George Nishiotis

University of Cyprus · Department of Accounting and Finance

Using the universe of Business Development Companies (BDCs), a unique publicly traded segment of U.S. Private Equity (PE), for the period 1998-2017 we provide the first in depth examination of their performance and risk adjusted characteristics and compare our results to contrasting evidence derived from recently developed time series proxies for u...

Using a newly-introduced, semester-long, university course on financial education in a country of low financial literacy, we find evidence of financial knowledge spillovers from students to their parents. We measure the financial knowledge score of students and parents, before and after the introduction of the course, using both a treatment and a c...

This paper examines the trading behavior of individual investors using a proprietary intraday dataset of a large pool of retail investor aggregate (minute by minute) long and short positions in EUR/USD for the period July 2014 to April 2016. Standard event study analysis shows no significant adjustment in trading ahead of scheduled macro news annou...

Using monthly data from 1996 to 2018 for the universe of single country closed-end funds, we study the information content of fund discounts/premiums. Unlike previous studies, we find that discounts/premiums forecast both share price (SP) and net asset value (NAV) returns. Additional tests show that the fund discounts/premiums contain information a...

We investigate the link between stock and options markets during the 2008 U.S. short sale ban. First, we find definitive evidence that the ban indeed caused stock overvaluation. Second, we show that the short sale ban caused a significant increase in put-call parity violations only in the direction of the short sale constraints and it significantly...

Using a sample of equity closed-end funds, we document significant portfolio holdings disclosure valuation effects and strategic disclosure timing by portfolio managers. An event study analysis reveals statistically significant positive (negative) abnormal returns associated with early (late) disclosure. We find that the returns of a long-short arb...

Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we show local currency depreciations ahead of unscheduled, public sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower institutional quality countries and holds after we control for...

Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we document local currency depreciations ahead of unscheduled, public, sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower institutional quality countries and holds after we contro...

In June 2013, as a result of EU regulation No 462/2013 of the European Parliament and of the Council (EU, 2013) sovereign rating announcements became scheduled events. Reasons included, among others, making the information transmission process from CRAs to local governments safer, preventing leakage of information documented in the literature. Mich...

This paper presents an analysis of U.S. and foreign closed-end equity funds that specifically examines the liquidity of the fund's holdings and tests all the major explanations for the observed premium/discount of these funds. We document results that are most consistent with a liquidity based theoretical model of Cherkes, Sagi, and Stanton (2009)...

Rating agencies consult with local government officials several days prior to official announcements of sovereign debt rating changes, making information leakage likely. Using cross-country data from 1988 to 2012, we find evidence of information leakage. In particular, we find statistically and economically significant negative daily abnormal stock...

The Cypriot banking system has suffered a severe blow last Friday night, after the results of the Eurogroup meeting were announced. Life in the banking system is different since Saturday morning: solutions that were feasible until last Friday (e.g. bank resolutions) might not be feasible this week due to capital flight risk. Moreover, the economics...

We use an event-study methodology to analyze the e¤ect of sovereign debt rating changes on daily stock market returns around the world. We …nd evidence that the stock market moves before the public announcement of a sovereign rating downgrade, resulting in a statistically and economically signi…cant abnormal market reaction prior to the event. Usin...

Using a large sample of international firms we investigate the corporate decisions to voluntarily adopt International Accounting Standards (IAS/IFRS), and to cross-list in the US. We jointly examine these globalization decisions by employing a multinomial logistic model, and use this framework to correct for selection bias in our valuation analysis...

Closed end funds are puzzling because they often trade at a discount to net asset value. Explanations for this pricing anomaly extend to investor sentiment (Lee et al., 1991), agency costs, or liquidity costs (Pontiff, 1996). This study will examine a unique sample of 40 emerging/developed market funds (that trade at discounts of more than -20\%) a...

Using the put-call parity no-arbitrage relation we empirically investigate the link between stock and options markets for the period around the 2008 short sale ban in the US. We document a significant increase in the magnitude of put-call parity violations in the direction of short sale constraints during the ban period relative to both the pre- an...

Using a unique international setting where the effects of disclosure on firm value can be measured in a constant regulatory environment and in isolation of other confounding factors, this paper shows that firms can increase their value through their choice of accounting standards. Specifically, we document strong positive abnormal returns at the an...

This paper examines the possible sources of valuation benefits of cross-listing. We exploit the unique features of the organizational structure of the London Stock Exchange in order to isolate the effects of information based explanations like bonding and signaling. Up until 2004, foreign firms could be exchanged in the Overseas Segment of the Lond...

"It is well known that cross-listing domestic stocks in foreign exchanges has significant valuation effects on the listed company's shares. Using a sample of firms with dual shares, we explore the differential effects of cross-listing on prices and we are able to separate the different sources of the benefits of cross-listing. These sources include...

Using cointegration analysis I establish a long-run relationship between country fund premiums and international capital flows in six out of 10 emerging markets and in two out of seven developed markets examined. This relationship is explored to derive an intuitive measure of capital market segmentation that accounts for investment barriers and doe...

Using monthly data from 1989 to 2001 for a sample of ten emerging market closed-end funds, we study the time-series relationship between fund discounts/premiums and future net asset value (NAV) and share price (SP) returns. Unlike previous studies, we find that discounts/premiums forecast both SP and NAV returns with the forecasting power of the la...

This paper documents a positive, statistically and economically significant effect of increased disclosure, in general, and IAS adoption, in particular, on firm value. We find strong positive abnormal returns at the announcement of IAS adoption and an economically significant long-run reduction in the cost of capital. This result is consistent with...

Using a sample of emerging market closed-end funds, I find evidence that indirect investment barriers exert powerful effects, opposite to the effects of capital controls, on asset pricing differences across countries. I show that not only do indirect investment barriers contribute to international capital market segmentation, but they can lead to s...

Using a large sample of international firms we find that firms that voluntarily adopt International Accounting Standards (IAS) and firms that cross-list on US exchanges have a significantly higher Tobin's q than firms that do neither. Thus, we document a significant disclosure premium and reconfirm the cross-listing premium in Doidge et al. (2004)....

Chapter one, analyzes the effect of both direct and indirect barriers on international asset pricing using evidence from the price-net asset value ratio of closed-end country funds. I find that, contrary to conventional beliefs, capital controls (direct barriers) do not necessarily result in premium in the country fund prices. In fact, in the prese...