Συνεδρία 1: Θέματα Αποτίμησης I (Issues in Asset Valuation I)

Transcript

1 Συνεδρία 1: Θέματα Αποτίμησης I (Issues in Asset Valuation I) Spyros Pagratis, Bank of England and London School of Economics (FMG) Optimal Liquidity Policy and the Insurance Aspect of Lender of Last Resort Emergency liquidity assistance to banking institutions is usually discussed in isolation from banking regulation. Instead, theoretical literature has focused on moral hazard due to safety nets and on the information structure between banks and the lender of last resort. This paper considers regulation of a bank s liquid reserves in conjunction with emergency liquidity assistance by the central bank, offering an insurance-based rationale for liquidity regulation. We provide a necessary and sufficient condition for liquidity regulation to be warranted from a welfare perspective, arguing that the higher the extent of financial liberalisation, the more likely it is for liquidity regulation to have positive welfare implications. JEL Classification: E5, G21 Keywords: Lender of last resort, bank runs, liquidity policy, asymmetric information. I am grateful to Charles Goodhart, Jean-Charles Rochet and Hyun Shin for valuable discussions. I would also like to thank Oriol Aspachs, Erlend Nier, Tanju Yorulmazer, as well as participants at the FMG doctoral seminar for helpful comments and suggestions. Any opinions expressed are not necessarily endorsed by the London School of Economics or the Financial Markets Group. Any errors also remain my responsibility. Ilias Lekkos_, Structured Finance Analytics, Standard & Poor s Modelling Multiple Term Structures of Defaultable Bonds with Common and Idiosyncratic State Variables

2 In this paper we develop a multi-factor reduced-form model that consistently models multiple term structures of corporate bond yields. The model is flexible enough to capture the correlation between the default-free term structure and all defaultable term structures included in the model. An additional source of covariation for the default intensity processes is their co-dependence on a number of observable macro-factors that reflect changes in credit conditions, both domestic and international. Finally, each credit curve also depends on a number of idiosyncratic state-variables. Two special cases of the model are estimated using US and UK corporate bond data. _I would like to thank Niki Anderson, Rob Bliss, Darrell Duffie, William Perraudin, Costas Milas, Nikos Panigirtzoglou, Jeremy Leake and participants at the FS seminar series at Bank of England for helpful comments and suggestions, George Kapetanios for helpful discussions on dynamic factor models and for providing me his computer code for the relevant estimations and Jing Liang for able research assistance. This research was completed while the author was with the Bank of England. The views in this paper are those of the author and do not represent those of the Bank of England or S&P. All remaining errors are my own. Andreas Charitou, Neophitos Lambertides, and Lenos Trigeorgis University of Cyprus., Dept of Business Administration Is the Impact of Default Risk on Stock Returns Systematic? An Option-Pricing Explanation This study provides an option theory explanation for the relation between default risk and average stock returns, shedding light on the question of whether default risk is systematic. Unlike previous studies which rely mainly on accounting variables, our measure and explanation for default risk are based on option theory. We show that default option variables are significantly related to average stock returns, beyond the Fama and French (1992, 1993) risk factors. A negative relation between default risk and stock returns can be explained by the option value held by shareholders of levered firms to default. The interaction of default risk with firm size and value-growth variables (e.g., book-to-market) sheds light on whether default risk may lead to a

3 systematic distress risk premium or a default option discount, helping illuminate the size-value anomalies. Keywords: default risk, option pricing theory, Merton s (1974) model, stock returns, Value-size anomalies JEL classifications: G12, G13, G14, G33 We are grateful for helpful comments and suggestions from G. Constantinides, N. Vafeas, Irene Karamanou, the participants of the 2004 European Accounting Association conference, and the participants of the 2003 EU-Workshop Series on Mathematical Optimization Models for Financial Institutions for useful comments. We also would like to thank M. Papageorgiou for valuable research assistance. Kostas Koufopoulos, Warwick Business School, University of Warwick The Roles of Debt, Equity and Warrants Under Asymmetric Information This paper considers project financing under adverse selection and moral hazard and makes three contributions. First, the issue of combinations of debt and equity is explained as the outcome of the interaction between adverse selection and moral hazard. Second, it shows that, in the presence of moral hazard, adverse selection may result in the conversion of negative into positive NPV projects leading to an improvement in social welfare. Third, it provides two rationales for the use of warrants. It also shows that, under certain conditions, a debt-warrant combination can implement the optimal contract as a competitive equilibrium. I am indebted to Sudipto Bhattacharya and David de Meza for encouragement, extensive discussions and insightful comments. I would also like to thank Margaret Bray, Michael Brennan, George Constantinides, Antoine Faure-Grimaud, Leo Ferraris, Michele Piccione, Jean-Charles Rochet and David Webb as well as seminar participants at AUEB, University of Amsterdam, University of Athens, University of Crete, University of Cyprus, LSE, University of Pireaus, University of Southampton, Tilburg University, University of York, University of Warwick and WBS for helpful comments.

