George A. Papachristou

Investigating Efficiency in Betting Markets: Evidence from the Greek 6/49 Lotto

In this paper we investigate the existence of profit opportunities in the Greek market for the 6/49 Lotto. Under the assumption of random number selection we find evidence suggesting that the market is efficient. Because number selection is found to deviate from randomness, we further investigate the existence of profit opportunities due to number unpopularity. The evidence suggests that although unpopular numbers exist, they are not sufficiently unpopular so as to generate positive expected payoffs.

The British gambler's fallacy

People facing choices under uncertainty, and gamblers in particular, are often subject to statistical fallacies. This paper explores the hypothesis that if lotto players were subject to the ‘gamblers fallacy’, predictable fluctuations in the number of jackpots would occur. Evidence, based on a Poisson regression model in which the number of winning bets is conditional on the history of draws, indicates that number selection in the UK is only marginally affected by the history of draws.

Is There a Trade-off between Financial Performance and Outreach in South Asian Microfinance Institutions?

Falling government and donor funding, which has traditionally supported microfinance, is followed by an expansion of financially self-sustainable Microfinance Institutions (MFIs). This development has raised the concern as to whether the social goals of traditional microfinance would be equally well served in the new environment in as much as financial performance and outreach compete with each other. In this paper, we empirically examine this relation between financial performance and outreach of MFIs in a panel of South Asian countries from 2003 to 2009 using random effects modeling and general method of moments (GMM) estimation. We find that: (a) breadth and depth of outreach are positively associated to profitability and efficiency, and (b) depth in contrast to breadth mitigates risks. Overall, our findings do not confirm a statistically significant negative relation between financial performance and outreach goals, suggesting that a financially sustainable microfinance expansion can achieve its social goals at an acceptable credit risk level.

Stochastic behaviour of the Athens Stock Exchange: a case of institutional nonsynchronous trading

In this paper it is shown that sequential trading in the Athens Stock Exchange prior to 1989 introduces deterministic nonsynchronicity and causes market returns to exhibit first-order serial correlation even though the underlying price generation process may be a martingale. The effect of deterministic nonsynchronicity is analogous to the effect of stochastic nonsynchronicity examined in Scholes and Williams (1977) with the important exception that it pertains only to portfolio returns and not to single security returns. A test of short run martingale behaviour performed on daily market returns prior to 1989 fails to distinguish between spurious time dependence and nonmartingale behaviour. However, additional evidence based on single security returns points to nonmartingale behaviour.

Is lottery demand elasticity a reliable marketing tool? Evidence from a game innovation in greece

Demand for lotteries and especially lotto has been extensively studied in an international context, an important question being whether lottery providers correctly price their product. In Greece a lotto game has been offered since 1990 whereas a new version was introduced seven years later with a clearly more skewed payoff. The objective of this paper is to analyze whether demand estimates from the original game help explain the subsequent innovation and to assess, in that sense, the reliability of demand estimates as a marketing tool. (JEL: D12, L83)

Is There an Adverse Effect of Uncertainty on Venture Capital? The European Evidence

Early-stage and, to a lesser degree, expansion Venture Capital (VC) investment exhibits evident irreversibility characteristics and, according to the irreversibility-delay theory of investment, should thus be sensitive to real and financial uncertainty. The objective of this article is to examine to what extent VC investment is adversely affected by macroeconomic uncertainty on the basis of a European dataset from 1995 to 2005. Our results indicate that price uncertainty and interest rate volatility do not significantly affect European VC finance and that only growth and cost of capital considerations seem to matter.

Fund Management and its Effect in the Greek Social Security System

Economic and demographic slowdown has put under strain public pension systems around the globe. In this paper, we discuss the characteristics of the Greek social security system and investigate the issue of pension fund management. Our empirical analysis focuses on whether flexible investment rules (including equity investment) could have taken the pressure off the Greek public pension system while reducing the risks associated with such flexibility. The empirical results of the paper suggest that efficient management of reserves can result in additional significant revenues at acceptable levels of financial risk. However, pension fund management flexibility cannot by itself resolve the problem of social security system.

On Improving the Greek Social Security System via Equity Investment

Economic and demographic slowdown has put under strain public pension systems around the globe. The actuarial balance of the PAYG system can only be restored by reshuffling its parameters and by attaining a higher return on its reserves. In this paper we investigate the extent to which an acceptable use of stock market opportunities could have relieved the pressure off the Greek public pension system while reducing the risks associated with such an exercise.

Liquidity commonality in order-driven trading: evidence from the Athens Stock Exchange

ABSTRACT We examine the presence of liquidity commonality in the order-driven Athens Stock Exchange (ASE). Unlike the majority of liquidity commonality studies that focus on the bid–ask spread, our analysis extends deeper in the Limit Order Book, providing insight on the price impact of both small and large trades. We utilize a 6-month FTSE/ATHEX-20 intraday data set to estimate the liquidity factor model of Chordia et al. (2000). To this end, we conduct single-equation analysis as well as panel data analysis with the use of two-way clustered errors, correcting for simultaneous firm and time correlations. Moreover, we apply standard principal component analysis on stock liquidities to extract the marketwide liquidity component. We find that liquidity commonality is low at the bid–ask spread, whereas it increases deeper in the book; consequently, large traders face liquidity risks associated with both individual stock and marketwide illiquidity. Moreover, our empirical evidence hints that liquidity commonality is asynchronous, suggesting that the ASE trading process includes various levels of information speed. Our analysis contributes to the understanding of liquidity commonality in order-driven trading, especially in emerging markets like the ASE where trading activity is limited and information speed is low.

Lottery pricing and price elasticity dispersion in the UK and Canada

ABSTRACT We estimate effective price elasticities for different quantiles of the demand distribution of the UK National Lottery and the Canadian Lotto 649. We show that price elasticities vary significantly from draw to draw and have a tendency to increase with lottery participation and jackpot size. Our findings indicate that setting lottery rules on the basis of mean effective price elasticities should be faced with caution because expected profits are negatively related to the evident variation of elasticities among lottery draws. We also simulate alternative active rollover distributions and show that limiting the rollover accumulation by withholding portions and ploughing them back in future nonrollover draws is potentially profitable.