Tests are made of the stochastic long memory in the Greek stock market, an emerging capital market. The fractional differencing parameter is estimated using the spectral regression method. Contrary to findings for major capital markets, significant and robust evidence of positive long-term...

This paper investigates the existence of a deterministic nonlinear structure in the stock returns of the Athens Stock Exchange (Greece), an emerging capital market. The analysis utilizes the concepts of correlation dimension and Kolmogorov entropy, and it also includes a forecasting experiment....

In this paper, we provide novel evidence of shareholder value creation in European bank M&As. We show that since 2009, bidders realize approximately 3% higher abnormal returns compared to the previous years; the returns being accompanied by significant improvements in long-term profitability....

This study examines the effect of merger momentum on acquirer's returns both in the short and long-run. The focus is on high valuation markets and the source of momentum is investigated employing three different hypotheses: the neoclassical hypothesis, the hubris hypothesis and the investor...

Given the recent theoretical development that documents stock market misvaluations' driven acquisition, this paper examines the relation between 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...

We examine the value effect of working capital management (WCM) for a large sample of US firms between 1982–2011. Our results indicate (i) the existence of an optimal level of working capital policy; and (ii) firms that converge to that optimal level (either by increasing or decreasing their...

This paper examines the link between the causes and effects of mergers and acquisitions. By using a sample of UK acquisitions, which have the distinct characteristics of limited use of stock as means of payment and dominance of private acquisitions, the evidence shows that, on average, there is...

This study investigates the way a crisis spreads within a country and across borders by testing the investor induced contagion hypothesis through the liquidity channel on stock-bond relationships of the US and five European countries before and during the global banking and European sovereign...