4 Συνεδρία 2: Αγορές Μετοχών I (Equity Markets I) Ian Davidson, Loughborough University Business School, Loughborough, University, England, UK George Leledakis, Department of Accounting and Finance, Athens University of Economics and Business, Greece John Okunev, University of New South Wales, Australia Tobin s q and the Cross Sectional Variation of Stock Returns: Evidence from the London Stock Exchange The objective of this paper is to explore, using UK stock price data, the influence of Tobin s q ratio on the cross-sectional variation of average stock returns. In contrast to Fama and French s (1992) US study, we found that for the London Stock Exchange b on its own was a significant explanator of cross-sectional returns differences of expected returns at the individual stock level. However, when Tobin s q, b, market value of equity and book to market equity were used as explanatory variables, we found only Tobin s q and market value of equity were significant, and of these two, Tobin s q had the higher explanatory power. This suggests that Tobin s q has a particular important role as an indicator of future market performance, with stocks that exhibit a smaller Tobin s q yielding a higher average return subsequently. We explain this effect on the basis of the risk proxy effects of Tobin s q and link it with Hecht s (2000) view on firm wide as opposed to equity only effects. Key words: stock returns, stock market anomalies, Tobin s q JEL classification: G12, G31 We would like to thank Gary Xu and Dongcheol Kim for providing us with some Gauss and Fortran algorithms used in this study. We would also like to thank Jack Broyles, Stewart Hodges, Graham

5 Sadler, Jeremy Smith, Piet Sercu and Günter Franke for helpful discussions, comments and suggestions on an earlier formative draft. George Leledakis acknowledges financial support from the National Scholarships Foundation of Greece. We alone are responsible for all remaining errors. JERRY COAKLEY and PERIKLIS KOUGOULIS, Department of Accounting, Finance and Management and Essex Finance Centre, University of Essex Comovement and FTSE 100 Index Changes_ We employ the Barberis, Shleifer and Wurgler (2004) methodology to investigate the impact of changes to the FTSE 100 index on return comovement over the period. For FTSE stock inclusions the average increase in the beta coe cient is 0.38 in univariate regressions for weekly returns and 0.60 in bivariate regressions that control for the return on non-ftse stocks. Stocks deleted from the index display the opposite pattern post exit. The results are robust to a number of factors including size, industry and non-trading effects. They are difficult to explain within a classical framework but complement those found for the US and Japan in supporting behavioral finance views of comovement. JEL classiffication: G11, G12, G14 Keywords: Behavioral finance; trading-based comovement, index funds. _We are grateful to Nick Barberis, Ana-Maria Fuertes, Eric Girardin, Terry Mills, Giorgio Valente, participants at the Anglo-French Macroeconomics and Finance Workshop, University College Oxford, April 2004 and at seminars at the Universities of Essex and Loughborough for helpful comments. Kougoulis is grateful for.nancial support provided by the Greek State Scholarship Foundation (IKY). Spyros Spyrou, Department of Accounting and Finance, Athens University of Economics and Business, Greece Konstantinos Kassimatis, Department of Business Administration,Athens University of Economics and Business, Greece Emilios Galariotis, Durham Business School, University of Durham, UK

6 Short-term Overreaction, Underreaction and Efficient Reaction: Evidence from the London Stock Exchange We examine short-term investor reaction to extreme events in the UK equity market for the period 1989 to 2004 and find that the market reaction to shocks for large capitalization stock portfolios is consistent with the Efficient Market Hypothesis, i.e., all information appears to be incorporated in prices on the same day. However, for medium and small capitalization stock portfolios our results indicate significant underreaction to both positive and negative shocks for many days subsequent to a shock. Furthermore, the underreaction is not explained by risk factors (e.g. Fama French 1996), calendar effects, bid-ask biases, or unique global financial crises. JEL Classification: G1, G14 Keywords: Overreaction, Underreaction, Index trading, Efficient Markets Chris Brooks and Apostolos Katsaris, ISMA Centre, University of Reading. Contact: Apostolos Katsaris, ISMA Centre, University of Reading Whiteknights A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of the S&P 500 Composite Index* In this paper we examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500 Composite Index for the period We extend existing two-regime models of speculative behaviour by including a third regime that allows for a bubble to grow at a steady growth rate, and examine whether other variables, beyond the deviation of actual prices from fundamental values, can help predict the level and the generating state of returns. We propose abnormal volume as an indicator of the probable time of the bubble collapse and thus include abnormal volume in the state

7 and the classifying equations of the surviving regime in the explosive state. We show that abnormal volume is a significant predictor and classifier of returns. Furthermore, we find that the spread of the 6- month average of actual returns above the 6-month average of fundamental returns can help predict when a bubble will enter the explosive state. Finally, we examine the financial usefulness of the three-regime model by studying the Sharpe ratios of profits of a trading rule formed using inferences from it. Use of the three-regime model trading rule leads to higher Sharpe ratios and end of period wealth than those obtained from employing existing models or a buy and hold strategy. Keywords: speculative behaviour models, fundamental values, dividends, regime switching, speculative bubble tests, trading rules. JEL Classifications: C51, C53, G12 * We are grateful to three anonymous referees for extensive comments on a previous version of this paper. We are also grateful to Phillip Xu, Ryan Davies, David Oakes, Menelaos Karanasos, Karim Abadir and seminar participants at the Department of Economics and Related Studies at the University of York in May 2003 for useful comments and suggestions. We are responsible for any remaining errors. Συνεδρία 3: Ελληνική Κεφαλαιαγορά (Greek Capital Market) Γρηγόρης Μιχαηλίδης, Υποψήφιος Διδάκτωρ Παν. Μακεδονίας, Τμήμα Εφ. Πληροφορικής, Σταύρος Τσόπογλου, Δημήτριος Παπαναστασίου, Ελένη Μαρίολα. Έλεγχος του Υποδείγματος Αποτίμησης Περιουσιακών Στοιχείων (CAPM): Η περίπτωση της ελληνικής κεφαλαιαγοράς ΠΕΡΙΛΗΨΗ Το άρθρο εξετάζει το υπόδειγμα αποτίμησης περιουσιακών στοιχείων για το ελληνικό χρηματιστήριο χρησιμοποιώντας εβδομαδιαίες αποδόσεις μετοχών 100 επιχειρήσεων οι οποίες ήταν εισηγμένες στο ελληνικό χρηματιστήριο και διαπραγματευόταν την περίοδο μεταξύ Ιανουαρίου 1998 μέχρι και τον Δεκέμβριο του Προκειμένου να απαλειφθεί η μεταβλητότητα, δηλαδή η επιρροή των

8 αποτελεσμάτων των αποδόσεων των αξιογράφων από στοιχεία που σχετίζονται με χαρακτηριστικά των εταιρειών (μη συστηματικός κίνδυνος) οδηγώντας έτσι σε πιο ακριβή αποτελέσματα των εκτιμημένων βήτα, οι μετοχές συνδυάστηκαν σε χαρτοφυλάκια. Τα ευρήματα της μελέτης δεν συνηγορούν με την βασική υπόθεση του υποδείγματος ότι ο υψηλότερος κίνδυνος, (βήτα των μετοχών) συνδέεται και με υψηλότερα επίπεδα αποδόσεων. Το μοντέλο, παρόλα αυτά, εξηγεί τις υπερβάλλουσες αποδόσεις των μετοχών υποστηρίζοντας την γραμμικότητα της εξίσωσης του υποδείγματος αποτίμησης περιουσιακών στοιχείων. Η πρόβλεψη του μοντέλου για τον σταθερό όρο (άλφα) της εξίσωσης είναι ότι πρέπει να έχει αξία ίση με το μηδέν και η κλίση της εξίσωσης να είναι ίση με την υπερβάλλουσα απόδοση σε σχέση με το χαρτοφυλάκιο της αγοράς. Τα αποτελέσματα της μελέτης αντικρούουν την παραπάνω υπόθεση και προσφέρουν στοιχεία ενάντια στην ισχύ του υποδείγματος. Οι έλεγχοι που διενεργήθηκαν για να εξεταστεί η μη γραμμικότητα της σχέσης μεταξύ της απόδοσης των μετοχών και των αντίστοιχων συντελεστών βήτα, υποστηρίζουν τελικά ότι η σχέση μεταξύ απόδοσης μετοχής και βήτα είναι γραμμική. Επιπλέον, το άρθρο εξετάζει εάν το υπόδειγμα αποτίμησης περιουσιακών στοιχείων εξηγεί επαρκώς όλους τους καθοριστικούς παράγοντες διαμόρφωσης των αποδόσεων των μετοχών, συμπεριλαμβανομένης της διακύμανσης των καταλοίπων των αξιογράφων. Τα αποτελέσματα δείχνουν ότι ο υπολειμματικός κίνδυνος δεν έχει καμία επίδραση στις προσδοκώμενες αποδόσεις των χαρτοφυλακίων των μετοχών. Οι έλεγχοι μπορεί να παρέχουν στοιχεία ενάντια στην ορθότητα και ισχύ του υποδείγματος όμως δεν συνηγορούν απαραίτητα στην υποστήριξη υπέρ οποιουδήποτε εναλλακτικού μοντέλου. (JEL G11, G12, G14, G15). Λέξεις κλειδιά: Υπόδειγμα Αποτίμησης Περιουσιακών Στοιχείων (CAPM), Χρηματιστήριο Αξιών Αθηνών, αποδόσεις χαρτοφυλακίων, συντελεστής βήτα, μετοχές. MANOLIS G. KAVUSSANOS, Department of Accounting and Finance, Athens University of Economics and Business, Athens, Greece. ILIAS D. VISVIKIS, Hellenic Open University, Department of Business Administration THE PREDICTABILITY OF NON-OVERLAPPING FORECASTS: EVIDENCE FROM THE DERIVATIVES MARKET IN GREECE

