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Details about Alexandros Kostakis

Homepage:http://www.alexkostakis.com
Workplace:Management School, University of Liverpool, (more information at EDIRC)

Access statistics for papers by Alexandros Kostakis.

Last updated 2019-07-03. Update your information in the RePEc Author Service.

Short-id: pko448


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Working Papers

2013

  1. Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow Downloads

    See also Journal Article in Journal of International Money and Finance (2014)

2012

  1. The Impact of Stock Market Illiquidity on Real UK GDP Growth
    Working Paper series, Rimini Centre for Economic Analysis Downloads

2011

  1. Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
  2. Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (1)

2010

  1. On monetary policy and stock market anomalies
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (1)
    Also in SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) (2010) Downloads View citations (1)

    See also Journal Article in Journal of Business Finance & Accounting (2013)

2007

  1. Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors
    Discussion Papers, Department of Economics, University of York Downloads

Journal Articles

2019

  1. A Single-Factor Consumption-Based Asset Pricing Model
    Journal of Financial and Quantitative Analysis, 2019, 54, (02), 789-827 Downloads

2018

  1. Monetary policy shocks and financially constrained stock returns: The effects of the financial crisis
    International Review of Financial Analysis, 2018, 58, (C), 69-90 Downloads

2017

  1. Financial constraints and asset pricing: comprehensive evidence from London Stock Exchange
    The European Journal of Finance, 2017, 23, (1), 80-110 Downloads

2015

  1. Dividend policy, managerial ownership and debt financing: A non-parametric perspective
    European Journal of Operational Research, 2015, 241, (3), 783-795 Downloads View citations (2)
  2. Robust Econometric Inference for Stock Return Predictability
    Review of Financial Studies, 2015, 28, (5), 1506-1553 Downloads View citations (35)

2014

  1. Are there common factors in individual commodity futures returns?
    Journal of Banking & Finance, 2014, 40, (C), 346-363 Downloads View citations (32)
  2. On stock market illiquidity and real-time GDP growth
    Journal of International Money and Finance, 2014, 44, (C), 210-229 Downloads View citations (12)
  3. Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis
    Journal of International Money and Finance, 2014, 44, (C), 97-117 Downloads View citations (10)
    See also Working Paper (2013)

2013

  1. Herding behavior in REITs: Novel tests and the role of financial crisis
    International Review of Financial Analysis, 2013, 29, (C), 166-174 Downloads View citations (34)
  2. On Monetary Policy and Stock Market Anomalies
    Journal of Business Finance & Accounting, 2013, 40, (7-8), 1009-1042 Downloads View citations (9)
    See also Working Paper (2010)

2012

  1. Higher co-moments and asset pricing on London Stock Exchange
    Journal of Banking & Finance, 2012, 36, (3), 913-922 Downloads View citations (6)

2011

  1. Cross-country effects in herding behaviour: Evidence from four south European markets
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (3), 443-460 Downloads View citations (49)
  2. Market Timing with Option-Implied Distributions: A Forward-Looking Approach
    Management Science, 2011, 57, (7), 1231-1249 Downloads View citations (37)
  3. Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio
    Journal of Banking & Finance, 2011, 35, (12), 3335-3350 Downloads View citations (32)

2009

  1. Managerial ownership and performance
    Journal of Business Research, 2009, 62, (12), 1350-1357 Downloads View citations (20)
  2. Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry
    Journal of Multinational Financial Management, 2009, 19, (4), 256-272 Downloads View citations (13)
  3. Performance measures and incentives: loading negative coskewness to outperform the CAPM
    The European Journal of Finance, 2009, 15, (5-6), 463-486 Downloads View citations (3)

2008

  1. Testing for persistence in mutual fund performance and the ex-post verification problem: evidence from the Greek market
    The European Journal of Finance, 2008, 14, (8), 735-753 Downloads View citations (10)

2007

  1. Spurious results in testing mutual fund performance persistence: evidence from the Greek market
    Applied Financial Economics Letters, 2007, 3, (2), 103-108 Downloads View citations (5)
 
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