Ilias Filippou

Washington University in St. Louis - John M. Olin Business School

Visiting Assistant Professor of Finance

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

University of Warwick

Assistant Professor of Financial Economics

Scarman Road

West Midlands, CV4 7AL

United Kingdom

http://sites.google.com/site/ifilippou1/

SCHOLARLY PAPERS

9

DOWNLOADS
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Top 27,203

in Total Papers Downloads

1,690

CITATIONS

5

Scholarly Papers (9)

1.

Global Political Risk and Currency Momentum

Number of pages: 95 Posted: 01 Nov 2014 Last Revised: 11 Mar 2016
Washington University in St. Louis - John M. Olin Business School, University of Warwick and Washington University in St. Louis - John M. Olin Business School
Downloads 513 (53,282)
Citation 4

Abstract:

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Currency Momentum, FX Risk premium, Limits to Arbitrage, Political Risk

2.

Value, Momentum and Market Timing

Number of pages: 60 Posted: 19 Feb 2015 Last Revised: 14 Mar 2016
Ilias Filippou and Pedro Garcia-Ares
Washington University in St. Louis - John M. Olin Business School and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 453 (62,282)

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Value, Momentum, Market-timing, Asset Pricing.

3.

ETF Arbitrage and International Diversification

Number of pages: 72 Posted: 10 Dec 2018 Last Revised: 25 May 2019
Washington University in St. Louis - John M. Olin Business School, University of Warwick and University of Warwick, Warwick Business School, Students
Downloads 259 (117,124)

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ETFs, correlation with the U.S., institutional and retail investors, VIX.

4.

Overcoming Arbitrage Limits: Option Trading and Momentum Returns

Number of pages: 82 Posted: 24 Jul 2018 Last Revised: 08 May 2019
University of Exeter Business School, University of Exeter, Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and University of Exeter Business School - Department of Finance
Downloads 188 (159,825)

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Momentum Returns, Stock Option Trading, Short-Sale Constraints

5.

Demand for Lotteries: The Choice between Stocks and Options

Number of pages: 70 Posted: 11 Aug 2017 Last Revised: 31 Jul 2018
Ilias Filippou, Pedro Garcia-Ares and Fernando Zapatero
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Questrom School of Business, Boston University
Downloads 117 (236,147)
Citation 1

Abstract:

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Lottery-payoffs, Option Trading, Lottery Stocks

6.

Technology Diffusion and Currency Carry Trades

Number of pages: 53 Posted: 14 Dec 2015 Last Revised: 06 May 2016
Ilias Filippou
Washington University in St. Louis - John M. Olin Business School
Downloads 104 (256,665)

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Technology Adaption, Comparative Advantage, Currency Risk premium

Forward-Looking Policy Rules and Currency Premia

Number of pages: 77 Posted: 01 Jul 2019
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 36 (448,400)

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Foreign exchange; currency risk premium; Taylor rules; data snooping bias

Forward-Looking Policy Rules and Currency Premia

CEPR Discussion Paper No. DP13835
Number of pages: 66 Posted: 30 Jul 2019
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
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currency risk premium, data snooping bias, foreign exchange, Taylor rules

8.

Short Squeeze Uncertainty and Skewness

Number of pages: 34 Posted: 16 Aug 2019
Ilias Filippou, Pedro Garcia-Ares and Fernando Zapatero
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Questrom School of Business, Boston University
Downloads 19 (530,762)

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Short Squeeze, Anomalies, limits to arbitrage

9.

Common Macro Factors and Currency Premia

CEPR Discussion Paper No. DP10016
Number of pages: 78 Posted: 25 Sep 2014
Ilias Filippou and Mark P. Taylor
Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 1 (648,637)
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum