Session 1: Fund Performance and Performance Measurement

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1 Session 1: Fund Performance and Performance Measurement Dikaios Tserkezos, Department of Economics,University of Crete Eleni Thanou, Graduate Program on Banking Hellenic Open University Non linear diachronic effects between stock returns and mutual fund flows: Additional empirical evidence from the Athens Stocks Exchange. This short paper examines the nonlinear interaction between mutual fund flows and stock returns in Greece. We investigate the possibility of a nonlinear causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from linear and nonlinear causality tests indicate that there is indeed a bidirectional nonlinear causality between mutual fund flows and stock returns. We also detect a unidirectional causality from the Dow Jones Index to the domestic stock price index and the domestic mutual fund flows. Keywords: Mutual fund flows; Stock returns; Linear and Nonlinear Granger Causality. JEL classification: G14 Vassilios Babalos, Department of Banking and Financial Management, University of Piraeus, Greece Alexandros Kostakis, Department of Economics and Related Studies, University of York, UK Nikolaos Philippas, Department of Banking and Financial Management, University of Piraeus, Greece Testing for mutual funds performance persistence to resolve the ex post verification problem: Evidence from a small European market The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the 1

2 performance persistence hypothesis of domestic equity funds in Greece, during the period Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appropriate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international financial system are suggested to be the reasons for the absence of performance persistence. Keywords: Mutual funds, Performance persistence, Market efficiency, Emerging markets JEL classification: G14, G15, G21, G23 Nikolaos T. Milonas, University of Athens, Greece Gerasimos G. Rompotis, Assistant Auditor, KPMG Investigating European ETFs: The Case of the Swiss Exchange Traded Funds In this paper we study the performance and the trading characteristics of a sample of 36 Swiss Exchange Traded Funds during the period Using daily data we find that Swiss ETFs underperform their underlying indexes and encumber investors with greater risk. We also find that Swiss ETFs do not adopt full replication strategies and the magnitude of tracking error is substantial to an approximate average of 1.02%. Further investigation reveals that the tracking error is positively related to the management fees and risk of ETFs while the impact of expenses on ETFs performance is negative on ETF investor returns. Finally, in regression results we estimate that the volume of Swiss ETFs is positively affected by the intraday price volatility, the number of trades, and the trading frequency while a significant part of volume is unrelated to the above factors. 2

3 Session 2: Options and Futures George Daskalakis, Financial Engineering Research Centre, Department of Management Science & Technology, Athens University of Economics & Business Dimitris Psychoyios, Financial Engineering Research Centre, Department of Management Science & Technology, Athens University of Economics & Business Raphael N. Markellos, Senior Lecturer, Department of Management Science & Technology, Athens University of Economics & Business, Visiting Research Fellow at the Centre for Research in International Economics and Finance (CIFER), Department of Economics, Loughborough University, UK * We are grateful to Eduardo Schwartz and George Dotsis for useful comments and suggestions. George Daskalakis acknowledges financial support from PENED 2003 Research Fellowship Program financed by the General Secretariat for Research and Technology (GSRT) of the Hellenic Ministry of Development, the European Union and the Hellenic Public Power Corporation (PPC). Modeling CO2 Emission Allowance Prices and Derivatives: Evidence from the EEX The ongoing developments in the markets for CO2 emission allowances have farreaching implications for environmental policy, financial institutions and industries in a variety of sectors. This paper presents the first empirical study in this area using spot and futures prices from the European Energy Exchange in Germany. The results suggest that CO2 emission allowances spot prices demonstrate volatile random walk behavior interrupted by violent discontinuous shifts, which can be well approximated by a jumpdiffusion model. Analysis of futures contract prices at long maturities implies that market participants adopt standard no-arbitrage pricing. We discuss why this may not always be appropriate and we demonstrate the significant implications of jumps in spot prices for derivatives pricing and risk management. Keywords: CO2 Emission Allowances, Emissions Trading, Spot Price Process, Derivatives Pricing JEL Classification: C52, G13, Q50 3

