Using the event study methodology introduced by Brown and Warner (1985) for six Greek industrial and construction firms, we attempt to measure the abnormal returns on stock prices on the day of the acquisition announcement. Estimation period and event period in our market model is -211 -11 -10,...

Employing an augmented univariate EGARCH model, we estimate the dynamic impact of information arrival as measured by volume on asymmetric news in the pre and post 2009 global financial crisis in the Athens Stock Exchange (ASE). Our results reveal that trading volume appears to capture a...

Purpose –This paper develops the approach suggested by Howe et al. to examine the impact of cross-listings on stock price volatility in Europe. Design/methodology/approach - A modified generalized autoregressive conditional hetero-skedasticity (GARCH) modeling approach as suggested by Li and...

This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an...

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...