9 This paper investigates the performance of alternative univariate (ARIMA) and multivariate (VAR, VECM, and SURE-VECM) linear time-series models in generating short-term forecasts in the cash market and in the recently developed emerging derivatives market of the Athens Exchange. The forecasts from these models indicate that conditioning cash returns on lagged futures returns generates more accurate forecasts of the cash prices for all forecast horizons. However, conditioning futures returns on lagged cash returns does not enhance the forecasting accuracy of futures prices; the univariate ARIMA model produces forecasts as accurate as those from more complex time-series models. Moreover, all time-series models generate more accurate cash and futures forecasts than the forecasts obtained by the random walk model. So while the futures rate does contain some forwardlooking information, it behaves very differently from and is more predictable than futures rates in the speculatively efficient markets for currencies and mainstream commodity futures. Keywords: Cointegration; VECM Model; ARIMA Model; Forecasting; Futures Markets; Emerging Markets; Predictability. JEL Classification: G13, G14, G15 Κατερίνα Λυρούδη, Ph.D., Επίκουρος Καθηγήτρια Πανεπιστήμιο Μακεδονίας, Οικονομικών και Κοινωνικών Επιστημών, Τμήμα Λογιστικής & Χρηματοοικονομικής Δημήτρης Αγγελίδης, MA,Υπ. Διδάκτορας Πανεπιστήμιο Μακεδονίας, Οικονομικών και Κοινωνικών Επιστημών, Τμήμα Λογιστικής & Χρηματοοικονομικής Απόστολος Δασίλας, MSc,Υπ. Διδάκτορας Πανεπιστήμιο Μακεδονίας, Οικονομικών και Κοινωνικών Επιστημών, Τμήμα Λογιστικής & Χρηματοοικονομικής ΕΠΟΧΙΚΟΤΗΤΕΣ ΣΤΟ ΧΡΗΜΑΤΙΣΤΗΡΙΟ ΑΞΙΩΝ ΑΘΗΝΩΝ: ΤΟ ΦΑΙΝΟΜΕΝΟ ΤΗΣ ΗΜΕΡΑΣ ΤΗΣ ΕΒΔΟΜΑΔΑΣ ΠΕΡΙΛΗΨΗ Το φαινόμενο της ημέρας της εβδομάδας αποτελεί μια μορφή ανωμαλίας της αποτελεσματικότητας της κεφαλαιαγοράς. Σύμφωνα με το φαινόμενο αυτό, η μέση ημερήσια απόδοση της αγοράς δεν παρουσιάζεται η ίδια για όλες τις ημέρες της

10 εβδομάδας. Η παρούσα εργασία χρησιμοποιεί για πρώτη φορά στοιχεία από το Χρηματιστήριο Αξιών των Αθηνών (Χ.Α.Α.) για μία εκτεταμένη περίοδο ( ) που συμπεριλαμβάνει διάφορες φάσεις και γεγονότα της Ελληνικής οικονομίας και της χρηματιστηριακής αγοράς. Η επεξεργασία των δεδομένων για την εξαγωγή των αποτελεσμάτων γίνεται με την τεχνική ANOVA (Analysis of Variance). Τα αποτελέσματα έδειξαν πως για το σύνολο της περιόδου οι μέσες αποδόσεις της Παρασκευής ηταν στατιστικά διαφορετικές (υψηλότερες) από τις μέσες αποδόσεις των υπόλοιπων ημερών σε επίπεδο σημαντικότητας 5%. Όσο αφορά τα μεμονωμένα έτη το φαινόμενο παρουσιάζεται τις χρονιές 1986, 1991, 2000 και Ο διαχωρισμός σε θετικές και αρνητικές αποδόσεις έδειξε ότι οι αποδόσεις της Δευτέρας, της ημέρας με την υψηλότερη διακύμανση, διαφέρουν σημαντικά από τις αποδόσεις των υπόλοιπων ημερών. Ακόμη, με βάση την κατάταξη των παρατηρήσεων σε υποπεριόδους διαπιστώθηκε ότι παρόλο που το φαινόμενο διατηρείται στον χρόνο, δεν έχει σταθερή μορφή. Keywords: Market Anomalies, Day of the Week Effect, Athens Stock Exchange JEL Classification: G14 Χρήστος Π. Νούνης Ο Χρήστος Π. Νούνης είναι πιστοποιημένος χρηματοοικονομικός αναλυτής, υποψήφιος διδάκτωρ του Τμήματος Οικονομικών Επιστημών του Εθνικού και Καποδιστριακού Πανεπιστημίου Αθηνών. Είναι επίσης, απόφοιτος του Προπτυχιακού αλλά και του Μεταπτυχιακού Προγράμματος Σπουδών «Εφαρμοσμένης Οικονομικής και Χρηματοοικονομικής» του ίδιου Τμήματος. Το παρόν άρθρο αποτελεί προϊόν της ερευνητικής εργασίας που πραγματοποιεί στα πλαίσια της εκπόνησης της διδακτορικής του διατριβής. ΟΙ ΑΡΧΙΚΕΣ ΑΠΟΔΟΣΕΙΣ ΤΩΝ ΕΛΛΗΝΙΚΩΝ ΔΗΜΟΣΙΩΝ ΕΓΓΡΑΦΩΝ ΚΑΤΑ ΤΗN ΠΕΡΙΟΔΟ Περίληψη Στο παρόν άρθρο εξετάζονται οι αρχικές αποδόσεις των ελληνικών δημοσίων εγγραφών κατά τη χρονική περίοδο Συγκεκριμένα, εξετάζονται οι αποδόσεις που προσέφεραν οι νεοεισαγόμενες στο Χρηματιστήριο Αθηνών μετοχές κατά τη πρώτη ημέρα εισαγωγής και διαπραγμάτευσής τους στην χρηματιστηριακή