4 Achilleas Zapranis, Assistant Professor, Department of Accounting and Finance, University of Macedonia, Antonis Alexandridis, PhD Candidate, Department of Accounting and Finance, University of Macedonia, Thessaloniki, Greece Wavelet Analysis and Weather Derivatives Pricing In this paper, we use wavelet analysis to localize in Paris, France, a mean-reverting Ornstein-Uhlenbeck process with seasonality in the level and volatility. Wavelet analysis is an extension of the Fourier transform, which is very well suited to the analysis of non-stationary signals. We use wavelet analysis to identify the seasonality component in the temperature process as well as in the volatility of the temperature anomalies (residuals). Our model is validated on more than 100 years of data collected from Paris, one of the European cities traded at Chicago Mercantile Exchange. We also study the effect of replacing the original AR(1) process with ARMA, ARFIMA and ARFIMA-FIGARCH models, and the impact of the temperature outliers on the normality of the temperature anomalies. Keywords: Weather Derivatives, Wavelet Analysis, Temperature Dynamic Modeling, AR, ARMA, ARFIMA, FIGARCH, CAT Options, Discrete Pricing Models. JEL Classification: C51, G13, Q54 Κουσενίδης Δημήτριος, Επίκουρος Καθηγητής. Τμήμα Οικονομικών Επιστημών, Α.Π.Θ. Σταυρόπουλος Αντώνης, Λέκτορας, Τμήμα Εφαρμοσμένης Πληροφορικής, Πανεπιστήμιο Μακεδονίας Χουρδούβελης Νικόλαος, Τμήμα Οικονομικών Επιστημών, Α.Π.Θ. Σ.Μ.Ε. ΟΓΚΟΣ ΣΥΝΑΛΛΑΓΩΝ ΚΑΙ ΑΝΟΙΚΤΑ ΣΥΜΒΟΛΑΙΑ : ΑΠΟΤΕΛΕΣΜΑΤΙΚΟΤΗΤΑ ΚΑΙ ΠΡΟΒΛΕΨΗ ΣΤΟ Χ.Π.Α. 4

5 ΠΕΡΙΛΗΨΗ Σκοπός της παρούσας μελέτης είναι αφενός ο έλεγχος της Υπόθεσης Αποτελεσματικής Αγοράς (Efficient Market Hypothesis) στο δείκτη FTSE/ATHEX20 του Χρηματιστηρίου Παραγώγων Αθηνών, και αφετέρου η σύγκριση των προβλεπτικών ικανοτήτων μεταξύ υποδειγμάτων γραμμικής παλινδρόμησης και GARCH. Ειδικότερα, ελέγχονται οι συνθήκες που επικρατούν στην αγορά για την πενταετή περίοδο Οι μεταβλητές που εξετάζονται στην παρούσα μελέτη είναι τέσσερις: η τιμή του δείκτη στην αγορά τοις μετρητοίς, η τιμή του αντίστοιχου ΣΜΕ, ο ημερήσιος όγκος συναλλαγών και το ημερήσιο ύψος ανοικτών συμβολαίων. Η μελέτη επιβεβαιώνει την ύπαρξη συνολοκλήρωσης στις σειρές των τιμών του συμβολαίου, καθώς και μονόπλευρης αιτιότητας κατά Granger. Πιο συγκεκριμένα, η προθεσμιακή αγορά προηγείται εκείνης τοις μετρητοίς, αντιδρώντας αμεσότερα στις εξελίξεις. Τα υποδείγματα πρόβλεψης των τιμών εξελίσσονται από την απλή γραμμική παλινδρόμηση, μέσω της διόρθωσης για διορθωτική αλλαγή, στο αυταπαλίνδρομο μοντέλο GARCH. Η προβλεπτική ικανότητα των απλών υποδειγμάτων αποδεικνύεται πολλή ικανοποιητική, παρά το γεγονός ότι τα πιο πολύπλοκα υποδείγματα εξηγούν καλύτερα τις σχέσεις των μεταβλητών. Αντιθέτως, η διόρθωση για διαρθρωτική αλλαγή αποδεικνύεται σημαντικότερη στη βελτίωση των προβλεπτικών επιδόσεων σε σχέση με τη διόρθωση για αυτοσυσχέτιση του μοντέλου GARCH.Τέλος, η σημαντικότητα και η συμπεριφορά των τεσσάρων μεταβλητών μεταβάλλεται διαχρονικά, υπονοώντας αλλαγές στο βαθμό αποτελεσματικότητας στην αγορά. Keywords: Index Futures, Unit Roots, Stationarity, Cointegration, Granger Causality, Linear Regression, Structural Breaks, GARCH. Classification: G13, G14 Session 3: Mergers and Acquisitions Fotios Pasiouras, School of Management, University of Bath, Bath, UK Chrysovalantis Gaganis, Financial Engineering Laboratory, Department of Production Engineering & Management, Technical University of Crete, University Campus, Chania, Greece 5

