Outputs (30)

Firm-level pollution and membership of emission trading schemes (2024)
Journal Article
Adamolekun, G., Adedoyin, F. F., & Siganos, A. (2024). Firm-level pollution and membership of emission trading schemes. Journal of Environmental Management, 351, Article 119970. https://doi.org/10.1016/j.jenvman.2023.119970

Several firms have joined emission trading schemes in response to the call for corporate climate action. Using a comprehensive international data set on corporate membership of emission trading schemes (ETSs), we find that members of the scheme emit... Read More about Firm-level pollution and membership of emission trading schemes.

Climate theory & managerial decisions on cross-border mergers (2023)
Journal Article
Siganos, A. (2024). Climate theory & managerial decisions on cross-border mergers. British Accounting Review, 56(1), Article 101260. https://doi.org/10.1016/j.bar.2023.101260

We explore the significance of climate theory concerning managerial decisions in cross-border mergers. We report that temperature offers a good familiarity proxy showing that country pairs that experience little (large) distance in temperature experi... Read More about Climate theory & managerial decisions on cross-border mergers.

International Music Preferences as a Measure of Culture: Evidence from Cross-Border Mergers (2023)
Journal Article
Siganos, A. (2024). International Music Preferences as a Measure of Culture: Evidence from Cross-Border Mergers. European Journal of Finance, 30(3), 288-304. https://doi.org/10.1080/1351847X.2023.2215836

This paper introduces the significance of international music preferences as a determinant of cross-border mergers. We argue that international music preferences capture the distance in culture between nations. We find that country pairs whose citize... Read More about International Music Preferences as a Measure of Culture: Evidence from Cross-Border Mergers.

Does the Stock Market Influence Investor Everyday Decisions? The Case of Parking Violations (2022)
Journal Article
Siganos, A. (2022). Does the Stock Market Influence Investor Everyday Decisions? The Case of Parking Violations. International Review of Financial Analysis, 82, Article 102164. https://doi.org/10.1016/j.irfa.2022.102164

We explore in this study whether stock market returns influence investor decisions in their everyday life. We find that past and contemporaneous US stock market returns are related negatively to the registered number of parking violations in New York... Read More about Does the Stock Market Influence Investor Everyday Decisions? The Case of Parking Violations.

I only fear when I hear: How media affects insider trading in takeover targets (2022)
Journal Article
Aleksanyan, M., Danbolt, J., Siganos, A., & Wu, B. (2022). I only fear when I hear: How media affects insider trading in takeover targets. Journal of Empirical Finance, 67, 318-342. https://doi.org/10.1016/j.jempfin.2022.04.004

We study how target firm insiders respond to Wall Street Journal articles referring to illegal insider trading in past mergers. Such articles lead to target insider share purchases before bid announcement to drop by 75%. This effect is stronger neare... Read More about I only fear when I hear: How media affects insider trading in takeover targets.

Effects of Financial Constraints and Product Market Competition on Share Repurchases (2021)
Journal Article
Gyimah, D., Siganos, A., & Veld, C. (2021). Effects of Financial Constraints and Product Market Competition on Share Repurchases. Journal of International Financial Markets, Institutions and Money, 74, Article 101392. https://doi.org/10.1016/j.intfin.2021

This study explores the importance of financial constraints and product market competition on the share repurchase decision. We find that financially constrained firms are more likely to conduct debt-financed share repurchases. Financially unconstrai... Read More about Effects of Financial Constraints and Product Market Competition on Share Repurchases.

Guest editor networking in special issues (2021)
Journal Article
Siganos, A. (2021). Guest editor networking in special issues. International Review of Financial Analysis, 76, https://doi.org/10.1016/j.irfa.2021.101770

This study explores the significance of academic networking when publishing on special issues. We find that in comparison to the main editors, guest editors publish more often papers that share networking with their authors. We explore several proxie... Read More about Guest editor networking in special issues.

