This study uses a novel approach for capturing time variation in betas whose pattern is treated as a function of market returns. A two-factor model (TFM) is constructed using estimated coefficients of a nonlinear regression. The model is tested against the CAPM and the Fama and French...

Purpose – This study aims to investigate the existence of herding in the Athens Stock Exchange over the 1995-2010 period and examine its effects on market volatility. Design/methodology/approach -Herding is examined over portfolios formed on beta and size of the selected stocks. The detection...

Purpose – The purpose of this paper is to examine the predictive ability of different well-known models for capturing time variation in betas against a novel approach where the beta coefficient is treated as a function of market return. Design/methodology/approach – Different GARCH models,...

Purpose: Social change and modernization theories postulate that as countries grow they gradually move toward a condition of similarity in various spheres exhibiting similar economic and social traits. The purpose of this paper is to investigate whether a process of convergence in terms of...

Greece has over the years faced serious security challenges from domestic as well as transnational terrorist activity. This paper examines empirically the effectiveness of counter-terrorism policy and particularly it focuses on current and investment expenditure on domestic security and public...