Details about Alexandros Kostakis

Access statistics for papers by Alexandros Kostakis.

Last updated 2024-10-13. Update your information in the RePEc Author Service.

Short-id: pko448

Working Papers

2021

1. Pricing Event Risk: Evidence from Concave Implied Volatility Curves
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2018

2. Positive Stock Information In Out-Of-The-Money Option Prices
   Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
   See also Journal Article Positive stock information in out-of-the-money option prices, Journal of Banking & Finance, Elsevier (2021) View citations (5) (2021)

2013

3. Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE)
   Also in Working Papers, Business School - Economics, University of Glasgow
   See also Journal Article Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis, Journal of International Money and Finance, Elsevier (2014) View citations (18) (2014)

2012

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

2011

5. 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) View citations (1)
6. 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 View citations (1)

2010

7. On monetary policy and stock market anomalies
   SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) View citations (1)
   Also in Working Papers, Business School - Economics, University of Glasgow (2010) View citations (1)
   See also Journal Article On Monetary Policy and Stock Market Anomalies, Journal of Business Finance & Accounting, Wiley Blackwell (2013) View citations (16) (2013)

2007

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

Journal Articles

2023

1. Detecting political event risk in the option market
   Journal of Banking & Finance, 2023, 146, (C) View citations (2)
2. Taking stock of long-horizon predictability tests: Are factor returns predictable?
   Journal of Econometrics, 2023, 237, (2) View citations (1)

2021

3. Positive stock information in out-of-the-money option prices
   Journal of Banking & Finance, 2021, 128, (C) View citations (5)
   See also Working Paper Positive Stock Information In Out-Of-The-Money Option Prices, Working Papers (2018) View citations (1) (2018)
4. The (non-) effect of labor unionization on firm risk: Evidence from the options market
   Journal of Corporate Finance, 2021, 66, (C) View citations (1)

2020

5. Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value
   European Journal of Operational Research, 2020, 283, (2), 748-766 View citations (5)

2019

6. A Single-Factor Consumption-Based Asset Pricing Model
   Journal of Financial and Quantitative Analysis, 2019, 54, (2), 789-827 View citations (5)

2018

7. Monetary policy shocks and financially constrained stock returns: The effects of the financial crisis
   International Review of Financial Analysis, 2018, 58, (C), 69-90 View citations (5)

2017

8. Financial constraints and asset pricing: comprehensive evidence from London Stock Exchange
   The European Journal of Finance, 2017, 23, (1), 80-110 View citations (1)
9. What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
   Management Science, 2017, 63, (6), 1814-1834 View citations (36)

2015

10. Dividend policy, managerial ownership and debt financing: A non-parametric perspective
    European Journal of Operational Research, 2015, 241, (3), 783-795 View citations (12)
11. Robust Econometric Inference for Stock Return Predictability
    The Review of Financial Studies, 2015, 28, (5), 1506-1553 View citations (140)

2014

12. Are there common factors in individual commodity futures returns?
    Journal of Banking & Finance, 2014, 40, (C), 346-363 View citations (84)
13. On stock market illiquidity and real-time GDP growth
    Journal of International Money and Finance, 2014, 44, (C), 210-229 View citations (21)
14. 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 View citations (18)
    See also Working Paper Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis, SIRE Discussion Papers (2013) (2013)

2013

15. Herding behavior in REITs: Novel tests and the role of financial crisis
    International Review of Financial Analysis, 2013, 29, (C), 166-174 View citations (70)
16. On Monetary Policy and Stock Market Anomalies
    Journal of Business Finance & Accounting, 2013, 40, (7-8), 1009-1042 View citations (16)
    See also Working Paper On monetary policy and stock market anomalies, SIRE Discussion Papers (2010) View citations (1) (2010)

2012

17. Higher co-moments and asset pricing on London Stock Exchange
    Journal of Banking & Finance, 2012, 36, (3), 913-922 View citations (20)

2011

18. 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 View citations (106)
19. Market Timing with Option-Implied Distributions: A Forward-Looking Approach
    Management Science, 2011, 57, (7), 1231-1249 View citations (64)
20. 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 View citations (64)

2009

21. Managerial ownership and performance
    Journal of Business Research, 2009, 62, (12), 1350-1357 View citations (35)
22. Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry
    Journal of Multinational Financial Management, 2009, 19, (4), 256-272 View citations (18)
23. Performance measures and incentives: loading negative coskewness to outperform the CAPM
    The European Journal of Finance, 2009, 15, (5-6), 463-486 View citations (3)

2008

24. 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 View citations (12)

2007

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