6 Constantin Zopounidis, Financial Engineering Laboratory, Department of Production Engineering & Management, Technical University of Crete, University Campus, Chania, Greece Acquisition likelihood in the Asian banking industry: the role of the regulatory and supervision framework We investigate the association between the regulatory and supervision framework and the probability of being involved in acquisitions the Asian banking industry. The sample consists of 472 commercial banks operating in 9 South and Southeastern Asian countries, a total of 2,704 yearly observations over the period We estimate a multivariate logistic regression model that accounts for three possible outcomes, being acquired, acquiring other banks, or maintaining the status quo (i.e. not-being involved in acquisitions). The results indicate that more capital requirements and more disclosure requirements increase the probability of being involved in acquisitions either as targets or acquirers. On the other hand, higher restrictions on the activities of banks and higher disciplinary power of the authorities decrease the probability of being involved in acquisitions either as targets or acquirers. The power of the deposit insurer does not appear to have an influence on the acquisition likelihood, while diversification and liquidity requirements and guidelines have a positive impact only on the probability of becoming an acquisition target. We also find that size, capital strength, efficiency in expenses management, profitability and listing on a stock exchange influence the acquisition likelihood for both acquirers and targets, while liquidity and loan are insignificant in both cases. Keywords: Acquisitions, Asia, Banks Antonios Antoniou, Krishna Paudyal, Gioia Pescetto and Dimitris Petmezas Department of Economics, Finance and Business, Durham Business School, University of Durham, Durham, U.K. What Drives Acquisitions? Market Valuations and Bidder Performance 6

7 Recent debate on the fundamental causes of merger waves has highlighted a significant correlation between merger waves and high stock market valuations. Though this correlation per se is by no means inconsistent with the neoclassical theory of mergers, it becomes particularly fascinating given the recent theoretical development documenting stock market misvaluations driven acquisitions. In order to shed light on the alternative merger theories, this paper examines market valuations and bidder performance. We focus on hot stock markets and find that bidder reactions to mergers, in both the short and long-run period, are consistent with the predictions of investors sentiment (optimism) after controlling for target type and method of payment and do not support the neoclassical theory or managers hubris hypothesis. Managers that undertake mergers during bullish periods are rewarded by the generalized upward trend of the market in the short-run. However, this is followed by long-term reversals as the market learns only gradually that many of the mergers undertaken during hot periods were not carefully evaluated and were made under the pressure of urge to merge to take advantage of the overall market status of a particular period. Our results, thus, support the theory that market misvaluations drive acquisitions. JEL Classification: G11; G14; G34. Keywords: Mergers & Acquisitions, Market Valuations, Short and Long-term wealth effects Manolis G. Kavussanos and Anna Tsounia, Athens University of Economics and Business, Greece Acknowledgements: The authors would like to thank Gulnur Muradoglou for her support during the data collection process. Merger Announcements and Insider Trading Activity: The London and Athens Stock Exchanges. This paper provides evidence of excess returns earned by investors prior to the first public announcement of planned mergers in the UK and Greek stock markets. The 7

8 study reassesses results for the LSE (London Stock Exchange) market and for the first time addresses results from the ASE (Athens Stock Exchange) market of significant abnormal returns from directors trading for a sample of merger announcement. The main finding of this paper is that merger announcements are poorly held secrets, however, results differ according to whether the firm is a target or an acquirer and on the market in which the firm is listed. In fact, there seems to be abnormal returns prior to merger announcements in the ASE, regardless of whether the firm is a target or an acquirer. The case is different in LSE, while insiders do not seem to exploit their information when in acquirer firm, they seem to do so when in target firms. JEL Classification: G14, G34 Keywords: Mergers, Market Efficiency, Insider Trading, Event Studies Session 4: Corporate Finance Maria Psillaki, University of Nice-Sophia Antipolis Nikolaos Daskalakis, Athens University of Economics and Business, Athens, Greece Are International Differences in Capital Structure Country or Firm Specific? Evidence from SMEs in France, Greece, Italy and Portugal In this paper we investigate the capital structure determinants of Greek, French, Italian and Portuguese SMEs. We compare the capital structure of SMEs across countries and consider if differences in country characteristics such as financial development and institutional features may impact on firms capital structure choices. We assess the extent to which the debt ratio of firms depends upon their asset structure, size, profitability, risk and growth. The results show that SMEs in these countries seem to determine their capital structure in similar ways as is evident by the signs of the statistically significant regression coefficients. Specifically, size is positively related to leverage, while the relationship between leverage and asset 8

