Evaluation of inequivalent projections of Hadamard matrices of order 24

Screening designs are useful for situations where a large number of factors (q) is examined but only few (k) of these are expected to be important. It is of practical interest for a given k to know all the inequivalent projections of the design into the k dimensions. In this paper we give all the (combinatorially) inequivalent projections of inequivalent Hadamard matrices of order 24 into k=3,4 and 5 dimensions, as well as their frequencies. Then, we sort these projections according to their generalized resolution, generalized aberration and centered L₂-discrepancy measure of uniformity. Then, we study the hidden projection properties of these designs as they are introduced by Wang and Wu (1995). The hidden projection property suggests that complex aliasing allows some interactions to be estimated without making additional runs.     

Forecasting European economic policy uncertainty

Forecasting the economic policy uncertainty in Europe is of paramount importance given the ongoing sovereign debt crisis. This paper evaluates monthly economic policy uncertainty index forecasts and examines whether ultra‐high frequency information from asset market volatilities and global economic uncertainty can improve the forecasts relatively to the no‐change forecast. The results show that the global economic policy uncertainty provides the highest predictive gains, followed by the European and US stock market realized volatilities. In addition, the European stock market implied volatility index is shown to be an important predictor of the economic policy uncertainty.     

Long‐term Performance of Greek IPOs

We analyse the long‐run performance of 254 Greek IPOs that were listed during the period 1994–2002, computing buy‐and‐hold abnormal returns (BHAR) and cumulative abnormal returns (CAR) over 36 months of secondary market performance. The empirical results differ from international evidence and reveal long‐term overperformance that continues for a substantial interval after listing. Measuring these returns in calendar time, we find statistical significance with several of the benchmarks employed. We also find that long‐term overperformance is a feature of the mass of IPOs conducted during a pronounced IPO wave. Cross‐sectional regressions of long‐run performance disclose several significant factors. The study demonstrates that although Greek IPOs overperform the market for a longer period, underperformance eventually emerges, in line with much international evidence. Our interpretation is that the persistence of overperformance over a significant interval is due to excessive supply of issues during the ‘hot IPO period’. Results associated with pricing during the ‘hot IPO period’ indicate positive short‐ (1‐year), medium‐ (2‐year) and negative long‐term (3‐year) performance.     

The risk of the sovereign debt default: the Eurozone crisis 2008–2013

We investigate the relationship of the market pricing of sovereign risk to default, through credit default swap (CDS) spreads for 16 Eurozone countries during 2008q1–2013q3. We take into account, through appropriate non-linear generalized method of moments (GMM) estimations the endogeneity problem. We focus on ‘fiscal space’ (DEBT or FISCAL), and the downgrade announcements (DOWN). We find DEBT (FISCAL) to have significant (insignificant) effects on the CDS concave function, as well as, DOWN in a linear one. It has also been confirmed significant pricing discrimination between South and West Euro Area Periphery (SWEAP) and the core Eurozone, highlighting asymmetries discovered either by the respective size of estimated DEBT coefficients or by the significant effects of DOWN that have only on CDS of SWEAP countries. The current account balance or the inflation rate, as well as, relevant interaction terms seem not to affect the spreads of the EMU. These findings, together with the estimated structural change on CDS pattern in early 2011, coinciding with significant either the DOWN in the pre-crisis period (2008–2010) or the DEBT in the post-crisis one (2011–2013) on the CDS, seem to be consistent with self-fulfilling crises literature and the inherent vulnerability of EMU, on other words, the ‘fragility hypothesis of the Eurozone’.     

Is the Cyprus Pound Real Effective Exchange Rate Misaligned? A BEER Approach

Abstract

This paper investigates whether the real effective exchange rate of the Cyprus pound is misaligned by generating measures of the equilibrium rate using the Behavioral Equilibrium Exchange Rate (BEER) approach. Several measures of the equilibrium exchange rate were derived and used to check for the existence of exchange rate misalignment. The results suggest that, during the 1990s, the actual real effective exchange rate and the various equilibrium measures generated move closely together and there is no evidence of any significant and persistent misalignment. However, the empirical evidence suggests persistent overvaluation during the 1980s.     

