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Vasilios I. Sogiakas
University of Glasgow
17Publications
3H-index
29Citations
Publications 17
Newest
#1Konstantinos Konstantaras (University of Gloucestershire)
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
This paper investigates the value successful bidders generate from acquiring less liquid targets. This synergy is traced with both theoretical and empirical evidence from the squeeze-out stage of going private transactions, when bidders hold sizeable toeholds in target shares. By transferring their superior liquidity, acquirers can add value to the valuation of their toeholds in fully acquired target assets. We use a sample of US delisted targets from globally listed acquirers over 25 years, and...
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#1Stephanos Papadamou (UTH: University of Thessaly)H-Index: 14
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
This paper investigates the informational content of unconventional monetary policies and its effect on commodity markets, adopting a nonlinear approach for modeling volatility. The main question addressed is how the Bank of England, Bank of Japan, and European Central Bank's (ECB's) announcements concerning monetary easing affect two major commodities: gold and silver. Our empirical evidence based on daily and high-frequency data suggests that relevant information causes ambiguous valuation adj...
2 CitationsSource
#1Antonios Georgopoulos (University of Patras)H-Index: 7
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
Last.Ioannis Dionysios Salavrakos (UoA: National and Kapodistrian University of Athens)H-Index: 1
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Research on investment development path (IDP) primarily focuses on conventional FDI. Instead, our study extends the IDP to explore foreign divestment within the European integration process approaching foreign divestment risk as the outcome of an interaction between regional integration and economic development. This is the main contribution of the study. In particular, the paper explores divestment risk when the emerging economy of Greece enters the single market which is considered as a crucia...
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#1Ronald MacDonald (Glas.: University of Glasgow)H-Index: 49
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
Last.Andreas Tsopanakis (Cardiff University)H-Index: 3
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The Eurozone crisis is one the most important economic event in recent years. At its peak, the effects of the crisis have put at serious risk the outcome of the euro project, exposing the inherent weaknesses and vulnerabilities of the monetary union. As the degree of economic and financial integration of these countries is significant, we aim to investigate in details the potential cross-covariance and spillover effects between the Eurozone economies and financial markets. In order to do this, w...
10 CitationsSource
#1Serdar Neslihanoglu (Eskişehir Osmangazi University)
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
Last.Duncan Lee (Glas.: University of Glasgow)H-Index: 15
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This paper examines the forecasting ability of the nonlinear specifications of the market model. We propose a conditional two-moment market model with a time-varying systematic covariance (beta) risk in the form of a mean reverting process of the state-space model via the Kalman filter algorithm. In addition, we account for the systematic component of co-skewness and co-kurtosis by considering higher moments. The analysis is implemented using data from the stock indices of several developed and ...
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#1Konstantinos Konstantaras (Heriot-Watt University)
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
This paper investigates the value successful bidders generate from acquiring less liquid targets. This synergy is traced with both theoretical and empirical evidence from the squeeze-out stage of going private transactions, when bidders hold sizeable toeholds in target shares. On one side, via liquidity transferring, acquirers can effectively transfer their thinner liquidity discount on the valuation of their toeholds in fully acquired target assets. On the other, their long-run stock liquidity ...
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#1Ronald MacDonald (Glas.: University of Glasgow)H-Index: 49
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
Last.Andreas Tsopanakis (University of Salford)H-Index: 3
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One of the most challenging issues that economists are dealing with is the investigation of the financial turmoil in Eurozone economies. Particularly, the issue of exposing the potential crisis transmission channels has attracted considerable interest. Aiming to contribute to this literature, we construct financial stress indices on a country level and explore further the potential inter-reactions between the root causes of systemic risk. The country-specific index consists of a wide number of s...
7 CitationsSource
#1Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
#2George Karathanassis (OPA: Athens University of Economics and Business)H-Index: 5
Derivatives markets produce the means for price discovery as leading indicators in the transmission of new information. Examining volatility spillovers between spot and derivatives markets without accounting for possible disequilibria in the long term relationship could potentially result in spurious spillover effects. Our paper aims to contribute in this literature by controlling for possible disturbances in the long-run equilibrium relationship between the two markets. By application of a regi...
5 CitationsSource
#2Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
During the last decades the investigation of liquidity has attracted the interest of many researchers and practitioners. Liquidity plays a pivotal role in the determination of the risk-return trade-off of securities, comprising several aspects of trading such as transaction cost, trading activity and price impact, leading more often than usual to an ambiguous risk-return foundation, on an asset pricing framework.This paper empirically investigates the most important liquidity components and aims...
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#1Vasilios I. Sogiakas (Glas.: University of Glasgow)H-Index: 3
#2Konstantinos Konstantaras (Heriot-Watt University)
Last.Evangelos Vagenas-Nanos (Glas.: University of Glasgow)H-Index: 5
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A long criticism on the usefulness of the traditional CAPM model has been raised in the vast literature of arbitrage pricing models that propose several risk factors on firm fundamentals or investigate the stochastic properties of stock returns’ distributions, (Fama and French (2004)). However, our paper provides evidence of misspecification issues in the empirical formulations of most of these multifactor models. We reveal that existing self-financing strategies on size, value, momentum, liquid...
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