9 structure, profitability and risk is negative. Growth is not a statistically significant determinant of leverage for any of the four countries. We attribute these similarities to the country institutional and financial characteristics and the commonality of their civil law systems. However, structural differences do arise due to differences in the size of the coefficients in the country regressions. We find that these differences are due to firm-specific effects. Our main conclusion is that firm specific rather than country factors explain differences in capital structure choices of SMEs in these countries. Keywords: Capital Structure, SME financing JEL Classification: C23, G32 Emilios Galariotis, University of Durham Evangelos Giouvris, University of London Systematic Liquidity and Excess Returns:Evidence from the London Stock Exchange Predictable differences in liquidity lead to cross-sectional differences in expected returns (Brennan & Subrahmanyam, 1996, Amihud, 2002). A natural extension of this, is that if liquidity is random and covaries across stocks as Chordia et al. (2000) and Huberman & Halka (2001) document, then a stock s sensitivity to systematic liquidity randomness is a potential priced risk factor (decline in systematic liquidity has been blamed for the crash of October 1987 and the global bond market liquidity crisis the summer of 1998). This study covers a gap in the systematic liquidity literature and its effect on excess returns under normal trading conditions using UK data under four different trading/price reporting regimes. The findings show that there is a systematic time-varying component in both absolute and proportional spread even after controlling for variables known to affect spread; systematic liquidity appears to have an important role on stock pricing in specific periods/trading regimes. JEL Classification: G10, G12 9

10 Keywords: Liquidity, systematic liquidity, common component, returns, London Stock Exchange Evangelos I. Poutos, PhD candidate, Hellenic Open University, School of Social Sciences, Patras, Greece Panagiotis E. Kaldis, Associate Professor, Technological Educational Institute of Athens, Department of Oenology and Beverages Technology, Athens, Greece Andreas A. Papandreou, Associate Professor, National and Kapodistrian University of Athens, Department of Economic Sciences, Athens, Greece Investigating Empirically the Firms Payout Behaviour: The Effect of Corporate Taxation on Dividend Payments The examination of the factors that affect the dividend policy of a firm has always been one of the major topics in the corporate finance literature. Our intention is to investigate the impact of corporate taxes in payout policy of Greek firms. Using a three step approach we find a positive relation between corporate taxes and dividend payments, with taxes being 1.56 times greater than the dividend paid to shareholders. This dividend corporate tax relation becomes negative when the operating earnings are introduced as an explanatory variable to the model. Both findings indicate that corporate taxes may affect corporate dividend behaviour, thus, we introduce the corporate tax variable to Lintner s (1956) behavioural model as this model was transformed by Vasiliou and Eriotis (2003) for the Greek market. Our empirical findings suggest that corporate taxes marginally improve the explanatory power of the behavioural model. JEL classification: G3, G35 Keywords: Corporate Finance, Dividends, Corporate Taxes, Greek Firms 10

11 Dimitrios Vasiliou, Professor of Bank Management, Hellenic Open University, Patra, Greece Nikolaos Daskalakis, PhD, Athens University of Economics and Business, Athens, Greece BEHAVIORAL CAPITAL STRUCTURE: IS THE NEOCLASSICAL PARADIGM THREATENED? EVIDENCE FROM THE FIELD We show that capital structure decisions and financial behavior in general seems to deviate from the traditional neoclassical paradigm. Behavioral finance and the post Keynesian financial behavior approach provide better explanations in decoding financial managers opinions and behavior. Specifically, our starting point is the analysis of qualitative corporate data from the Greek market. The data come from the answers in a detailed questionnaire and in this paper we analyze capital structure determination and the relationship between capital structure and stock price. Results are in favor of the market timing approach and the managers opinions and behavior on issues concerning capital structure determinants and the relationship between capital structure and stock price seem to be better explained under the behavioral finance proponents and within the post Keynesian paradigm. JEL classification: G3, G32 Keywords: Capital Structure, Behavioral Finance, Post Keynesian Approach, Qualitative Corporate Analysis Session 5: Accounting and Capital Markets Dimitrios C. Ghicas, Athens University of Economics and Business Afroditi Papadaki, Athens University of Economics and Business Georgia Siougle, Athens University of Economics and Business Theodore Sougiannis, 2University of Illinois at Urbana-Champaign and ALBA 11

12 We thank A. Rashad Abdel-khalik, Apostolos Ballas, William Beaver, Antreas Charitou, Rajib Doogar, Kostas Karamanis, Mark Peecher, Ira Solomon, Nikolaos Travlos, seminar participants at the University of Cyprus, and at the 2003 European Accounting Association meetings, and two anonymous reviewers for their comments and suggestions. Funding for this project was received from the European Social Fund and National Resources (Ministry of Education) Pythagoras II EPEAEK. The Relevance of Quantifiable Audit Qualifications in the Valuation of IPOs How useful are audit qualifications to financial statement users? Prior studies provide mixed evidence on this fundamental issue. In this study we analyze a sample of 206 firms that went public at the Athens Stock Exchange over the period This is a unique sample because for 150 firms auditors report quantitative estimates of the amount by which assets are overstated and/or liabilities are understated in reported financial statements. We find evidence that financial analysts and underwriters do not incorporate the negative information provided by these qualifications into earnings forecasts and offer prices. Investors, however, appear to efficiently impound the negative implications of the audit qualifications into stock market prices within the first day of trading. We also detect a strong negative market reaction on and around June 10, 2004, when regulators disallowed IPOs with audit qualifications in compliance with European Union Directives. Sample firms with and without qualifications were equally penalized. This negative market sentiment confirms the wider market skepticism reflected in very low IPO activity in Greece in recent years. Overall, our results suggest that underwriters tend to align their interests with the interests of their clients, the old stockholders, at the expense of the new stockholders. They also suggest that the practice of reporting quantifiable qualifications in audit reports is valuable to investors. Although the management may choose not to recognize qualified amounts, investors price these amounts given that they are disclosed by an expert. Key words: Audit Qualifications, Valuation, IPOs, Underwriters, Earnings Forecasts. 12

13 Dimitrios Gounopoulos, School of Management, University of Surrey, Guildford, Surrey, UK Christos Nounis, Department of Economics, University of Athens, Athens, Greece Paris Stylianides, Cass Business School, City University, London, UK The Short and Long Term Performance of Initial Public Offerings in the Cyprus Stock Exchange This study examines the price performance of initial public offerings (IPOs) in the Cyprus Stock Exchange during the period It examines the differences between the listing price of IPOs and their equilibrium market prices at the end of the first day, sixth, twelfth, twenty-fourth and thirty-sixth month for 75 new listed companies. From the derived results it is evident that Cypriot IPOs have extremely large positive initial returns, especially on the end of the first trading day. Long term results, not taking into account the first day returns are much lower and sometimes even negative. The first day underpricing phenomenon forces to search for possible factors, which may have caused it. Different variables used in similar international studies were adopted to test the Cypriot case. Our research shows that positive initial returns, amongst other factors, may have been affected by increase in the General Index of the Stock Exchange between the last day of public offerings period and the first trading day (time lag), the reputation of the companies underwriters, the firms issue size and the companies history. It is also evident that our sample was affected by the extraordinary stock exchange conditions that prevailed during the specified period, which is examined. The intriguing Cyprus Stock Exchange behaviour is further examined by looking into its investment, parallel and alternative primary markets. Keywords: Initial Public offerings, Underpricing, Long-term performance, market efficiency, underwriters JEL classification code: G14, G12 13

