Katerina Lyroudi

The valuation effects of stock splits in NASDAQ

Purpose – To investigate whether a stock split is still considered a policy that creates value for the underlying company and the rationale behind such action for companies listed on the NASDAQ. Design/methodology/approach - The event study methodology of Strong is employed to examine the announcement effect of stock splits on stock prices. Findings - The results indicate a positive market reaction at the stock split announcement and that the liquidity hypothesis explains well the rationale for the stock splits. Research limitation/implications - The sample is quite small (57 observations) and the examination period is limited to 1999 and 2000. Practical implications - Findings are of particular interest to researchers, practitioners and investors that have an interest in firms listed on NASDAQ. Originality/value - Limited research on the stock price behaviour of firms listed on NASDAQ around stock split announcement date.

Joint effects of interim dividend and earnings announcements in Greece

Purpose - The purpose of this paper is to empirically investigate stock price and trading volume reactions to simultaneous interim dividend and earnings announcements by the Greek firms listed on the Athens stock exchange (ASE). Design/methodology/approach - Classical event study methodology was employed to examine the share price and trading volume reaction to interim dividends and earnings announcements. Findings - Results confirm the signaling hypothesis which predicts positive market reaction to the joint dividend and earnings announcements. However, the magnitude of the price reaction initiated by the final dividend announcement seems to be higher than the one by the interim dividend announcement. Research limitations/implications - The observations are not many, although the whole population was included, since there are no data available prior to 1998. Practical implications - The findings are useful to researchers, practitioners and investors who have an interest in firms listed on the ASE for their proper strategic decision making. Originality/value - For the first time, the stock price and trading volume behaviour of firms listed on the ASE around contemporaneous dividend and earnings announcement dates is examined.

The Day of the Week Effect in the Central European Transition Stock Markets

The study examines the presence of the day-of-the-week effect anomaly in the Central European stock markets. We consider the Romanian, Hungarian, Latvian, Czech, Russian, Slovak, Slovenian and Polish stock markets during the period September 22, 1997 to March 29, 2002. Our results indicated that the Czech and Romanian markets have significant negative Monday returns while the Slovenian market has significant positive Wednesday returns and has non-significant negative returns on Fridays. The Polish and Slovak markets have no day-of-the week effect anomaly. We applied the GARCH -M (1,1) model to test whether the day-of-the-week effect is influenced by the stock market risk.

The Relationship between Foreign Direct Investment and Economic Growth: Evidence from Transitional Countries

This paper examines the importance of Foreign Direct Investment (FDI) on economic growth. Using a panel data set for 27 transition economies over the period 1991-2004 as well as the methodology of panel cointegration and causality tests, the empirical findings show that FDI does exhibit a significant relationship with economic growth, at least, for those transition countries that are characterized by high levels of income and have implemented successful privatization programs.

The impact of dividend initiations on Greek listed firms’ wealth and volatility across information environments

Purpose - The purpose of this paper is to investigate the impact of dividend initiations on shareholders’ wealth using a sample of 38 Greek listed firms. Design/methodology/approach - The event study methodology of Brown and Warner was employed to examine the share price reaction to initial dividend announcements across different information environments. Findings - Results show that dividend initiations bring about significant positive abnormal returns in the announcement period. The price response to dividend initiations is inversely associated with the information environment. Finally, the volatility of stock returns is higher in the low information environment group of firms than in the high information environment group of firms. Research limitations/implications - The observations are not many, although the whole population is included, since there are no data available prior to 2000. Practical implications - These findings are useful to researchers, practitioners and investors who have an interest in firms listed on the Athens Stock Exchange (ASE) for their proper strategic decision making. Originality/value - For the first time the stock price behaviour of firms listed on the ASE around dividend initiation announcement dates is examined.

Private and Government Consumption in Transitional Economies: A Panel Data Analysis

This paper investigates the presence of the relationship between private and government consumption through panel data techniques. Using a panel from different transitional countries, from 1990 to 2003, it applies the panel cointegration and causality methodologies. The study finds statistical evidence for a long run relationship between the variables under study. The empirical findings do not support the Ricardian Equivalence, since government consumption affects private consumption negatively in both methodological approaches.

The impact of cross‐listings on the UK and the German stock markets

Purpose - The purpose of this paper is to examine volatility transmissions between portfolios of cross-listed equities and exchange rate differences and also the volatility persistence for home, foreign equities, and exchange rate differences in the UK and German markets. Design/methodology/approach - A primary focus of this paper is to see if there is an impact first on the volatility persistence for foreign equities that are listed in the UK and German markets, second on the respective home portfolios of cross-listed equities, and third on the exchange rate differences. In addition, whether there are any bilateral spillovers between the following equity portfolios: foreign cross-listed equities, home cross-listed equities, and also local or global exchange rate differences are investigated. Findings - The paper finds that the volatility persistence is more prominent than error persistence from cross-listed equities, foreign or home, and the exchange rate differences. Furthermore, the transmission mechanism indicates a bilateral integration process in some of the cases that were examined. Based on these results, it is concluded that in the UK market the foreign cross-listings affect less the domestic equities compared to the German market. Originality/value - This paper examines the interdependence of portfolios of home and foreign equities for cross-listings that belong to the same stock exchange with two exchange rates, a local and a global one in order to provide more evidence in this area of literature.

The performance of equity mutual funds in Poland

This paper investigates the performance of equity mutual funds in Poland, by determining the indices of Sharpe, Treynor and Jensens Alpha for each fund and for the market index WIG for the period 2004-2007. Our results indicated that the funds performed very well in 2005. However during the next two years and especially in 2007, the performance decreased significantly. Probably, the real estate and mortgage crisis in the USA and the European markets, as well as the oil price increase affected all the economies worldwide, including Poland.