Details about Spyros Spyrou

Access statistics for papers by Spyros Spyrou.

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

Short-id: psp77

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
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

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

2014

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

2012

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

2011

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

2008

9. 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

10. 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

11. Short-term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?
    Post-Print, HAL View citations (2)
12. 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

13. 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

14. 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 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 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 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 View citations (2)

2015

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

2014

6. 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 View citations (5)

2013

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

2012

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

2011

10. 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
11. Informed trading around merger and acquisition announcements: Evidence from the UK equity and options markets
    Journal of Futures Markets, 2011, 31, (8), 703-726 View citations (8)

2010

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

2009

14. 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
15. Time-variation in the value premium and the CAPM: evidence from European markets
    Applied Financial Economics, 2009, 19, (23), 1899-1914 View citations (1)

2008

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

2007

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

2006

19. 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 View citations (1)
    See also Working Paper (2006)

2005

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

2004

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

2003

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

2001

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