This paper examines the relation between dividend policy, managerial ownership and debt-financing for a large sample of firms listed on NYSE, AMEX and NASDAQ. In addition to standard parametric estimation methods, we use a semi-parametric approach, which helps capture more effectively...

This study examines the impact of negative skewness to preferences and asset pricing. Furthermore, it shows how intertemporal risk premia can be interpreted as negative skewness. Hence, a new performance measure, the intercept of the Harvey-Siddique two-factor asset pricing model is proposed for...

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 performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors...

We address the empirical implementation of the static asset allocation problem by developing a forward-looking approach that uses information from market option prices. To this end, constant maturity Samp;P 500 implied distributions are extracted and subsequently transformed to the corresponding...

This study examines the incentives in fund management due to the adoption of specific performance measures. A mean-variance measure such as Jensen's alpha incentivizes fund managers to load negative coskewness risk. This risk is shown to be priced in the UK stock market during the period January...

This study examines the expenses' policy of the domestic equity funds in a small emerging market, Greece, with an oligopolistic, bank dominated financial system as it grows to maturity. Constructing a unique dataset of the non-publicly available expense ratios charged by these funds, we examine...

This study examines whether stock market illiquidity forecasts real UK GDP growth using data over the period 1989q1-2012q2. Apart from standard linear model specifications, we also utilize non-linear models, which allow for regime switching behavior in terms of a liquid versus an illiquid market...

We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity measures between 1999-2012. Specifically,...

We develop an empirical framework that links micro-liquidity, macro-liquidity and stock prices. We provide evidence of a strong link between macro-liquidity shocks and the returns of UK stock portfolios constructed on the basis of micro-liquidity measures between 1999- 2012. Specifically,...

This study proposes a new price impact ratio as an alternative to the widely used Amihud’s (2002) Return-to-Volume ratio. We demonstrate that the new price impact ratio, which is deemed Return-to-Turnover ratio, has a number of appealing features. Using daily data from all stocks listed on the...