11 αγορά. Το αποτέλεσμα της στατιστικής επεξεργασίας έδειξε σημαντική μέση απόδοση πρώτης ημέρας της τάξεως του 27,5% την υπό εξέταση περίοδο. Το συγκεκριμένο αποτέλεσμα συνάδει με τα αντίστοιχα αποτελέσματα διεξοδικών πανεπιστημιακών ερευνών που έχουν πραγματοποιηθεί διεθνώς για τη μελέτη του φαινομένου της υποτιμολόγησης των δημοσίων εγγραφών. Οι αποδόσεις των δημοσίων εγγραφών που έχουν καταγραφεί σε διάφορες κεφαλαιαγορές ανά τον κόσμο καθώς και αυτές της ελληνικής πρωτογενούς αγοράς κεφαλαίου παρουσιάζονται στο παρόν άρθρο. Συνεδρία 4: Αγορές Μετοχών II (Equity Markets II) Maria Vassalou, Columbia University Associate Professor of Finance, Graduate School of Business, New York Kodjo Apedjinou, Columbia University, PhD Candidate, Graduate School of Business Corporate Innovation as an Explanation for Price Momentum in Equity Returns This paper provides an at least partial rational explanation for the performance of price momentum strategies, using the concept of corporate innovation. We define corporate innovation as the proportion of a firm s change in gross profit margin not explained by the change in the capital and labor it utilizes. We show that an aggregate measure of corporate innovation is priced in the cross-section of equity returns, and eliminates the priced information in the momentum factor. This measure is similar in nature to total factor productivity (TFP), which is a well-known state variable in dynamic equilibrium business cycle models. In addition, a returns-based corporate innovation factor helps explain the returns on momentum deciles, as well as the abnormal return (alpha) of the momentum spread ( winners minus losers ). Our analysis shows that winners are the firms among momentum portfolios with the highest level of corporate innovation. Similarly, losers are the firms with the lowest (in fact, negative) level of corporate innovation among momentum portfolios.

12 Corporate innovation-based strategies exhibit very similar characteristics and performance to those of price momentum strategies. Regression results show that returns on corporate innovation-based strategies explain a substantial proportion of the time-series variation in price momentum strategies. This proportion is much higher than those previously reported in the literature from analogous tests. Furthermore, the economic explanation for the performance of price momentum we provide is also consistent with long horizon return reversals and the performance of long-horizon contrarian strategies. Keywords: Corporate innovation, price momentum, reversals, risk. JEL classification: G12, G14. Equity Returns and Idiosyncratic Volatility: UK Evidence Version 2: October 2004 Timotheos Angelidis, Department of Banking and Financial Management, University of Piraeus and Athens Laboratory of Business Administration, Greece Nikolaos Tessaromatis, Athens Laboratory of Business Administration, Greece The proposition that idiosyncratic volatility may matter in asset pricing is currently a topic of research and controversy. Using data from the UK market we examine the predictive ability of various measures of idiosyncratic risk and provide evidence which suggests that: (a) it is the idiosyncratic volatility of small capitalization stocks that matters for asset pricing and (b) that small stocks idiosyncratic volatility predicts the small capitalization premium component of market returns and is unrelated to either pure market risk or the value premium. The predictive power of the aggregate idiosyncratic volatility of small stocks remains intact even after we control for the possible proxying effects of business cycle fluctuations and liquidity and is robust across time and different econometric specifications. Keywords: Idiosyncratic Risk, Stock Market Volatility and Stock Return Predictability

