Athanasios Sakkas

Athens University of Economics and Business - Department of Accounting and Finance

76 Patission Street

GR-104 34 Athens

Greece

  • Athens University of Economics and Business - Department of Accounting and Finance

SCHOLARLY PAPERS

12

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19

CROSSREF CITATIONS

4

Scholarly Papers (12)

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1.

Harmful Diversification: Evidence from Alternative Investments

The British Accounting Review, Forthcoming
Number of pages: 50 Posted: 04 Feb 2017 Last Revised: 15 Aug 2018
Emmanouil Platanakis, Athanasios Sakkas and Charles Sutcliffe
University of Bath - School of Management, Athens University of Economics and Business - Department of Accounting and Finance and University of Reading - ICMA Centre
Downloads 2,240 (9,350)
Citation 7

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Alternative assets, diversification, estimation errors, transactions costs, non-normality, regimes

2.

The Role of Transaction Costs and Risk Aversion When Selecting Between One and Two Regimes for Portfolio Models

Applied Economics Letters, Forthcoming
Number of pages: 14 Posted: 20 Sep 2017 Last Revised: 15 May 2018
Emmanouil Platanakis, Athanasios Sakkas and Charles Sutcliffe
University of Bath - School of Management, Athens University of Economics and Business - Department of Accounting and Finance and University of Reading - ICMA Centre
Downloads 1,315 (21,598)
Citation 1

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Portfolio theory; regime shifting; transaction costs; risk aversion; constant relative risk aversion

3.

A Seasonality Factor in Asset Allocation

Number of pages: 40 Posted: 05 Nov 2018 Last Revised: 20 Mar 2019
Frank McGroarty, Emmanouil Platanakis, Athanasios Sakkas and Andrew Urquhart
University of Southampton - Southampton Business School, University of Bath - School of Management, Athens University of Economics and Business - Department of Accounting and Finance and ICMA Centre, Henley Business School
Downloads 980 (33,119)

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asset allocation; turn-of-the-month; seasonality; timing; portfolio optimization

4.

Intraday Time Series Momentum: Global Evidence and Links to Market Characteristics

Journal of Financial Markets, Forthcoming
Number of pages: 62 Posted: 10 Oct 2019 Last Revised: 08 Jan 2021
Zeming Li, Athanasios Sakkas and Andrew Urquhart
University of Bristol, Athens University of Economics and Business - Department of Accounting and Finance and ICMA Centre, Henley Business School
Downloads 753 (47,553)

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High frequency trading, Intraday, International markets, Momentum, Market characteristics

5.

Dynamic Asset Allocation with Liabilities

Downloads 670 ( 55,492)
Citation 1

Dynamic Asset Allocation with Liabilities

European Financial Management, Forthcoming
Number of pages: 67 Posted: 03 May 2012 Last Revised: 12 Aug 2020
Daniel Giamouridis, Athanasios Sakkas and Nikolaos Tessaromatis
Bank of America - Bank of America Merrill Lynch, Athens University of Economics and Business - Department of Accounting and Finance and EDHEC BUSINESS SCHOOL
Downloads 669 (54,869)

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Strategic Asset Allocation, Dynamic Asset Allocation, Asset–Liability Management

Dynamic Asset Allocation with Liabilities

European Financial Management, Vol. 23, Issue 2, pp. 254-291, 2017
Number of pages: 38 Posted: 19 May 2020
Daniel Giamouridis, Athanasios Sakkas and Nikolaos Tessaromatis
Bank of America - Bank of America Merrill Lynch, Athens University of Economics and Business - Department of Accounting and Finance and EDHEC BUSINESS SCHOOL
Downloads 1 (931,728)
Citation 1

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strategic asset allocation, dynamic asset allocation, asset‐liability management, return predictability, myopic investors

6.

