Graduate School of Business

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The Nazarbayev University Graduate School of Business aspires to become recognized as the leading school in Central Asia in the coming years. We intend to be known for the quality of our education, the impact of our research, our international orientation, and our meaningful engagement with the business community. Our school is structured to be an inspiring ecosystem in which ideas are exchanged and challenged by peers and faculty.

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Browsing Graduate School of Business by Author "Benos, Evangelos"

Now showing 1 - 6 of 6
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    Liberalism and home equity bias
    (Social Science Research Network (SSRN) http://www.ssrn.com/en/, 2009-04-29) Benos, Evangelos; Jochec, Marek
    Countries whose citizens have liberal ideals are less biased toward domestic equity. Data from 30 countries suggests that economic as well as social liberalism is associated with proportionally higher foreign equity holdings. A one standard deviation increase in the level of economic (social) liberalism relative to time-series and cross-sectional averages, is associated with a 5% (2%) relative decrease of home equity bias. These results hold after controlling for standard rational and behavioral explanations of the home equity bias as well as country and time fixed effects.
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    Liberalism and home equity bias
    (ISCTE Business School, 2013) Jochec, Marek; Benos, Evangelos
    Countries whose citizens have liberal ideals are less biased toward domestic equity.
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    Patriotic name bias and stock returns
    (Social Science Reserach Network (SSRN) http://www.ssrn.com/en/, 2011-09-01) Benos, Evangelos; Jochec, Marek
    Companies whose names contain the words “America(n)” or “USA” earn positive abnormal returns of about 6% per annum during the Second World War, the War in Korea and the War on Terror. These abnormal returns are not realized immediately upon the outbreak of each of the wars but are accumulated gradually during wartime. Given that no such effect is observed for the Vietnam War, we hypothesize that major, victorious wars arouse investors’ patriotic feelings and cause them to gradually and perhaps subconsciously gravitate toward stocks whose name has a patriotic flavor.
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    Patriotic name bias and stock returns
    (ISCTE Business School, Lisbon, 2011) Jochec, Marek; Benos, Evangelos
    Portfolios of “patriotic” stocks earn economically significant positive abnormal returns when people feel more patriotic and excited about their country. We label this phenomenon “patriotic name bias”.
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    Short term persistence in mutual fund market timing and stock selection abilities
    (Social Science Research Network (SSRN) http://www.ssrn.com/en/, 2009-05-01) Benos, Evangelos; Jochec, Marek
    Using daily return data from 448 actively managed mutual funds over a recent 9- year period, we look for persistence, over two consecutive quarters, in the ability of funds to select individual stocks and time the market. That is, we decompose overall fund performance into excess returns resulting from stock selection and timing abilities and we separately test for persistence in each ability. We ¯nd persistence in the ability to time the market only among well performing funds and in the ability to select stocks only among the very best and worst performers. The existing literature patterns appear only when funds are ranked by their overall performance, which includes stock selection, market timing and fees. With respect to overall performance, there is persistence among most poorly performing and only the top well performing funds. Furthermore, the pro¯tability of a winner-picking strategy depends on the rebalancing frequency and potentially the size of the investment. Small investors cannot pro¯t, whereas large investors can take advantage of the class A share fee structure and realize positive abnormal returns by annually rebalancing their portfolios.
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    Testing the PIN variable
    (Social Science Research Network (SSRN) http://www.ssrn.com/en/, 2007-02-17) Benos, Evangelos; Jochec, Marek
    This paper puts the PIN variable (Probability of INformation-based trading) to test. We ¯nd that for a large set of stocks, the PIN vari- able is lower (albeit insigni¯cantly) in the periods before earnings an- nouncements dates than in the periods after earnings announcements dates. This is inconsistent with the idea of PIN capturing the proba- bility of informed trading.