14 Seraina Anagnostopoulou and Mario Levis, Cass Business School, City University, London We acknowledge the helpful comments and suggestions of the participants at the 1 st EIASM Workshop on Intangibles, Ferrara, Italy 2005, the EAA Annual Congress 2006, Dublin, Ireland, the BAA Annual Congress 2006, Portsmouth, UK and the EFMA Annual Congress 2006, Madrid, Spain. R&D and Performance Persistence: Evidence from the UK There is compelling evidence from both the US and UK suggesting that R&D expenditure has a positive impact on operating and/or market performance. Nonetheless, there is still debate both about the impact of R&D on the persistence of growth and the rationale of the apparent positive relation between R&D expenditure and excess stock market returns. We examine the relation between R&D investment and persistence in operating and market performance using a large dataset of UK companies during the period Our findings confirm the relation between R&D intensity and consistent growth in sales and gross income but only in the cases when a firm needs to engage in R&D activity because of the industry in which it operates. Moreover, our evidence indicates a positive relation between R&D intensity and subsequent risk-adjusted excess stock returns among firms that engage in R&D. We also show that R&D intensity improves persistence in excess stock returns: the highest R&D intensity firms are found to earn higher risk-adjusted excess returns than the sample median return more consistently, compared to lower R&D intensity firms, as well as firms with no R&D. JEL Classification: G14, M41 Dimitrios V. Kousenidis, Aristotle s University of Thessaloniki Anestis C. Ladas, University of Macedonia Christos J. Negakis, Professor Christos I. Negakis, Department of Accounting and Finance, University of Macedonia, Thessaloniki, Greece Acknowledgements: The authors would like to thank Professors Theodore Sougiannis (University of Illinois at Urbana- Champaign and Athens Laboratory of Business Administration), E.G. Tsionas (Athens University of 14

15 Economics and Business) and Lakshman Alles (Curtin University of Technology) for their valuable comments and suggestions. An earlier version of this paper was presented at the 13 th Multinational Society Conference in Edimburgh June, The Long Run Relationship between Price and Earnings: Further Evidence Despite the numerous studies in the literature on the relation of prices and earnings per share and the three decades of intensive econometric testing, it has not been able to verify the theoretical relation between earnings per share and stock prices and this is often called the price-earnings per share puzzle in the accounting literature (Roll, 1988; Lev, 1989). In this paper we view their relation as a dynamic rather than a static one and we model them using a panel cointegration framework. The framework introduced controls also for the problem of cross-sectional dependency that may drive to serious biases in the standard errors and thus incorrect inferences (Bernard, 1987). The results show that prices and earnings per share are cointegrated and their relationship can be modeled under a cointegration framework. Moreover, the use of an error correction hybrid model that allows for cross-section dependence may produce even better results by segmenting the relation between prices and earnings into short and long run. Session 6: Issues in Accounting Disclosure P. Alexakis, L. Spanos and A. Vasila, National and Kapodistrian University of Athens, Department of Economics, Centre of Financial Studies Does disclosure matter for institutional placements? This paper investigates the internet corporate reporting practices of Greek listed companies and whether this information has a significant effect on the decisions of institutional investors placements in Athens Exchange. The aim is twofold: to contribute to the growing literature by analysing website corporate reporting in a 15

16 small open European capital market; to examine whether institutional investors placements are affected by firms disclosure practices. The findings indicate that profitability and price-to-book value affect significantly investors placements and while internet disclosure practices seem to have a little or not significance for institutional investors choices. Keywords: corporate reporting; investor relations; internet; disclosure; Internet Disclosure Index; Greece Theofanis Karagiorgos, Assistant Professor, Department of Business Administration University of Macedonia, Thessaloniki, Greece George Drogalas, PhD Candidate, Department of Business Administration, University of Macedonia, Thessaloniki, Greece Petros Christodoulou, Assistant Professor, Department of Business Administration, University of Macedonia,Thessaloniki, Greece Michail Pazarskis, PhD Candidate Department of Business Administration University of Macedonia 6, Thessaloniki, Greece Conceptual framework, development trends and future prospects of internal audit: Theoretical approach In the area of information, internal audit is established as an essential means for the exact management of any business economic resources. However, the necessity which issues from the administration, for distinguished management of the available resources, incalculable expenses, limitation and evasion of misconduct, imposes internal auditing as a key factor in the business management effort. An attempt is being made, via an extended literature review, to investigate the current status and to approach development trends and future prospects of the internal audit analysing the usefulness of auditing in them. More specifically, this article intends to theoretically investigate the concept of internal audit. The results of this extended literature review indicate that, internal audit is a key operation, which approaches the 16

