The impact of risk factors on stock returns: the case of the National Bank of Greece

2008 ◽  
Vol 9 (1/2) ◽  
pp. 61
Author(s):  
Dimitrios Vasiliou ◽  
Andreas Papandreou
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
National Bank ◽  
The Impact ◽  
Of Greece

Liquidity and real estate asset pricing: a pan-European study

2014 ◽  
Vol 7 (1) ◽  
pp. 59-86 ◽  
Author(s):  
Alexander Scholz ◽  
Stephan Lang ◽  
Wolfgang Schaefers
Keyword(s):  
Risk Factors ◽  
Risk Factor ◽  
Asset Pricing ◽  
Real Estate ◽  
Stock Returns ◽  
Systematic Risk ◽  
Time Series Regression ◽  
Content Type ◽  
Market Factors ◽  
The Impact

Purpose – Understanding the pricing of real estate equities is a central objective of real estate research. This paper aims to investigate the impact of liquidity on European real estate equity returns, after accounting for well-documented systematic risk factors. Design/methodology/approach – Based on risk factors derived from general equity data, the authors extend the Fama-French time-series regression approach by a liquidity factor, using a pan-European sample of 272 real estate equities. Findings – The empirical results indicate that liquidity is a significant pricing factor in real estate stock returns, even after controlling for market, size and book-to-market factors. In addition, the authors detect that real estate stock returns load predominantly positively on the liquidity risk factor, suggesting that real estate equities tend to behave like illiquid common equities. These findings are underpinned by a series of robustness checks. Running a comparative analysis with alternative factor models, the authors further demonstrate that the liquidity-augmented asset-pricing model is most appropriate for explaining European real estate stock returns. Research limitations/implications – The inclusion of sentiment and downside risk factors could provide further insights into real estate asset pricing in European capital markets. Originality/value – This is the first study to examine the role of liquidity as a systematic risk factor in a pan-European setting.

The impact of wildfires on mental health of residents in a rural area of Greece. A case control population based study

2011 ◽  
Vol 26 (S2) ◽  
pp. 1188-1188 ◽  
Author(s):  
D. Adamis ◽  
V. Papanikolaou ◽  
R.C. Mellon ◽  
G. Prodromitis
Keyword(s):  
Mental Health ◽  
Risk Factors ◽  
Psychological Symptoms ◽  
Adult Population ◽  
Psychiatric Morbidity ◽  
Population Based ◽  
Case Control ◽  
Cross Sectional ◽  
The Impact ◽  
Of Greece

IntroductionPsychopathological disturbances are common in the aftermaths of a disaster. The consequences of these disorders can be long lasting. In August of 2007 an intense and destructive wildfire broke out in the Peloponnesus peninsula in Greece.ObjectivesTo investigate psychological and psychiatric morbidity in individuals who had experienced severe exposure to a wildfire disaster in a part of Greece and to indentify risk factors for the post disaster psychological problems.AimsTo investigate a broader spectrum of mid-term psychological and psychiatric morbidity in victims, to evaluate the proportion of psychopathology that could be accredited to the disaster, to estimate the association of losses with different psychological symptoms, to indentify risk factors for psychopathology.MethodsA Cross sectional case control study of adult population (18–65 years old). Data collected among others were demographic, Symptom Checklist 90-Revised for assessment of psychological difficulties, type and number of losses.ResultsThose damnified from the disaster scored significantly higher (p < 0.05) in the symptoms of somatisation, depression, anxiety, hostility, phobic anxiety, paranoia, and had significantly more symptoms (PST) and were more distressed by them (GSI) compared to controls. In addition risk factors for someone to be a psychiatric case were to be a victim from the fire, to have finished primary school, to be windowed and to have damages to his property.ConclusionsWildfires can cause considerable psychological symptoms in victims and there are reasons for public health policy makers to create services in order to help and improve the mental health of those affected.

