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Article
Publication date: 7 April 2021

Athanasios Fassas, Sotirios Bellos and George Kladakis

The purpose of this study is to assess the management responses and intentions of 3,279 US firms from all industries, before and after the coronavirus outbreak, to…

Abstract

Purpose

The purpose of this study is to assess the management responses and intentions of 3,279 US firms from all industries, before and after the coronavirus outbreak, to identify the level of managerial concern about specific financial issues and potential economic costs of the COVID-19 pandemic.

Design/methodology/approach

This paper uses textual analysis of official management reports to search for specific single words in five domains related to corporate finance and governance. This paper focuses on the relative frequency of single words using a weighting scheme that adjusts for document length and for the inverse document frequency. This paper then uses t-tests to investigate the univariate differences across groups of reports before and after the US stock market crash in February 2020.

Findings

The applied textual and empirical analysis provides evidence that firms’ primary concerns relate to the disruption in supply chains, liquidity need and coronavirus-led recession. This paper also shows that the main cost reduction measure they are considering is salary reduction, rather than workforce reduction. This paper also shows evidence that firm managers are rather swift to provide coronavirus-related information in the US Securities and Exchange Commission (SEC) corporate filings.

Practical implications

The findings provide a primary view of the directions, on which US firms will move in the near future, and thus, they can be used as tools for the formulation of appropriate government policies in the corresponding sectors, which could mitigate the economic risks related to the pandemic. At the business level, the disseminated knowledge can assist firms either in the same sector or in similar/related sectors to “locate” themselves within the map of the pandemic and to adjust or align correspondingly their strategies and decisions as they will have a view of the bigger picture.

Originality/value

The empirical analysis divulges US firms’ management primary concerns after the COVID-19 outbreak, and thus, offers insights to the processes taking place in the US business community and the formulating new corporate and economic reality.

Details

Corporate Governance: The International Journal of Business in Society, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1472-0701

Keywords

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Article
Publication date: 21 August 2019

Athanasios Fassas, Stephanos Papadamou and Dionisis Philippas

The purpose of this paper is to examine the spillover effects in international financial markets related to investors’ risk aversion as proxied by the variance premium…

Abstract

Purpose

The purpose of this paper is to examine the spillover effects in international financial markets related to investors’ risk aversion as proxied by the variance premium, and how these relationships were affected by the quantitative easing (QE) announcements by the Federal Reserve.

Design/methodology/approach

The empirical analysis employs a multivariate exponential generalized autoregressive conditionally heteroskedastic (VAR-EGARCH) specification, which includes the USA, the UK, Germany, France and Switzerland.

Findings

Two main findings are raised from the empirical analysis. First, the VAR-EGARCH model identifies statistically significant spillover effects identifying the USA as the leading source driving investors’ risk aversion. Second, unconventional monetary easing announcement by the Fed has had significant effects on investors’ risk perspectives.

Practical implications

Accounting for the dynamic volatility of variance premium inter-dependencies, the authors show that the correlations among variance premia increase during the QE announcements by the Federal Reserve, suggesting a herding behavior that may potentially lead to stock price bubbles and undermine financial stability.

Originality/value

This is an empirical attempt that investigates the unexplored effects of unconventional monetary policy decisions in relation with investors’ attitudes toward risk.

Details

Review of Behavioral Finance, vol. 12 no. 2
Type: Research Article
ISSN: 1940-5979

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Article
Publication date: 21 January 2021

Athanasios Fassas, Stephanos Papadamou and Dimitrios Kenourgios

This study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological…

Abstract

Purpose

This study examines the forecasting performance of the professional analysts participating in the Blue Chip Economic Indicators Survey using an alternative methodological research design.

Design/methodology/approach

This work employs two methodologies, namely a panel specification, with the cross-section being the forecast horizon (from 1-month to 18-months ahead forecasts) and the time period being the time that the forecast was made and a quantile regression technique, which evaluates the hidden nonmonotonic relations between the forecasts and the target variables being forecasted.

Findings

The empirical findings of this study show that survey-based forecasts of certain key macroeconomic variables are generally biased but still efficient predictors of target variables. In particular, we find that survey participants are more efficient in predicting long-term interest rates in the long-run and short-term interest rates in the short run, while the predictability of medium-term interest rates is the least accurate. Finally, our empirical analysis suggests that currency fluctuations are very hard to predict in the short run, while we show that survey-based forecasts are among the most accurate predictors of GDP deflator and growth.

Practical implications

Evaluating the accuracy of economic forecasts is critical since market participants and policymakers utilize such data (as one of several inputs) for making investment, financial and policy decisions. Therefore, the quality of a decision depends, in part, on the quality of the forecast. Our empirical results should have immediate implications for asset pricing models that use interest rates and inflation forecasts as variables.

Originality/value

The present study marks a methodological departure from existing empirical attempts as it proposes a simpler yet powerful approach in order to investigate the efficiency of professional forecasts. The employed empirical specifications enable market participants to investigate the information content of forecasts over different forecast horizons and the temporal evolution of forecast quality.

Details

Journal of Economic Studies, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0144-3585

Keywords

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Article
Publication date: 1 July 2020

Sercan Demiralay, Nikolaos Hourvouliades and Athanasios Fassas

This paper aims to examine dynamic equicorrelations (DECO) and directional volatility spillover effects among four energy futures markets, namely, West Texas Intermediate…

Abstract

Purpose

This paper aims to examine dynamic equicorrelations (DECO) and directional volatility spillover effects among four energy futures markets, namely, West Texas Intermediate crude oil, heating oil, natural gas and reformulated blendstock for oxygenate blending gasoline, by using a multivariate fractionally integrated asymmetric power ARCH–DECO–generalized autoregressive conditional heteroskedasticity (GARCH) model and the spillover index technique.

Design/methodology/approach

The empirical analysis uses the dynamic equicorrelation model of Engle and Kelly (2012) to examine time-varying correlations at equilibrium. The authors further analyze dynamic volatility transmission among energy futures by using Diebold and Yilmaz (2012) dynamic spillover index based on generalized value-at-risk framework.

Findings

The empirical results provide evidence of heightened equicorrelations at times of financial turmoil. More specifically, the dynamic spillover analysis shows that volatility is transmitted predominantly from crude oil to the other markets and risk transfer among four markets exhibits asymmetries. Spillovers are found to be highly responsive to dramatic events such as the 9/11 terror attack, 2008–2009 global financial crisis and 2014–2016 oil glut.

Practical implications

The results of this study have important practical implications for investors, portfolio managers and energy policymakers as the presence of time-varying co-movements and spillovers suggests the need for dynamic trading strategies. There are also implications regarding risk management practices, as there is evidence of increased volatility transmission at times of financial turmoil and uncertainty. Finally, the results provide insights to policymakers in a better understanding of the spillover dynamics.

Originality/value

This paper investigates the DECOs and spillover effects among crude oil, natural gas, heating oil and gasoline futures markets. To the best of the knowledge, this is one of a few studies that examine co-movements and risk transfer in energy futures in a comprehensive framework.

Details

Studies in Economics and Finance, vol. 37 no. 4
Type: Research Article
ISSN: 1086-7376

Keywords

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