal of Globalization and Development, Vol. 6(2), pp. 181–213, Feb. 2016.; The Wharton School Financial Institutions Centre No. 14-10., 2015-12)Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario ...
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Working Paper Open Access
A Political Capital Asset Pricing Model
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2019-03)We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...
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Conference Object
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Conference Object
Underwriter Error and IPO Long-run Performance
(European Accounting Association, 2019)
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Conference Object
Why do firms disclose their analyst following on their corporate websites?
(European Accounting Association, 2019)
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Conference Object
The analyst report's forecast horizon and bias
(European Accounting Association, 2019)
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Article
The cross-section of expected stock returns in the property/liability insurance industry
(2018)We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor ...
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Conference Object
An empirical analysis of analyst’s short run stock tips
(European Accounting Association, 2018)
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Article
Greek Sovereign Debt: Addressing Economic Distress and Growth in the Euro Area
(2018)This article addresses certain key issues of the Greek sovereign debt crisis and its broader economic distress and growth implications for the Euro Area. It also offers a number of remedies, including growth indexed bonds, ...
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Conference Object
Ex ante measure for recognizing bias in analyst recommendations,
(European Accounting Association, 2018)
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Article
Actuarial Independence and Managerial Discretion
(2018)Appointed actuaries are responsible for estimating the largest liability on property–casualty insurance companies’ balance sheet. Actuarial independence is crucial in safeguarding accurate estimates, where this independence ...
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Conference Object
Analysts' recommendation credibility: What can target prices tell us
(European Accounting Association, 2019)
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Article
Pricing and hedging GDP-linked bonds in incomplete markets
(2018)We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model we obtain a hedging ...
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Article
Contingent Convertible Bonds for Sovereign Debt Risk Management
(2018)We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign’s credit worthiness breaching a distress threshold. This financial innovation limits ex ante ...
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Article
Real Options in Operations Research: A Review
(2018)The Real Options approach to decision-making has been useful in capturing and valuing the flexibility inherent in many operating decisions that decision makers are faced with. In Operations Research (OR), a field that ...
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Article
Real options theory in international business
(2019)Abstract The last quarter century has witnessed substantial growth in applications of real options theory (ROT) to international business (IB) research. In this review, we explicate the core ROT concepts in the IB context ...
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Article
Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility
(2019)We provide new evidence on the economic role of growth options behind the profitability, distress, lotteryness, and volatility anomalies. We use idiosyncratic skewness to measure growth options and estimate expected ...
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Article
Flexibility as firm value driver: Evidence from offshore outsourcing
(2018)Research Summary This article tests real options theory predictions that uncertainty and flexibility are key value drivers for offshore outsourcing moderated by switching costs. Examining firm-specific and market data for ...
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Article
Option implied ambiguity and its information content: Evidence from the subprime crisis
(2018)This paper studies option investors’ tendency to deviate from risk-neutrality around extreme financial events. We incorporate ambiguity into Black–Scholes theory and analyze the lead–lag association between option and stock ...
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Article
Portfolio diversification in the sovereign credit swap markets
(2018)We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...