Ilias Filippou

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

One Brookings Drive

Campus Box 1133

St. Louis, MO 63130-4899

United States

SCHOLARLY PAPERS

12

DOWNLOADS
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Top 22,415

in Total Papers Downloads

2,346

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (12)

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 552 (53,914)
Citation 6

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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 Angel Garcia-Ares
Washington University in St. Louis - John M. Olin Business School and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 473 (65,494)

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Value, Momentum, Market-timing, Asset Pricing.

3.

ETF Arbitrage and International Diversification

WBS Finance Group Research Paper No. 260
Number of pages: 83 Posted: 10 Dec 2018 Last Revised: 26 Dec 2019
Washington University in St. Louis - John M. Olin Business School, University of Warwick and University of Warwick, Warwick Business School, Students
Downloads 381 (84,703)

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

4.

Overcoming Arbitrage Limits: Option Trading and Momentum Returns

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 84 Posted: 24 Jul 2018 Last Revised: 29 May 2020
MOVE, Washington University in St. Louis - John M. Olin Business School and Instituto Tecnológico Autónomo de México (ITAM)
Downloads 270 (123,710)

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Momentum Returns, Stock Option Trading, Short-Sale Constraints

5.

The Rise and Fall of the Carry Trade: Links to Exchange Rate Predictability

Number of pages: 52 Posted: 27 Sep 2019
Ilias Filippou, David Rapach, Mark P. Taylor and Guofu Zhou
Washington University in St. Louis - John M. Olin Business School, Saint Louis University, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 195 (169,950)

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Carry, Currency excess return, Panel predictive regression, Machine learning, Penalized regression, Short-horizon predictability, Global financial crisis

6.

Demand for Lotteries: The Choice between Stocks and Options

Number of pages: 70 Posted: 11 Aug 2017 Last Revised: 31 Jul 2018
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Questrom School of Business, Boston University
Downloads 164 (197,904)
Citation 2

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Lottery-payoffs, Option Trading, Lottery Stocks

7.

Technology Diffusion and Currency Carry Trades

Number of pages: 55 Posted: 14 Dec 2015 Last Revised: 08 Oct 2019
Ilias Filippou
Washington University in St. Louis - John M. Olin Business School
Downloads 114 (263,608)

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Technology Adaption, Comparative Advantage, Currency Risk Premium

8.

Short Squeeze Uncertainty and Skewness

Number of pages: 34 Posted: 16 Aug 2019
Washington University in St. Louis - John M. Olin Business School, Instituto Tecnológico Autónomo de México (ITAM) and Questrom School of Business, Boston University
Downloads 94 (300,463)

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Short Squeeze, Anomalies, limits to arbitrage

U.S. Populist Rhetoric and Currency Returns

Number of pages: 83 Posted: 19 Jun 2020
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
Downloads 48 (444,871)

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Populism, Foreign Exchange market, Textual Analysis

U.S. Populist Rhetoric and Currency Returns

CEPR Discussion Paper No. DP15054
Number of pages: 87 Posted: 28 Jul 2020
Washington University in St. Louis - John M. Olin Business School, University of Warwick, University of Warwick - Warwick Business School and Washington University in St. Louis - John M. Olin Business School
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Foreign exchange market, populism, textual analysis

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 (489,629)

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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

11.

Foreign Exchange News and Currency Reversals

Number of pages: 64 Posted: 19 Jun 2020
Ilias Filippou, Mark P. Taylor and Zigan Wang
Washington University in St. Louis - John M. Olin Business School, Washington University in St. Louis - John M. Olin Business School and The University of Hong Kong - School of Economics and Finance
Downloads 18 (579,801)

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FX News, Currency Risk Premium, Currency Reversals

12.

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 (707,942)
Citation 1
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Carry Trade, Factor Analysis, Foreign Exchange, Forward Premium Puzzle, Momentum