Anastasios Kagkadis

Lancaster University - Department of Accounting and Finance

The Management School

Lancaster LA1 4YX

United Kingdom

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 24,396

SSRN RANKINGS

Top 24,396

in Total Papers Downloads

2,957

SSRN CITATIONS

5

CROSSREF CITATIONS

7

Scholarly Papers (9)

1.

Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns

Number of pages: 35 Posted: 17 Jan 2014 Last Revised: 15 Aug 2019
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 1,225 (23,995)
Citation 11

Abstract:

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Dispersion in beliefs; Predictability of stock returns; Equity premium; Trading volume dispersion; Out-of-sample predictability; Economic signi ficance

2.

Differences in Options Investors' Expectations and the Cross-Section of Stock Returns

Journal of Banking and Finance, Forthcoming
Number of pages: 82 Posted: 17 Apr 2015 Last Revised: 02 Sep 2018
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University Business School and Durham University Business School
Downloads 447 (91,503)
Citation 3

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Dispersion of Beliefs; Disagreement in Options Market; Cross-Section of Stock Returns; Equity Options; Option Trading Volume

3.

Factor Timing with Portfolio Characteristics

Number of pages: 44 Posted: 08 Nov 2021
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 368 (114,375)

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Return Predictability, Factor Portfolios, Dimension Reduction, Factor Timing, Anomalies

4.

Firm Growth Potential and Option Returns

Georgetown McDonough School of Business Research Paper No. 3874674
Number of pages: 61 Posted: 14 Jul 2021
Cyprus University of Technology, Georgetown University - McDonough School of Business, Lancaster University - Department of Accounting and Finance and Cyprus University of Technology
Downloads 222 (191,745)

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Option returns, Growth potential, Growth options, Idiosyncratic skewness, Skewness preference

5.

The Information Content of Forward Moments

Journal of Banking and Finance, Forthcoming
Number of pages: 56 Posted: 06 Mar 2017 Last Revised: 04 Aug 2019
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University Business School and University of Liverpool Management School
Downloads 152 (266,888)
Citation 1

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Forward Moments; Implied Volatility Surface; Partial Least Squares; Predictability of Stock Returns; Equity Premium; Variance Premium

6.

Is Firm-Level Political Risk Priced in the Equity Option Market?

Number of pages: 62 Posted: 18 Oct 2021 Last Revised: 23 Mar 2022
Thang Ho, Anastasios Kagkadis and George Jiaguo Wang
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 151 (268,291)

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political risk, earnings calls, Brexit, delta-hedged option returns

7.

Bear Factor and Hedge Fund Performance

Number of pages: 70 Posted: 11 Aug 2021 Last Revised: 23 Mar 2022
Thang Ho, Anastasios Kagkadis and George Jiaguo Wang
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Lancaster University Management School
Downloads 137 (289,704)

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Hedge funds, Bear portfolio, H-Bear factor, Tail risk, Insurance.

8.

Investor Sentiments, Rational Beliefs and Option Prices

Number of pages: 48 Posted: 23 Jul 2014
Panayiotis C. Andreou, Anastasios Kagkadis and Dennis Philip
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance and Durham University Business School
Downloads 137 (289,704)
Citation 2

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Risk-neutral skewness; Implied volatility smirk; Investor sentiment; Macroeconomy; Index options

9.

Construction, Systematic Risk, and Stock-Level Investment Anomalies

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 88 Posted: 14 Oct 2020 Last Revised: 14 Mar 2022
Kevin Aretz and Anastasios Kagkadis
Alliance Manchester Business School and Lancaster University - Department of Accounting and Finance
Downloads 118 (323,516)

Abstract:

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Asset pricing, real options, investment anomalies, flexible capacity, time-to-build