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Details about Spyros Spyrou

Workplace:Department of Accounting and Finance, Athens University of Economics and Business (AUEB), (more information at EDIRC)

Access statistics for papers by Spyros Spyrou.

Last updated 2016-12-28. Update your information in the RePEc Author Service.

Short-id: psp77


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Working Papers

2016

  1. Bond market investor herding: Evidence from the European financial crisis
    Post-Print, HAL View citations (8)
    See also Journal Article in International Review of Financial Analysis (2016)
  2. Herd behavior and equity market liquidity: Evidence from major markets
    Post-Print, HAL View citations (11)
    See also Journal Article in International Review of Financial Analysis (2016)
  3. Sovereign CDS Spread Determinants and Spill-Over Effects
    Proceedings of International Academic Conferences, International Institute of Social and Economic Sciences Downloads
  4. Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach
    Post-Print, HAL View citations (15)
    See also Journal Article in Journal of Financial Stability (2016)

2015

  1. Herding on fundamental information: A comparative study
    Post-Print, HAL View citations (42)
    See also Journal Article in Journal of Banking & Finance (2015)

2014

  1. Trading in option contracts before large price changes: A comparative study of US and UK markets
    Post-Print, HAL

2012

  1. Trading before stock price shocks: An empirical analysis using stock option trading volume
    Post-Print, HAL
    Also in Post-Print, HAL (2012)

2011

  1. Informed trading before stock price shocks: An empirical analysis using stock option trading volume
    Post-Print, HAL

2008

  1. Short-term patterns in government bond returns following market shocks: International evidence
    Post-Print, HAL View citations (3)
    See also Journal Article in International Review of Financial Analysis (2008)

2007

  1. Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange
    Post-Print, HAL View citations (6)
    See also Journal Article in Applied Financial Economics (2007)

2006

  1. Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?
    Post-Print, HAL View citations (2)
  2. The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach
    Post-Print, HAL
    See also Journal Article in Applied Financial Economics (2006)

2005

  1. Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange
    Post-Print, HAL View citations (18)
    See also Journal Article in European Financial Management (2005)

2003

  1. Profits From Buying Losers And Selling Winners In The London Stock Exchange
    Post-Print, HAL View citations (2)

Journal Articles

2016

  1. Bond market investor herding: Evidence from the European financial crisis
    International Review of Financial Analysis, 2016, 48, (C), 367-375 Downloads View citations (7)
    See also Working Paper (2016)
  2. Herd behavior and equity market liquidity: Evidence from major markets
    International Review of Financial Analysis, 2016, 48, (C), 140-149 Downloads View citations (12)
    See also Working Paper (2016)
  3. Sovereign CDS spread determinants and spill-over effects during financial crisis: A panel VAR approach
    Journal of Financial Stability, 2016, 26, (C), 62-77 Downloads View citations (19)
    See also Working Paper (2016)
  4. The equity premium puzzle: new evidence on the optimal holding period and optimal asset allocation
    Review of Behavioral Finance, 2016, 8, (1), 39-57 Downloads View citations (2)

2015

  1. Herding on fundamental information: A comparative study
    Journal of Banking & Finance, 2015, 50, (C), 589-598 Downloads View citations (41)
    See also Working Paper (2015)

2014

  1. Conference calls around merger and acquisition announcements: Do they reduce information asymmetry? UK Evidence
    Research in International Business and Finance, 2014, 30, (C), 148-172 Downloads View citations (5)

2013

  1. Herding in financial markets: a review of the literature
    Review of Behavioral Finance, 2013, 5, (2), 175-194 Downloads View citations (27)
  2. Investor sentiment and yield spread determinants: evidence from European markets
    Journal of Economic Studies, 2013, 40, (6), 739-762 Downloads View citations (3)

2012

  1. Sentiment changes, stock returns and volatility: evidence from NYSE, AMEX and NASDAQ stocks
    Applied Financial Economics, 2012, 22, (19), 1631-1646 Downloads View citations (5)

2011

  1. Are broad market shocks anticipated by investors? Evidence from major equity and index options markets
    International Review of Financial Analysis, 2011, 20, (3), 127-133 Downloads
  2. Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets
    Journal of Futures Markets, 2011, 31, (8), 703-726 Downloads View citations (8)

2010

  1. Size and momentum in European equity markets: empirical findings from varying beta Capital Asset Pricing Model
    Accounting and Finance, 2010, 50, (1), 143-169 Downloads View citations (5)
  2. Value at risk models for volatile emerging markets equity portfolios
    The Quarterly Review of Economics and Finance, 2010, 50, (4), 515-526 Downloads View citations (11)

2009

  1. Measuring market risk for financial assets with moderate tail fatness: the case of global government bond portfolios
    International Journal of Decision Sciences, Risk and Management, 2009, 1, (3/4), 199-212 Downloads
  2. Time-variation in the value premium and the CAPM: evidence from European markets
    Applied Financial Economics, 2009, 19, (23), 1899-1914 Downloads View citations (1)

2008

  1. Short-term patterns in government bond returns following market shocks: International evidence
    International Review of Financial Analysis, 2008, 17, (5), 903-924 Downloads View citations (6)
    See also Working Paper (2008)

2007

  1. Mergers and acquisitions of non-financial firms in Europe: the case of the Athens Stock Exchange
    Applied Economics Letters, 2007, 14, (7), 523-527 Downloads
  2. Short-term overreaction, underreaction and efficient reaction: evidence from the London Stock Exchange
    Applied Financial Economics, 2007, 17, (3), 221-235 Downloads View citations (12)
    See also Working Paper (2007)

2006

  1. The effect of time-varying risk on the profitability of contrarian investment strategies in a thinly traded market: a Kalman filter approach
    Applied Financial Economics, 2006, 16, (18), 1317-1329 Downloads View citations (1)
    See also Working Paper (2006)

2005

  1. Contrarian Profits and the Overreaction Hypothesis: the Case of the Athens Stock Exchange
    European Financial Management, 2005, 11, (1), 71-98 Downloads View citations (32)
    See also Working Paper (2005)
  2. Index Futures Trading and Spot Price Volatility
    Journal of Emerging Market Finance, 2005, 4, (2), 151-167 Downloads View citations (5)

2004

  1. Are stocks a good hedge against inflation? evidence from emerging markets
    Applied Economics, 2004, 36, (1), 41-48 Downloads View citations (24)
  2. Return Predictability, Contrarian & Momentum Profits:The Case of the Athens Stock Exchange
    Ekonomia, 2004, 7, (1), 56-72

2003

  1. Fundamental variables and the cross-section of expected stock returns: the case of Hong Kong
    Applied Economics Letters, 2003, 10, (5), 307-310 Downloads View citations (4)

2001

  1. Stock and credit market expansion and economic development in emerging markets: further evidence utilizing cointegration analysis
    Applied Economics, 2001, 33, (8), 1057-1064 Downloads View citations (9)
  2. Stock returns and inflation: evidence from an emerging market
    Applied Economics Letters, 2001, 8, (7), 447-450 Downloads View citations (10)
 
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