Injury-related absenteeism and job satisfaction: insights from Greek and UK data

Most of the literature on absenteeism suggest that absence from work is a complex issue influenced by multiple causes, both of personal and of organizational nature. Job satisfaction has also been identified as one of the factors affecting an employee's motivation to work attendance. There is no universal agreement concerning the relationship between absenteeism and job satisfaction. Some research have found no correlation between these two variables, whereas other studies indicate a weak relationship between these two variables. It has also been suggested that absence and job satisfaction might be more strongly related under some conditions, for instance in the case of blue-collar workers. There is a lack of attention in the literature, however, to injury-related absenteeism, which is a particular type of absenteeism. This paper attempts to fill this gap and examines the effect of job satisfaction on injury-related absenteeism by using Greek and UK data. The empirical results suggest that there is a negative relationship between injury-related absenteeism and job satisfaction. The paper also discusses possible policy measures towards reducing injury-related absenteeism.     

Loan underpricing and the provision of merger advisory services

This paper investigates the primary and secondary syndicated bank loan market to analyze the effect on pricing when the financial institution commingles syndicated lending with merger advisory services. In particular, we investigate the connection between the acquirer’s choice of financial advisor in a merger and future financing commitments. We find evidence of underpricing of syndicated bank loans in both the primary and secondary market. In the primary market, we show that non-acquisition loans granted by merger advisors to acquiring firms after the merger announcement date are charged a lower all-in-spread relative to acquisition loans if there has been a prior lending relationship. Consistent with this finding, we find that syndicated bank loans for non-acquisition purposes arranged by the acquirer’s advisor after the merger announcement date trade in the secondary market at a significant discount. Since the terms on these non-acquisition loans are not set upon merger announcement, they are most subject to risk shifting and underpricing agency problems. These findings offer evidence consistent with the existence of loss leader and potentially conflicted loans (priced at below-market terms) that are offered by the acquirer’s relationship bank advisor in order to win merger advisory business.     

Research Joint Ventures

Abstract.  Inter-firm collaboration is not new. What is new is that such collaboration has exploded during the past couple of decades, in parallel to the intensification of international competition. Moreover, the nature of collaboration has changed, shifting from peripheral interests to the very core functions of the corporation, and from equity to non-equity forms of collaboration. Importantly, cooperation focusing on the generation, exchange, and/or adaptation of new technologies has risen at very fast rates. Research joint ventures, the focus of this paper, belong in the latter category.
The proliferation of RJVs has created extensive interest among economists, business analysts, and policy decision-makers and led to the profusion of literature on the topic. This paper critically reviews the literature in industrial economics and strategic management that deals with RJV partner motives and RJV outcomes. The paper categorizes the different streams of this literature and indicates the state-of-the-art, synthesizes important understandings, and suggests key nodes of a future research agenda.     

The share of small and medium-sized enterprise in Greek manufacturing

This paper examines the determinants of small establishment shares in Greek manufacturing and compares the results to previous findings for U.S. small firms. Two groups of explanatory variables are used: Industry variables and small-firm performance variables. Both types of variables are found to have an impact on the determination of small firms shares, with performance variables being at least as strong as industry variables. Measures of entry barriers give mixed results. Capital intensity exercizes an expected negative impact. Advertising intensity shows a trace of positive impact for medium-sized establishments in consumer goods sectors. Operating efficiency of small firms also appears as a strong influence on their shares whereas investment intensity does not appear significant. These results are in partial agreement to earlier findings for U.S. small firms. Their generality is tempered both by the fact that they come from a small country of middle level of development and by the recognition that the year of observation (1983) was at the start of Greece's industrial adjustment to entry in the EEC. Both these concerns constitute areas of future research.