This paper examines how the largest stock market of the world, the U.S., and particularly the S&P500 index, reacted during the COVID-19 outbreak (02.01.2020-30.04.2020). Using simple financial and corporate analysis (adopting Constant Growth Model) procedures for our theoretical framework, we...

In this paper, we examine how value at risk (VaR) contributes to the financial market's stability. We apply the Guidelines on Risk Measurement and the Calculation of Global Exposure and Counterparty Risk for UCITS of the Committee of European Securities Regulators (CESR 2010) to the main indices...

Even though econometric and technological advances have contributed to the vast risk modelling literature, practitioners in most cases use the simplest and most conventional approaches in order to avoid algorithmic complexity and increased costs. In this study we present a new approach which...

The purpose of this paper is to suggest a new approach that improves the conventional Historical Value-at-Risk (HVaR) estimations' accuracy and can be easily applied by anyone. The main assumption for the newly suggested method is “the more representative to the financial conditions the data...

This study's main objective is to examine the turn of the month (TOM) effect under changing financial trends. For this reason we need to focus on a stock market which (i) does not present significant structural changes, and (ii) presents clear and long term periods of financial growth and...

The main objective of this study is to examine if the long term financial trends influence not only a stock market's returns, but also the day of the week pattern (DOW). In order to examine the specific issue we try to find a financial market which: (i) presents clear and long-term financial...

The purpose of this paper is to examine in detail the Turn of the Month (TOM) effect and to offer a detailed explanation for the controversial empirical findings that have been documented in the literature. Using data from the USA stock market, the results suggest that returns during the TOM...

This article examines the recent short squeeze of the GameStop (GME) stock in early 2021. This event, although not the only case of short squeeze, has some idiosyncratic features that makes it extremely interesting, mainly because it was organized by non-institutional investors through social...