Papers by Panayiotis Theodossiou
The economy of Cyprus was barely affected by the U.S. subprime mortgage debacle. The economic cri... more The economy of Cyprus was barely affected by the U.S. subprime mortgage debacle. The economic crisis in Cyprus was initially driven by fiscal mismanagement and subsequently by the failure of the government and its regulatory branches to monitor the imprudent behavior and risky investment actions of top executives in the banking sector. That is, banking executives run amok due to poor monitoring leading to severe agency problems in the Cypriot banking industry. The economic effects of the first capital-controlled bail-in in the EU in 2013 temporarily hobbled the real economy and the banking sector of Cyprus. Nevertheless, in less than five years, the economy of Cyprus recovered almost fully. This paper provides an economic analysis of the macroeconomic, banking and political events that led to the economic collapse in Cyprus. We also cover the interim period between collapse and recovery. The Cyprus case is an opportunity for European economic agents and regulators to
learn how to avoid bail-in and welfare bloat. Studying Cyprus helps the reader
see the most troubling cracks in the foundations of the European Fortress
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Social Science Research Network, 2024
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Managerial and Decision Economics, Mar 1, 1994
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The Financial Review, May 1, 1994
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Social Science Research Network, 2021
This paper introduces a two-piece generalized distributional framework based on some minimum requ... more This paper introduces a two-piece generalized distributional framework based on some minimum requirements for the probability density function used as the basis for the two-way split. These requirements are symmetricity, unimodality and continuity. The basic characteristics of the two-piece generalized distribution are discussed and its moments including the Pearson’s mode of skewness and moment coefficients of skewness and kurtosis are derived. The results are useful to researchers using these distributions in empirical and theoretical studies, as well as students taking courses in mathematical and applied statistics and econometrics.
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Social Science Research Network, 2000
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Journal of Business Finance & Accounting, Mar 1, 1995
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Management Science, Dec 1, 1998
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Communications in Statistics, May 15, 2020
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Global Finance Journal, 1994
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Managerial Finance, May 1, 1994
ABSTRACT
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Journal of Economics and Business, Aug 1, 1991
ABSTRACT
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Journal of Business Finance & Accounting, Sep 1, 1991
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Social Science Research Network, 2019
Stock returns are decomposed into their regular and outlier components using a maximum likelihood... more Stock returns are decomposed into their regular and outlier components using a maximum likelihood outlier resistant estimation method. Analytical results depicting the impact of outliers on the OLS estimated models and CAR statistics are derived and validated using Monte Carlo simulations. The implications of outliers for past event studies are investigated using samples drawn randomly from the universe of stocks in the CRSP database. The OLS-CAR statistics fail to forecast about 37% of the negative impact and 43% of the positive impact events. These results raise serious concerns about the validity of conclusions of past event studies, especially those that rejected the hypothesis of significant impact events.
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Managerial Finance, Mar 1, 1993
Several authors have raised the issue of non‐stationarity of security returns in empirical tests ... more Several authors have raised the issue of non‐stationarity of security returns in empirical tests of the Arbitrage Pricing Theory (APT). This paper tests for one form of non‐stationarity, namely, conditional heteroskedasticity, in the empirical APT with observed factors. Using monthly stock returns for the period 1970 to 1988, this paper shows that conditional heteroskedasticity is a pervasive phenomenon leading to inefficient estimates of factor betas. Ignoring the problem may produce erroneous conclusions as to which risk factors require a premium. Furthermore, grouping individual securities into portfolios does not appear to diminish the presence of conditional heteroskedasticity.
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SSRN Electronic Journal
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Journal of Business Finance & Accounting, Jul 1, 1996
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Managerial Finance, Aug 1, 2001
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Journal of Financial Econometrics, 2018
The relationship between risk and expected returns has been investigated extensively in the finan... more The relationship between risk and expected returns has been investigated extensively in the financial economics literature. Theoretical models generally predict a positive relation between the two. Nevertheless, the empirical findings so far have been inconclusive. Using a generalization of the analytical framework developed by Theodossiou and Savva (2016) along with time-varying asymmetry, linked to the upside and downside uncertainty, the risk–return puzzle is investigated across international stock markets. The investigation reveals that the contradictory findings are the result of ignoring the impact of skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive as depicted by finance theory. However, negative skewness results in lowering the total price of risk and in some cases reverting its sign from positive to negative.
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Papers by Panayiotis Theodossiou
learn how to avoid bail-in and welfare bloat. Studying Cyprus helps the reader
see the most troubling cracks in the foundations of the European Fortress
learn how to avoid bail-in and welfare bloat. Studying Cyprus helps the reader
see the most troubling cracks in the foundations of the European Fortress