The Role of Commodities in Strategic Asset Allocation

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 53 Posted: 10 Aug 2014 Last Revised: 05 Jan 2015
Daniel Giamouridis, Athanasios Sakkas and Nikolaos Tessaromatis
Bank of America - Bank of America Merrill Lynch, Athens University of Economics and Business - Department of Accounting and Finance and EDHEC BUSINESS SCHOOL
Downloads 522 (76,088)
Citation 3

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Strategic Asset Allocation; Dynamic Asset Allocation; Asset Management; Asset-Liability Management; Commodities; Factor Premia; Momentum; Basis

7.

Factor Based Commodity Investing

Journal of Banking and Finance, Forthcoming
Number of pages: 95 Posted: 02 Jul 2018 Last Revised: 16 Apr 2020
Athanasios Sakkas and Nikolaos Tessaromatis
Athens University of Economics and Business - Department of Accounting and Finance and EDHEC BUSINESS SCHOOL
Downloads 521 (76,263)
Citation 3

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Commodities, Factor Premia, Momentum, Basis, Basis-Momentum, Variance Timing, Commodity Return Predictability

8.

Forecasting the Long-Term Equity Premium for Asset Allocation

Sakkas, Athanasios and Tessaromatis, Nikolaos, Forecasting the Long-Term Equity Premium for Asset Allocation (17 June 2022). Financial Analysts Journal, 2022, 78(3): 9-29. DOI: 10.1080/0015198X.2022.2073782
Number of pages: 53 Posted: 14 Jul 2021 Last Revised: 02 Aug 2022
Athanasios Sakkas and Nikolaos Tessaromatis
Athens University of Economics and Business - Department of Accounting and Finance and EDHEC BUSINESS SCHOOL
Downloads 291 (147,243)

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Forecasting, Long-horizon predictability, Asset allocation, Global factor model

9.

The Impact of Terrorist Attacks in G7 Countries on International Stock Markets and the Role of Investor Sentiment

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 46 Posted: 04 Apr 2019
Panayiotis Papakyriakou, Athanasios Sakkas and Zenon Taoushianis
University of Southampton - Department of Banking and Finance, Athens University of Economics and Business - Department of Accounting and Finance and University of Southampton - Department of Banking and Finance
Downloads 152 (267,295)
Citation 1

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terrorism, stock markets, investor sentiment, surprise

10.

Financial Firm Bankruptcies, International Stock Markets and Investor Sentiment

International Journal of Finance and Economics, Vol. 24 (1), pp. 461-473, January 2019
Number of pages: 32 Posted: 05 Feb 2019 Last Revised: 28 Feb 2020
Panayiotis Papakyriakou, Athanasios Sakkas and Zenon Taoushianis
University of Southampton - Department of Banking and Finance, Athens University of Economics and Business - Department of Accounting and Finance and University of Southampton - Department of Banking and Finance
Downloads 71 (443,954)

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Bankruptcy Announcements, Financial Firms, International Stock Markets, Investor Sentiment, Economic Classification

11.

What Drives Bitcoin’s Price Crash Risk?

Economics Letters, Forthcoming
Number of pages: 11 Posted: 02 Nov 2019
Antonios Nikolaos Kalyvas, Panayiotis Papakyriakou, Athanasios Sakkas and Andrew Urquhart
Department of Banking and Finance, Southampton Business School, University of Southampton, University of Southampton - Department of Banking and Finance, Athens University of Economics and Business - Department of Accounting and Finance and ICMA Centre, Henley Business School
Downloads 67 (457,691)
Citation 6

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Bitcoin, Crash Risk, EPU, VIX, VSTOXX, Behavioral Factors

12.

Stock Market Dispersion, the Business Cycle and Expected Factor Returns

Journal of Banking and Finance, Vol. 59, pp. 265-279, October 2015
Posted: 20 Apr 2015 Last Revised: 12 Jul 2021
Timotheos Angelidis, Athanasios Sakkas and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics, Athens University of Economics and Business - Department of Accounting and Finance and EDHEC BUSINESS SCHOOL

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Stock Market Return Dispersion, Business Cycle, Market and Factor Returns