The impact of accounting of securities valuation on stock returns: the case of Greece

2010 ◽  
Vol 11 (3) ◽  
pp. 180-194 ◽  
Author(s):  
Christos Tzovas ◽  
Constantinos Chalevas ◽  
Apostolos A. Ballas
Keyword(s):  
Stock Returns ◽  
The Impact ◽  
Of Greece

Risk and returns in Shari’ah-compliant cross-section stocks: evidence from an emerging market

2019 ◽  
Vol 10 (5) ◽  
pp. 621-643
Author(s):  
Muhammad Hanif ◽  
Abdullah Iqbal ◽  
Zulfiqar Shah
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Factor Model ◽  
Stock Exchange ◽  
Emerging Market ◽  
Explanatory Power ◽  
Market Returns ◽  
Content Type ◽  
The Impact ◽  
Three Factor

Purpose This study aims to understand and document the impact of market-based – market returns and momentum – as well as firm-specific – size, book-to-market (B/M) ratio, price-to-earnings ratio (PER) and cash flow (CF) – factors on pricing of Shari’ah-compliant securities as explanation of variations in stock returns in an emerging market – Pakistan’s Karachi Stock Exchange. Design/methodology/approach Initially, the authors test Fama and French (FF) three-factor model – market risk premium, size and B/M – followed by modified FF model by including additional risk factors (PER, CF and momentum) over a 10-year period (2001-2010). Findings Our results support superiority of FF three-factor model over single-factor capital asset pricing model. However, addition of further risk factors – including PER, CF and momentum – improves explanatory power of the model, as well as refines the selection of risk factors. In this study, CF, B/M and momentum factors remain insignificant. Traditional B/M factor in FF model is replaced by PER. Practical implications Based on the modified FF model, the authors propose a stock valuation model for Shari’ah-compliant securities consisting of three factors: market returns, size and earnings, which explains 76per cent variations in cross sectional stock returns. Originality/value To the best of the authors’ knowledge, this is the first study (which combines market-based as well as fundamental factors) on pricing of Islamic securities and identification of risk factors in an emerging market – Karachi Stock Exchange.

scholarly journals Crash Sensitivity and the Cross Section of Expected Stock Returns

2018 ◽  
Vol 53 (3) ◽  
pp. 1059-1100 ◽  
Author(s):  
Fousseni Chabi-Yo ◽  
Stefan Ruenzi ◽  
Florian Weigert
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Cross Section ◽  
Tail Dependence ◽  
Lower Tail ◽  
Tail Risk ◽  
Expected Stock Returns ◽  
The Cross ◽  
Traditional Risk Factors ◽  
The Impact

This article examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower-tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with weak LTD. This effect cannot be explained by traditional risk factors and is different from the impact of beta, downside beta, coskewness, cokurtosis, and Kelly and Jiang’s (2014) tail risk beta. Hence, our findings are consistent with the notion that investors are crash-averse.

scholarly journals Global risk factors of NYSE- and NASDAQ-listed shipping companies’ stock returns

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nikiforos T. Laopodis
Keyword(s):  
Risk Factors ◽  
Stock Returns ◽  
Generalized Method Of Moments ◽  
Listed Companies ◽  
Ordinary Least Squares ◽  
Shipping Industry ◽  
Global Risk ◽  
Global Business ◽  
Content Type ◽  
The Impact

