Emmanouil G. Pyrgiotakis

• PhD
• Lecturer at University of Essex

We examine the association between loan portfolio concentration, competition and stock price crash risk in the US banking industry. We find that during economic downturns, banks with poorly diversified loan portfolios that operate in competitive markets are more likely to crash. Importantly, we show that this link is channelled through aggressive e...

We combine machine learning algorithms (ML) with textual analysis techniques to forecast bank stock returns. Our textual features are derived from press releases of the Federal Open Market Committee (FOMC). We show that ML models produce more accurate out-of-sample predictions than OLS regressions, and that textual features can be more informative...

This study investigates the relationship between the culture of secrecy and stock price comovement using a large sample of firms in 49 countries over the period 1990 to 2019. We find that stock prices in secretive societies comove more than stock prices in less secretive societies. This higher comovement occurs primarily because idiosyncratic volat...

This study examines the association between the culturally endorsed charismatic leadership style in a society and stock price crash risk. The results reveal a positive and statistically significant association, providing support to the arguments about the dark-side view of charismatic leadership. This finding remains robust to the inclusion of vari...

We use a comprehensive cross-country sample to investigate whether and how the country-level social capital influences the firm-level stock price crash risk. We document a negative and statistically significant effect, which is robust to various tests including IV estimations that account for endogeneity concerns. When we disaggregate social capita...

This paper investigates the role of textual information in a U.S. bank merger prediction task. Our intuition behind this approach is that text could reduce bank opacity and allow us to understand better the strategic options of banking firms. We retrieve textual information from bank annual reports using a sample of 9,207 U.S. bank-year observation...

This paper investigates the role of textual information in a U.S. bank merger prediction task. Our intuition behind this approach is that text could reduce bank opacity and allow us to understand better the strategic options of banking firms. We retrieve textual information from bank annual reports using a sample of 9,207 U.S. bank-year observation...

This paper investigates the role of textual information in a U.S. bank merger prediction task. Our intuition behind this approach is that text could reduce bank opacity and allow us to understand better the strategic options of banking firms. We retrieve textual information from bank annual reports using a sample of 9,207 U.S. bank-year observation...

This paper reexamines the impact of the EU Market Abuse Directive (MAD) on the market reaction around share repurchase announcements. We use a unique hand-collected dataset of firms listed on the Athens Stock Exchange, and we find evidence that contrasts with previous conclusions for large European economies. The implementation of the MAD is follow...

Abstract: This paper analyses the value creation of European bank M&As in 1998-2016. After 2008, the European banking market experienced structural changes, in the form of increased market concentration and decreased competition. We show that during this period, bidding banks’ shareholders gained approximately $34 million around the announcement da...

This study examines the predictive power of textual information from S-1 filings in explaining IPO underpricing. The author’s approach differs from previous research, as they utilize several machine learning algorithms to predict whether an IPO will be underpriced or not, as well as the magnitude of the underpricing. Using a sample of 2,481 U.S. IP...

In this study, we examine whether and to what extent, U.S. firms adjust their ESG scores with respect to climate policy uncertainty. Our baseline findings indicate that firms significantly increase their ESG scores in times of high uncertainty regarding the climate. Furthermore, this increase is evident in all three ESG components, namely, environm...

We analyze the impact of the Dodd-Frank Act on the shareholder wealth gains using a sample of 640 completed U.S. M&As announced between 1990 and 2014. Our results indicate a positive DFA effect on announcement period abnormal returns in small bank mergers. In fact, mergers with combined firm assets of less than $10 billion create more shareholder v...

We analyze the impact of the Dodd-Frank Act on the shareholder wealth gains using a sample of 640 completed U.S. M&As announced between 1990 and 2014. Our results indicate a positive DFA effect on announcement period abnormal returns in small bank mergers. In fact, mergers with combined firm assets of less than $10 billion create more shareholder v...

In this paper, we use the sentiment of annual reports to gauge the likelihood of a bank to participate in a merger transaction. We conduct our analysis on a sample of annual reports of listed U.S. banks over the period 1997 to 2015, using the Loughran and McDonald’s lists of positive and negative words for our textual analysis. We find that a highe...

In this paper, we use the sentiment of annual reports to gauge the likelihood of a bank to participate in a merger transaction. We conduct our analysis on a sample of annual reports of listed U.S. banks over the period 1997 to 2015, using the Loughran and McDonald's lists of positive and negative words for our textual analysis. We find that a highe...

We extend the U.S. bank M&As literature by examining bidder announcement abnormal returns in deals involving both public and private targets over a 32-years examination period. Our main findings document the existence of a listing effect in our sample. Banks gain when they acquire private firms and lose when they acquire public firms. Gains in priv...

We extend the U.S. bank M&As literature by examining bidder announcement abnormal returns in deals involving both public and private targets over a 32-years examination period. Our main findings document the existence of a listing effect in our sample. Banks gain when they acquire private firms and lose when they acquire public firms. Gains in priv...

This paper re-examines the impact of the EU Market Abuse Directive (MAD) on the market reaction around share repurchase announcements. We use a unique hand-collected dataset of firms listed on the Athens Stock Exchange, and we find evidence that contrasts with previous conclusions for large European economies. The implementation of the MAD is follo...

This study reexamines Dubofsky’s (1992) limit order adjustment hypothesis via an intraday analysis of minute-by-minute trade and quote data recorded on the ex-dividend days of common stocks listed on the NYSE, AMEX, and NASDAQ. According to Dubofsky’s (1992) model, the asymmetric adjustment of open limit orders for cash dividend payments under NYSE...

This study reexamines Dubofsky’s (1992) limit order adjustment hypothesis via an intraday analysis of minute-by-minute trade and quote data recorded on the ex-dividend days of common stocks listed on the NYSE, AMEX, and NASDAQ. According to Dubofsky’s (1992) model, the asymmetric adjustment of open limit orders for cash dividend payments under NYSE...