13 JEL: G10, G11, C13 Sophia E. Stavraki, University of Athens, Department of Economic Sciences George D. Dimitropoulos, University of Crete, Physics Department George C. Neofotistos, University of Crete, Physics Department COMPARATIVE ASYMPTOTIC ANALYSIS OF POWER LAW EXPONENTS IN THE PROBABILITY DISTRIBUTION FUNCTIONS OF STOCK MARKET INDICES We study the asymptotic (tail) distribution of the daily returns of the FTSE/ASE 20, ASE, S&P 500 and CAC 40 stock market indices for the time-period Our results indicate that the daily returns in the asymptotic (tail) region show the same asymptotic behavior, characterized by a power law exponent a ~3. Furthermore, we analyze the daily returns of 7 European stock market indices for the time-period spanning Again, we find that the daily returns in the tail region are characterized by the same power law behavior, characterized by exponents ~3. Συνεδρία 5: Εταιρική Διακυβέρνηση και Πολική (Corporate Governance and Policy) Xanthakis Manolis, University of Athens, Dept. of Economics Tsipouri Lena, University of Athens, Dept. of Economics Spanos Loukas, University of Athens, Dept. of Economics The construction of a corporate governance rating system for a small open capital market: Methodology and applications in the Greek market The need of institutional investors to evaluate the corporate governance (CG) practices of the listed companies resulted in many attempts to construct CG rating

14 methodologies. This paper, in response to this situation, presents an attemp to quantify the compliance of large capitalisation Greek companies with international best practices. The methodology consisted in the creation of a questionnaire reflecting the Greek CG code, which basically replicate the OECD Principles. Other, wellregarded CG codes were taken into account. Then, we contructed a rating system based on CG indicators and we applied it for the years 2001 and The total rating results for the years 2001 and 2003 demonstrated a relatively satisfactory improvement. The highest compliance is in the category of shareholder rights, while weak compliance appears in the last category, which incorporates committment to CG, CSR and the relations with shareholders. The exercise, using practically all agreed principles of the OECD, could demonstrate a reasonable degree of compliance of the average company rated. Its limitation in that respect is that it could not satisfy investigations on convergence. The indicators used were highly pertinent to measure compliance, but not convergence, which was not within the initial targets and would need a longer time series analysis. Our methodology applies in a small open economy and may have significant implications in other similar capital markets. Methodologically, the merit of the exercise lies in its approach toward the creation of "collectively subjective" weightings, and is valuable to institutional investors, policymakers, regulators and academics. Keywords: corporate governance; rating; Greece Annita Florou, University of Macedonia, Department of Accounting and Finance, Thessaloniki The author would like to thank Martin Conyon, Mike Devereux, Graham Sadler and Laura Read for their invaluable support and guidance. The author appreciates the helpful comments of Philip Brown, Ian Davidson, Ken Peasnell, Simon Peck, Peter Pope, Shiva Shivakumar and seminar participants at Lancaster University and INSEAD. A special thanks also to Andrew Stark, Steven Young and an anonymous referee for their insightful suggestions. Annita Florou gratefully acknowledges financial support from the Economic and Social Research Council (Award number R ) and PriceWaterhouseCoopers. Top Director Shake-Up: The Link between Chairman and CEO Dismissal in the UK

15 . Most UK companies separate the roles of CEO and Chairman. The former runs the company and the latter runs the board. Using turnover data on 2,180 separate Chairmanships of the top 460 UK firms over the period, I find that the Chairman is more likely to be replaced when the CEO is dismissed. Detailed data on the dismissal events suggests that Chairman replacement is associated with board restructuring. This may be necessary to bring in different skills and experience which, in turn, might facilitate changes in future corporate decisions. Moreover, I find that the Chairman's previous position, or the type of Chairmanship, does not affect the association between Chairman removal and CEO dismissal. But, the increase in the dismissal likelihood of the Chairman at the time of forced CEO departure is higher when she is involved in the appointment of the failing CEO. This, in turn, can be interpreted as an indication of effective governance. (JEL G34, G39, M10, M40) Keywords: Director Turnover, Corporate Restructuring, Firm Performance Costas Siriopoulos, Associate Professor -University of Patras- Department of Business Administration, University Campus Rio, Patras, Greece Antonios Georgopoulos, Assistant Professor- University of Patras- Department of Business Administration University Campus Rio, Patras, Greece Evangelos Koumanakos, National Bank of Greece, Credit Division Earnings Doping : Is it detectable? This study examines whether auditor reporting in Greece is associated with different levels of discretionary accruals - our proxy for earnings management. Based on this analysis we provide additional evidence on the controversial issue of what factors drive the auditors opinion and accruals relation. We focus our research on 91 cases of quoted companies on the Athens Stock Exchange (ASE). These are the listed companies that were asked in year 2003 by the Athens Stock Exchange Board to quantify the effects of the qualifications made by their external auditors and post them