17 shortcomings and recommends realistic solutions in the increasingly competitive business environment. Keywords: auditing, internal control, internal audit, COSO Report, IIA. Γκίνογλου Δημήτριος, Αναπληρωτής Καθηγητής του Τμήματος Λογιστικής και Χρηματοοικονομικής του Πανεπιστημίου Μακεδονίας, Οικονομικών και Κοινωνικών Επιστημών Βάσσης Ανδρέας, Μεταπτυχιακός Φοιτητής του Προγράμματος Μεταπτυχιακών Σπουδών στη Λογιστική και Χρηματοοικονομική του Πανεπιστημίου Μακεδονίας, Οικονομικών και Κοινωνικών Επιστημών Κοστολόγηση και Διοίκηση με Βάση τις Δραστηριότητες (Activity-Based Costing and Management ABC & ABM) - Μια ενδεικτική προσομοίωση στην ελληνική πραγματικότητα για την αξιολόγηση της υιοθέτησης της μεθόδου ABC από την χρηματιστηριακή αγορά Περίληψη Εργασίας () Η συνεχής επέκταση της παγκοσμιοποίησης στις αγορές και οι ραγδαίες τεχνολογικές εξελίξεις στο βιομηχανικό περιβάλλον έχουν δημιουργήσει ένα έντονο πεδίο ανταγωνισμού για τις παραγωγικές επιχειρήσεις. Η καθιέρωση μιας βιώσιμης ανταγωνιστικής θέσης σε αυτό το περιβάλλον και η επίτευξη διατηρήσιμου ανταγωνιστικού πλεονεκτήματος απαιτούν την υιοθέτηση εκ μέρους των επιχειρήσεων στρατηγικών που ολοκληρώνουν τις ευκαιρίες που προκύπτουν από την τεχνολογία, το περιβάλλον τους και τις αγορές με τον πιο αποδοτικό και αποτελεσματικό τρόπο. Η σύγχρονη επιχείρηση επιβάλλεται να ανταποκριθεί σε αυτές τις προκλήσεις χρησιμοποιώντας κάθε δυνατό μέσο. Σε αυτό το πλαίσιο, η Κοστολόγηση με Βάση τις Δραστηριότητες (Activity-Based Costing ABC) και η Διοίκηση με Βάση τις Δραστηριότητες (Activity-Based Management ABM) αποτελούν χρήσιμα εργαλεία της διοίκησης, όχι μόνο για την ακριβέστερη απεικόνιση του παραγωγικού κόστους, αλλά και για μια ολοκληρωμένη θεώρηση της ίδιας της επιχείρησης σε ρεαλιστική βάση. 17