A novel measure of sleep based on Google: the case for financial markets (2020)
Journal Article
Siganos, A. (2021). A novel measure of sleep based on Google: the case for financial markets. European Journal of Finance, 27(12), 1151-1163. https://doi.org/10.1080/1351847x.2020.1857289

We address in this study the issue of how to proxy sleep and explore sleep’s significance for financial markets. We employ daily Google search activity on sleepiness terms (e.g. sleep deprivation) to develop an index and find that a one-day lagged sl... Read More about A novel measure of sleep based on Google: the case for financial markets.

Capturing the role of societal affinity in cross-border mergers with the Eurovision Song Contest (2019)
Journal Article
Siganos, A., & Tabner, I. T. (2020). Capturing the role of societal affinity in cross-border mergers with the Eurovision Song Contest. Journal of International Business Studies, 51(2), 263-273. https://doi.org/10.1057/s41267-019-00271-3

This paper demonstrates the effectiveness of voting bias in the Eurovision Song Contest as a means of capturing societal affinity. More than 180 million viewers from more than 40 countries watch the Eurovision Song Contest every year and vote for the... Read More about Capturing the role of societal affinity in cross-border mergers with the Eurovision Song Contest.

The daylight saving time anomaly in relation to firms targeted for mergers (2019)
Journal Article
Siganos, A. (2019). The daylight saving time anomaly in relation to firms targeted for mergers. Journal of Banking and Finance, 105, 36-43. https://doi.org/10.1016/j.jbankfin.2019.05.014

This paper finds evidence that daylight saving time changes influence the decision-making of investors when trading in firms targeted for mergers. We find that investors who face imbalances in their circadian cycle generate more positive abnormal sto... Read More about The daylight saving time anomaly in relation to firms targeted for mergers.

Divergence of sentiment and stock market trading (2017)
Journal Article
Siganos, A., Vagenas-Nanos, E., & Verwijmeren, P. (2017). Divergence of sentiment and stock market trading. Journal of Banking and Finance, 78, 130-141. https://doi.org/10.1016/j.jbankfin.2017.02.005

This paper introduces the concept of divergence of sentiment to the behavioral finance literature. We measure the distance between people with positive and negative sentiment on a daily basis for 20 countries by using data from status updates on Face... Read More about Divergence of sentiment and stock market trading.

Bank regulation, financial crisis, and the announcement effects of seasoned equity offerings of US commercial banks (2016)
Journal Article
Li, H., Liu, H., Siganos, A., & Zhou, M. (2016). Bank regulation, financial crisis, and the announcement effects of seasoned equity offerings of US commercial banks. Journal of Financial Stability, 25, 37-46. https://doi.org/10.1016/j.jfs.2016.06.007

This paper studies the differences in the announcement effects of seasoned equity offerings (SEOs) of commercial banks and non-banks, and explores the influence of bank regulation and the financial crisis on such differences. We find that abnormal st... Read More about Bank regulation, financial crisis, and the announcement effects of seasoned equity offerings of US commercial banks.

Abnormal Returns from Takeover Prediction Modelling: Challenges and Suggested Investment Strategies (2016)
Journal Article
Danbolt, J., Siganos, A., & Tunyi, A. (2016). Abnormal Returns from Takeover Prediction Modelling: Challenges and Suggested Investment Strategies. Journal of Business Finance and Accounting, 43(1-2), 66-97. https://doi.org/10.1111/jbfa.12179

While takeover targets earn significant abnormal returns, studies tend to find no abnormal returns from investing in predicted takeover targets. In this study, we show that the difficulty of correctly identifying targets ex ante does not fully explai... Read More about Abnormal Returns from Takeover Prediction Modelling: Challenges and Suggested Investment Strategies.

Investor sentiment and bidder announcement abnormal returns (2015)
Journal Article
Danbolt, J., Siganos, A., & Vagenas-Nanos, E. (2015). Investor sentiment and bidder announcement abnormal returns. Journal of Corporate Finance, 33, 164-179. https://doi.org/10.1016/j.jcorpfin.2015.06.003

We introduce the significance of a direct sentiment proxy as an explanatory variable of bidder announcement returns. We argue that sentiment subconsciously influences investor perception of potential merger synergies and risks, and therefore relates... Read More about Investor sentiment and bidder announcement abnormal returns.