16 in the ASE website. Those auditors reports were referred to published financial statements of year That was in an effort to enable current and potential investors to form a clear view about the financial position of those firms. Investigation of earnings management in Greece is an issue of great importance following the results presented by two recent international studies - the only two among others which include Greece in their sample - since both studies conclude that earnings management is more pronounced in Greece than in other countries. The results of our study indicate that several major Greek, financially distressed, companies do appear to manipulate their reported earnings by exploiting the weaknesses of the Greek GAAP. *Any views or opinions presented are solely those of the authors and do not necessarily represent those of National Bank of Greece Group. Dimitrios Vasiliou, Professor of Bank Management, Hellenic Open University, Greece Nikolaos Eriotis, Ass. Professor of Accounting, National and Kapodistrian University of Athens Evangelos I. Poutos, PhD Candidate, Hellenic Open University, Patra, Greece Investigating the Dividend Policy of Greek Firms: Some Preliminary Evidence The purpose of this study is to investigate the dividend policy of the Greek firms listed on the Athens Exchange. We analyse the current dividend policy of the firms by focusing in three main points: the portion of the net earnings that they distributed last year as dividend, their target long run payout policy and their short run payout policy. Our investigation is based on the answers of the firms in a questionnaire. Our results provide us with evidence that Greek firms prefer to pay low dividend to their shareholders (72 percent of the respondent companies have dividend payout ratio less than 40 percent). Additionally, 43 percent of the respondent firms have long run target dividend payout ratios that mostly depend on their financ ing needs; finally, we find

17 that among different short run dividend policies, 33.1 percent of the respondent firms prefer to distribute a constant portion of their earnings. We also find that firms believe that their dividend policies affect their share price as a result of the risk factor and other parameters. JEL classification: G3, G35 Keywords: Corporate Finance, Dividends, Greek Firms Συνεδρία 6: Θέματα Λογιστικής Ι (Accounting Issues I) Dimitrios Gounopoulos, School of Management University of Surrey, Guildford, Surrey, United Kingdom I am grateful to Vic Edwards, Yilmaz Guney, Khalifa Mazouz and Brahim Saadouni and seminar participants at Imperial College of Science, Medicine and Technology, University of Reading and The University of Manchester, the 2003 EFA Meetings in Glasgow, the 2004 GFA meetings in Las Vegas and 2004 MFS meetings in Istanbul Accuracy of Management Earnings Forecasts in IPO Prospectuses Evidence from Athens Stock Exchange Companies going public in Greece include a forecast of next year s profits in their prospectuses. Potential investors, consider seriously this information to drive their future decisions. Accuracy of management forecast profits becomes crucial because it is a credible signal for short and mainly long-term performance of stocks. This study examines the accuracy of management profits forecasts in the prospectuses of newly listed companies on the Athens Stock Exchange. We recruit four different forecast error metrics: forecast error, absolute forecast error, squared forecast error and superiority of management forecast. The results derived show low level of accuracy in Greek market. The interesting feature in this paper is the mandatory status of Greek market for the disclosure of earnings forecasts in the prospectuses. The motivation empowers from the paucity of evidences in earnings forecasts accuracy in emerging markets. We use a unique data set of 208 IPOs, which were floated during January 1994 to December of 2001 in the Athens Stock Exchange. In order to test companies specific characteristics, we conduct a multivariate regression analysis. We apply a

18 cross sectional regression model to explain variations in accuracies though it has very weak significant power. Our results suggest that investors are able to anticipate forecast errors at the time of listings. Investigation on independent variables, influencing the forecast accuracy show that three factors named size of the IPOs (Size), ownership by insiders (Own) and total amount given by the firm to go public (Cost) are significant determinants. (JEL C21, E4, G18, G32) Keywords: Earnings Forecasts Accuracy (EFA), Absolute Forecasts Error (AFE), Superiority of Management Forecast (SUP), Initial Public Offerings (IPO), Athens Stock Exchange (ASE) Sandra Cohen, Department of Accounting and Finance, Athens University of Economics & Business Afroditi Papadak, Department of Accounting and Finance, Athens University of Economics & Business Georgia Siougle, Department of Accounting and Finance, Athens University of Economics & Business SEOs in a Hot Market : Evidence of timing This study analyzes the financing decision of raising equity through a rights issue in a developing market during a particular emerging period. Specifically, this study examines the information content of accounting items derived from published financial statements the year prior the hot period in explaining post issue stock performance. We used data from the Athens Stock Exchange during the hot period of 1999 when stock prices burst and an unusual large number of SEOs took place. Our empirical results do not verify a statistically significant relationship between discretionary accruals in the year preceding the issue post issue returns. This finding is in line with the market timing hypothesis which claims that managers just time their equity issues in up-wards moving market in order to increase the offering proceeds. Keywords: Athens Stock Exchange, Seasoned Equity Offerings, Earnings