18 Η εργασία αυτή επιδιώκει την ανάδειξη της φύσης και της χρησιμότητας του ABC και του ABM για μια οργάνωση, παράλληλα με την εφαρμογή μεθοδολογίας από τον χώρο της χρηματοοικονομικής για την αξιολόγηση της επίδρασής τους στην ελληνική χρηματιστηριακή πραγματικότητα. Η διαδικασία αυτή επιχειρείται μέσω της πραγματοποίησης μιας ανάλυσης τύπου μελέτης περίπτωσης (event study) σε μια ενδεικτική περίπτωση της ελληνικής χρηματιστηριακής αγοράς. Μέσω της εμπειρικής αυτής μελέτης επιχειρείται η ανάδειξη των αναγκών για διεύρυνση της πληροφόρησης στο επενδυτικό κοινό, η διασύνδεση λογιστικής πληροφόρησης και χρηματιστηριακής ανάλυσης και η προώθηση της σχετικής επιστημονικής μεθοδολογίας και στον ελληνικό χώρο. Δημήτριος Λ. Παπαδόπουλος, Ph.D, Καθηγητής, Τμήμα Λογιστικής και Χρηματοοικονομικής, Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη Δημήτριος Π. Χαραλαμπίδης, MBA, Υποψήφιος Διδάκτορας, Τμήμα Λογιστικής και Χρηματοοικονομικής, Πανεπιστήμιο Μακεδονίας, Θεσσαλονίκη Δημιουργία και Εμπειρική Αξιολόγηση Δύο Στατιστικών Μοντέλων Πρόβλεψης Εταιρικής Πτώχευσης στα Πλαίσια της Ελληνικής Πραγματικότητας Περίληψη Ο τίτλος αυτού του άρθρου είναι «Δημιουργία και Εμπειρική Αξιολόγηση Δύο Στατιστικών Μοντέλων Πρόβλεψης της Εταιρικής Πτώχευσης στα Πλαίσια της Ελληνικής Πραγματικότητας». Το άρθρο στοχεύει στην δημιουργία δύο μοντέλων πρόβλεψης της εταιρικής πτώχευσης με τη χρήση της πολυμεταβλητής διακριτικής ανάλυσης και της ανάλυσης logit. Το δείγμα που χρησιμοποιείται στην δημιουργία των μοντέλων αποτελείται από 33 μη εισηγμένες εταιρίες που πτώχευσαν στην δεκαετία του 1990 και 60 εισηγμένες εταιρίες που επιβίωσαν κατά την ίδια χρονική περίοδο. Η ανάλυση ενσωματώνει την αναλογία πτωχών και μη πτωχών εταιριών στον συνολικό πληθυσμό των εταιριών και το κόστος των λανθασμένων προβλέψεων. Τα αποτελέσματα δείχνουν ότι τα δύο μοντέλα μπορούν να διακρίνουν τις πτωχές από τις μη πτωχές εταιρίες σε ποσοστό μεγαλύτερο του 90%. 18

19 Session 7: International Markets and Finance Plamen Patev, PhD, Tsenov Academy of Economics, Department of Finance and Credit, Bulgaria Nigokhos Kanaryan, PhD, Tsenov Academy of Economics, Department of Finance and Credit, Bulgaria Katerina Lyroudi, PhD, University of Macedonia Dept. of Accounting and Finance, Thessaloniki, Greece Stock Market Volatility Changes in Central Europe Caused by Asian and Russian Financial Crises We consider four Central European stock market indices over the period April 30, August 31, We have found that the influence of the Asian crisis over the Central European markets is more severe than the influence of the Russian crisis. During the crises, Central European markets exhibit an increase in correlation initially and a decrease afterwards. We have found that the correlation never reaches the pre-crisis level. We have also found increasing persistence for Central European markets not only during the crisis but also during the post- crisis period. After the crisis, the market reaction is much weaker to the current market news than to the past information. Investigating the relationships between stock market volatility and expected returns, we do not find positive relation. During the crisis periods the relationship is positive and thus, the risk-averse investors are compensated for the extra risk they are exposed to. C. K. Staikouras, M. K. Agoraki, Department of Accounting and Finance, Athens University of Economics and Business, Greece The Determinants of Net Interest Margin in the Banking Sector of the South Eastern European Region This paper attempts to indicate a series of determinants that affect the level of net interest margin in the banking sector of the South Eastern European countries over the 19

20 period The study embraces a number of bank-specific, market-related and macroeconomic variables. Our results reveal that net interest margin is positively and significantly affected mainly by internal determinants, such as the proportion of loans in the asset composition, the quality of the credit portfolio, the financial leverage of the firm, the implicit interest payments, the overhead expenses and the size whereas in macroeconomic level GDP growth has a positive influence. JEL Classification: G21; P34; P52. Keywords: Banking; net interest margin; bank-specific variables; market-related and macroeconomic factors; South Eastern European countries. John A. Papanastasiou and George Michalopoulos, Department of Accounting and Finance University of Macedonia, Thessaloniki, Greece Policy credibility and the monetary sector: the Greek experience The paper examines the credibility of policy announcements in the Greek monetary sector. In particular it examines whether three distinctive cases of policy announcements during the (pre EMU) period have been considered as credible or not by the market participants. A simple IS-LM model supplemented with the expectations-augmented Phillips curve was used to derive an equation for the interest rate determination. The empirical results showed that two (out of three) policy announcements were perceived as credible by the agents participating in the monetary sector. Keywords: Policy credibility, interest rate determination, Chow tests. Nojoud Habash, University of Patras The Contagion Disease that Affects Foreign Direct Investment in the MENA Countries 20