Does Mood Explain the Monday Effect?: Mood and the Monday Effect (2014)
Journal Article
Abu Bakar, A., Siganos, A., & Vagenas-Nanos, E. (2014). Does Mood Explain the Monday Effect?: Mood and the Monday Effect. Journal of Forecasting, 33(6), 409-418. https://doi.org/10.1002/for.2305

A number of studies have explored the sources of the Monday effect, according to which returns are on average negative on Mondays. We contribute to the literature by exploring whether a direct measure of mood explains the Monday effect. In line with... Read More about Does Mood Explain the Monday Effect?: Mood and the Monday Effect.

A comparison of the stock market reactions of convertible bond offerings between financial and non-financial institutions: Do they differ? (2014)
Journal Article
Li, H., Liu, H., & Siganos, A. (2016). A comparison of the stock market reactions of convertible bond offerings between financial and non-financial institutions: Do they differ?. International Review of Financial Analysis, 45, 356-366. https://doi.org/10.

We focus on the stock price reaction to convertible bond offering made by financial institutions and find that the cumulative abnormal return over the three day interval around convertible bond issuance is 1.41 percentage higher than that for non-fin... Read More about A comparison of the stock market reactions of convertible bond offerings between financial and non-financial institutions: Do they differ?.

Facebook's daily sentiment and international stock markets (2014)
Journal Article
Siganos, A., Vagenas-Nanos, E., & Verwijmeren, P. (2014). Facebook's daily sentiment and international stock markets. Journal of Economic Behavior and Organization, 107, part B, 730-743. https://doi.org/10.1016/j.jebo.2014.06.004

We examine the relation between daily sentiment and trading behavior within 20 international markets by exploiting Facebook's Gross National Happiness Index. We find that sentiment has a positive contemporaneous relation to stock returns. Moreover, s... Read More about Facebook's daily sentiment and international stock markets.

FT coverage and UK target price run-ups (2014)
Journal Article
Siganos, A., & Papa, M. (2015). FT coverage and UK target price run-ups. European Journal of Finance, 21(12), 1070-1089. https://doi.org/10.1080/1351847x.2014.924077

We focus on the market expectation hypothesis to explain the increase in share prices and trading volume of target firms before their merger announcements that have conventionally been attributed to either insider trading or market expectation. We us... Read More about FT coverage and UK target price run-ups.

Compositional changes in the FTSE100 index from the standpoint of an arbitrageur (2013)
Journal Article
Opong, K., & Siganos, A. (2013). Compositional changes in the FTSE100 index from the standpoint of an arbitrageur. Journal of Asset Management, 14(2), 120-132. https://doi.org/10.1057/jam.2013.8

We explore the profitability of a strategy that is based on the quarterly addition/deletion revisions of the FTSE100 index and of a strategy that is based on the irregular additions of reserve companies on the list of firms to be included in the FTSE... Read More about Compositional changes in the FTSE100 index from the standpoint of an arbitrageur.

Google attention and target price run ups (2012)
Journal Article
Siganos, A. (2013). Google attention and target price run ups. International Review of Financial Analysis, 29, 219-226. https://doi.org/10.1016/j.irfa.2012.11.002

We explore the increase in the share prices of target firms before their merger announcements. We use a novelty Google search volume to proxy the market expectation hypothesis according to which firms with an abnormal upward change in Google searches... Read More about Google attention and target price run ups.

UK Short Selling Activity and Firm Performance (2012)
Journal Article
Andrikopoulos, P., Clunie, J., & Siganos, A. (2012). UK Short Selling Activity and Firm Performance. Journal of Business Finance and Accounting, 39(9-10), 1403-1417. https://doi.org/10.1111/jbfa.12003

We use short selling data from Data Explorers from 2004 to 2012 to investigate the extent to which UK short sellers are informed investors, in accordance with Diamond and Verrecchia's (1987) hypothesis. Our results suggest that heavily-shorted stocks... Read More about UK Short Selling Activity and Firm Performance.