Purpose This paper aims to investigate the impact of global macro and other risk factors of the New York Stock Exchange (NYSE)- and National Association of Securities Dealers Automated Quotation (NASDAQ)-listed shipping companies’ stock returns from January 2001 to December 2019. Design/methodology/approach The methodological design includes multi-factor regressions for individual companies, augmented versions of these regressions to examine the likely impact of additional factors and finally panel regressions to assess the impact risk factors on all companies simultaneously. Estimations are done via ordinary least squares and the generalized method of moments. Findings Multi-factor model results showed that some of the US-specific and global macro risk factors surfaced as statistically significant for most of the companies and appeared to exhibit a consistent pattern in the way they affected shipping stocks. Thus, these companies’ exposures emanate mostly from the general US market’s movements and to a lesser extent from other firm-specific factors. Second, from the results of panel specifications, this study observes that domestic risk factors such as unemployment, inflation rates and industrial production growth emerged as significant for the NYSE-listed companies. As regard, the NASDAQ-listed ones, it was found that Libor and the G20 inflation rate were also affecting their stock returns. Research limitations/implications Companies examined are listed only in the US’s NYSE and NASDAQ. Hence, companies listed elsewhere were excluded. It may be concluded that these US exchange-listed companies abide mostly by domestic fundamentals and to some extent to selected global factors. Practical implications The significance of the findings in this study pertains to global investors and shipping companies’ managers alike. Specifically, given the differential sensitivities of the shipping companies to various risk factors (and the global business cycle, in general), it is possible to view the shipping companies’ stocks as a separate, alternate asset class in a global, well-diversified portfolio. Thus, such a broader portfolio would permit investors to earn positive returns and reduce overall risk. Managers of shipping companies would also benefit from the findings in this study in the sense that they should better understand the varying exposures of their companies to changing global and domestic macro conditions and successfully navigate their companies through business cycles. Originality/value Research on the global shipping industry has lagged behind and was mainly concentrated on the investigation of the sources of shipping finance and capital structure of shipping companies, investment and valuation, corporate governance and risk measurement and management. Empirical research on the potential micro and macro determinants of the stock returns of shipping companies, however, is scant. This paper fills the gap in the literature of identifying and evaluating the various macroeconomic, US and international risk, factors that affect shipping companies’ stock returns in a highly financially integrated world.

scholarly journals E-LEARNING IN THE BANKING SECTORCASE STUDY OF THE NATIONAL BANK OF GREECE

2021 ◽  
Vol 9 (08) ◽  
pp. 682-693
Author(s):  
Panagiota Xanthopoulou ◽  
◽  
Dimitris Athanasopoulos ◽  
Keyword(s):  
Distance Education ◽  
Human Resources ◽  
Banking Sector ◽  
Knowledge Work ◽  
Online Questionnaire ◽  
Learning Programs ◽  
E Learning ◽  
National Bank ◽  
The Impact ◽  
Of Greece

This research deals with the issue of distance education in the human resources of banks and specifically of the National Bank of Greece. The purpose of the research was to investigate how distance education affects the human resources of banks in developing their management skills. The research methodology followed was quantitative, while the research tool used was the online questionnaire. The survey sample consisted of 82 people working in the banking sector and their selection was made according to convenient sampling.The results showed that distance education works beneficially for the in-house training of employees in the banking sector. In particular, e-learning programs have been found to contribute to the development of knowledge, work productivity, the acquisition of new skills and the enrichment of existing skills held by employees in the banking sector. It was also clear that the impact of distance education on improving employees skills was multifaceted. Participants were positive about the experience they gained from distance learning programs and want to increase as they state that their benefits vary.The present research is one of the first attempts that aim to record the aspects of e-learning implementation in the banking sector.

scholarly journals Modelling Stock Returns and Risk Management in the Shipping Industry

2021 ◽  
Vol 14 (4) ◽  
pp. 171
Author(s):  
Sunil K. Mohanty ◽  
Roar Aadland ◽  
Sjur Westgaard ◽  
Stein Frydenberg ◽  
Hilde Ekrem Lillienskiold ◽  
...  
Keyword(s):  
Risk Factors ◽  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
World Market ◽  
Excess Return ◽  
Macroeconomic Risk ◽  
Market Portfolio ◽  
Volatility Index ◽  
The Impact

We estimate the impact of macroeconomic risk factors on shipping stock returns, using a quantile regression (QR) model. We regress the excess return of a portfolio for the container, dry bulk, chemical/gas, oil tanker, and diversified shipping sectors on the world market portfolio excess return, volatility index, and changes in the oil price, exchange rate, and interest rate. The sensitivities of stock returns to the risk factors differ across quantiles and shipping segments and are found to be significant for the volatility index, world market portfolio return, exchange rate, and changes in long-term interest rate with variation over quantiles. This provides evidence of asymmetric and heterogeneous dependence between stock returns and certain macroeconomic risk variables. The results of the study also suggest that standard OLS regression is inadequate to uncover the risk-return relation.

The Impact of Dividend Announcement on Stock Returns

2016 ◽  
Vol 7 (1) ◽  
pp. 46
Author(s):  
Naik Priyanka Umesh ◽  
Nezvila Tracy Saldanha ◽  
Y. V. Reddy
Keyword(s):  
Stock Returns ◽  
The Impact
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