19 Management, Hot Market, Market Timing Δρ Δημήτρης Φωλίνας, Επιστημονικός Συνεργάτης Τμήματος Εφαρμοσμένης Πληροφορικής Πανεπιστημίου Μακεδονίας, Οικονομικών και Κοινωνικών Επιστημών, Θεσσαλονίκη Ιωάννα Θεοχαροπούλου, BA, MBA, Διευθύντρια Οικονομικού Τμήματος, Automation System Hellas Ltd, Θεσσαλονίκη Πρότυπο XBRL: το νέο μοντέλο διαχείρισης του κύκλου ανάπτυξης χρηματοοικονομικών αναφορών στην Ελλάδα; Περίληψη Η απαίτηση των Ελλήνων επενδυτών και άλλων χρηματοοικονομικών στελεχών για ολοκληρωμένη, επικαιροποιημένη και σε πραγματικό χρόνο πληροφορία έχει αυξηθεί τα τελευταία χρόνια λόγω της παγκοσμιοποίησης της αγοράς, της επικείμενης εφαρμογής των Διεθνών Λογιστικών Προτύπων και της ολοένα αυξανόμενης χρήσης των νέων τεχνολογιών της Πληροφορικής και των Τηλεπικοινωνιών και ιδιαίτερα του Διαδικτύου από τους τελικούς χρήστες. Σήμερα περισσότερο από ποτέ διαφαίνεται η ανάγκη κοινού μοντέλου οργάνωσης των χρηματοοικονομικών αναφορών, η παροχή κατάλληλων εργαλείων για άμεση πρόσβαση και επεξεργασία των δεδομένων και η υιοθέτηση νέων καναλιών παρουσίασης και διανομής της πληροφορίας όπως το Διαδίκτυο. Για την αντιμετώπιση των σημερινών αυξημένων απαιτήσεων οι ελληνικές επιχειρήσεις και οργανισμοί χρησιμοποιούν έναν αριθμό μεθοδολογιών και τεχνολογιών για τη διαχείριση των χρηματοοικονομικών τους δεδομένων και αναφορών. Τα μειονεκτήματα των προσεγγίσεων αυτών οδήγησαν στην αναζήτηση νέων, αποτελεσματικότερων και αποδοτικότερων προτύπων μοντελοποίησης και διανομής των πληροφοριών βασισμένων σε καινοτόμες πρακτικές και τεχνολογίες του Διαδικτύου. Ένα από τα σημαντικότερα πρότυπα είναι και το ανοικτό και διεθνές πρότυπο extensible Business Reporting Language (XBRL) το οποίο έχει εφαρμοσθεί με επιτυχία σε ορισμένες χώρες και αποτελεί τα τελευταία χρόνια αντικείμενο έρευνας τόσο σε ακαδημαϊκό όσο και σε επιχειρηματικό επίπεδο.

20 Ο σκοπός της εργασίας είναι διττός, αφενός η πρόταση υιοθέτησης του προτύπου XBRL από τις ελληνικές επιχειρήσεις -ιδιαίτερα μάλιστα από το 2005, έτος εφαρμογής των Διεθνών Λογιστικών Προτύπων- για την οργάνωση, προετοιμασία, κατασκευή, παρουσίαση και διανομή των χρηματοοικονομικών πληροφοριών και αφετέρου η παρουσίαση ενός πλαισίου διαχείρισης του κύκλου δημιουργίας των αναφορών. Στόχος του πρότυπου XBRL είναι η ολοκλήρωση των χρηματοοικονομικών πληροφοριών ενώ το προτεινόμενο πλαίσιο, εκτιμάται ότι μπορεί να λειτουργήσει ως οδηγός εφαρμογής του ανωτέρω πρότυπου στην Ελλάδα, για την αυτοματοποίηση του εξεταζόμενου κύκλου. Τελικός στόχος είναι η βελτιστοποίηση της διαδικασίας λήψης αποφάσεων οι οποίες θα βασίζονται σε ολοκληρωμένα και επικαιροποιημένα δεδομένα. Ap. Apostolou, Assistant Professor, Department of Maritime Studies, University Of Piraeus ACCOUNTING FOR GREENHOUSE GAS EMISSION RIGHTS TRADING WITHIN THE EUROPEAN COMMUNITY In compliance with the European Directive n 87/2003(July 2003) on Greenhouse Gas Emissions Trading Rights within the European Community, all the Member States shall prepare, before January 1 st, 2005, a National Programme of Gas Emissions Trading Rights allocation in specific industries of their countries. The system Of Gas Emissions Trading Rights, is obligatory under the Kyoto Protocol to the United Nations Framework Convention on Climate Change, and helps the Community and its Member States in fulfilling their emission reduction targets in a cost-effective way. An initial three-year period is foreseen. The rights, which have a unique price in all European Community, and would be transferred from country to country, are marketable. In the end of the year, companies of which the allocated rights, are fewer than their realized emissions, are obliged to buy equivalent quantities of emissions per ton of equivalent CO 2, from other companies, or to pay penalty accordingly to the directive. In the contrary, companies, which have installing more friendly environmental technologies, may have fewer realized emissions than their