Firm characteristics that drive the momentum pattern in the UK stock market (2012)
Journal Article
Siganos, A. (2013). Firm characteristics that drive the momentum pattern in the UK stock market. Quantitative Finance, 13(3), 439-449. https://doi.org/10.1080/14697688.2012.694466

Previous studies have estimated the company characteristics of previous winners and losers to explore the momentum effect. Using UK data, this study focuses on the characteristics of companies that actually generate the momentum pattern. These are pr... Read More about Firm characteristics that drive the momentum pattern in the UK stock market.

Short-selling constraints and ‘quantitative’ investment strategies (2012)
Journal Article
Andrikopoulos, P., Clunie, J., & Siganos, A. (2013). Short-selling constraints and ‘quantitative’ investment strategies. European Journal of Finance, 19(1), 19-35. https://doi.org/10.1080/1351847x.2011.634426

This study uses stock lending data from Data Explorers to assess the impact of short-selling constraints on the profitability of eight investment strategies. Returns from unconstrained long–short portfolios are compared with those from ‘feasible’ por... Read More about Short-selling constraints and ‘quantitative’ investment strategies.

Can retail investors exploit stock market anomalies? (2011)
Journal Article
Siganos, A. (2012). Can retail investors exploit stock market anomalies?. Applied Financial Economics, 22(7), 537-547. https://doi.org/10.1080/09603107.2011.619493

This article investigates the extent to which small investors can exploit a range of stock market anomalies. The study uses a small number of companies to define both long and short portfolios, and investigates the post-cost profitability of the foll... Read More about Can retail investors exploit stock market anomalies?.

Higher co-moments and asset pricing on London Stock Exchange (2011)
Journal Article
Kostakis, A., Muhammad, K., & Siganos, A. (2012). Higher co-moments and asset pricing on London Stock Exchange. Journal of Banking and Finance, 36(3), 913-922. https://doi.org/10.1016/j.jbankfin.2011.10.002

This study examines the asset pricing implications of preferences over the higher moments of returns’ distributions. We show that in a market populated by risk-averse, prudent and temperate investors, firms whose returns exhibit negative coskewness o... Read More about Higher co-moments and asset pricing on London Stock Exchange.

Can small investors exploit the momentum effect? (2009)
Journal Article
Siganos, A. (2010). Can small investors exploit the momentum effect?. Financial Markets and Portfolio Management, 24(2), 171-192. https://doi.org/10.1007/s11408-009-0120-3

This study uses UK data and investigates whether small investors can exploit the continuation effect in share prices. Individual traders are not in a financial position to buy and sell short hundreds of firms, as suggested by existing academic resear... Read More about Can small investors exploit the momentum effect?.

Momentum profits in alternative stock market structures (2007)
Journal Article
Chelley-Steeley, A., & Siganos, A. (2008). Momentum profits in alternative stock market structures. Journal of Multinational Financial Management, 18(2), 131-144. https://doi.org/10.1016/j.mulfin.2007.05.002

The aim of this study is to examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the Lo... Read More about Momentum profits in alternative stock market structures.

Momentum returns and size of winner and loser portfolios (2007)
Journal Article
Siganos, A. (2007). Momentum returns and size of winner and loser portfolios. Applied Financial Economics, 17(9), 701-708. https://doi.org/10.1080/09603100600722193

Previous studies in the field of the momentum effect have defined winner and loser portfolios only by using deciles, quintiles or triciles. This article overcomes this limitation by investigating the magnitude of momentum gains for various sizes of w... Read More about Momentum returns and size of winner and loser portfolios.

Momentum profits following bull and bear markets (2006)
Journal Article
Siganos, A., & Chelley-Steeley, P. (2006). Momentum profits following bull and bear markets. Journal of Asset Management, 6(5), 381-388. https://doi.org/10.1057/palgrave.jam.2240188

This paper examines the profitability that the widely published momentum strategy achieves following bull and bear markets. Investors can gain stronger momentum profits by adopting the continuation strategy after poor lagged market returns. The longe... Read More about Momentum profits following bull and bear markets.

Momentum profits and macroeconomic factors (2004)
Journal Article
Chelley-steeley, P., & Siganos, A. (2004). Momentum profits and macroeconomic factors. Applied Economics Letters, 11(7), 433-436. https://doi.org/10.1080/1350485042000191719

This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; mo... Read More about Momentum profits and macroeconomic factors.