Anastasios Kagkadis

University of Liverpool Management School

Chatham St

Liverpool, L69 7ZH

United Kingdom

Lancaster University - Department of Accounting and Finance

The Management School

Lancaster , LA1 4YX

United Kingdom

SCHOLARLY PAPERS

10

DOWNLOADS
Rank 18,025

SSRN RANKINGS

Top 18,025

in Total Papers Downloads

5,294

SSRN CITATIONS
Rank 40,224

SSRN RANKINGS

Top 40,224

in Total Papers Citations

18

CROSSREF CITATIONS

6

Scholarly Papers (10)

1.

Power Sorting

Number of pages: 65 Posted: 28 Aug 2023 Last Revised: 30 May 2024
University of Liverpool Management School, Robeco Quantitative Investments, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 1,294 (30,131)
Citation 1

Abstract:

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Factor Investing, Portfolio Construction, Portfolio Weights, Power Sorting

2.

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

Number of pages: 35 Posted: 17 Jan 2014 Last Revised: 19 Nov 2022
Cyprus University of Technology, University of Liverpool Management School, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 1,287 (30,399)
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

3.

Factor Timing with Portfolio Characteristics

Number of pages: 78 Posted: 08 Nov 2021 Last Revised: 27 Mar 2023
University of Liverpool Management School, Lancaster University - Department of Accounting and Finance, Lancaster University Management School and Lancaster University - Lancaster University Management School
Downloads 818 (57,607)
Citation 6

Abstract:

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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: 63 Posted: 25 Apr 2023 Last Revised: 13 Jul 2023
Cyprus University of Technology, Georgetown University - McDonough School of Business, University of Liverpool Management School and Cyprus University of Technology
Downloads 511 (104,933)
Citation 1

Abstract:

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Option returns, firm growth potential, growth options, jumps, market beta, volatility risk premium

5.

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, University of Liverpool Management School, Durham University Business School and Durham University Business School
Downloads 489 (110,416)
Citation 3

Abstract:

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

6.

Construction, Real Uncertainty, and Stock-Level Investment Anomalies

Forthcoming in the Journal of Financial and Quantitative Analysis, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 96 Posted: 14 Oct 2020 Last Revised: 14 Dec 2023
Kevin Aretz and Anastasios Kagkadis
Alliance Manchester Business School and University of Liverpool Management School
Downloads 194 (291,175)

Abstract:

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Asset pricing; real options; investment anomalies; newly-built capacity; uncertainty.

7.

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, University of Liverpool Management School and Durham University Business School
Downloads 187 (302,321)
Citation 2

Abstract:

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

8.

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, University of Liverpool Management School, Durham University Business School and University of Liverpool Management School
Downloads 183 (306,731)
Citation 2

Abstract:

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

9.

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

Review of Asset Pricing Studies, Forthcoming
Number of pages: 71 Posted: 18 Oct 2021 Last Revised: 06 Feb 2024
Thang Ho, Anastasios Kagkadis and George Jiaguo Wang
University of Bradford School of Management, University of Liverpool Management School and Lancaster University Management School
Downloads 180 (312,879)
Citation 1

Abstract:

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political risk; option returns; Brexit; jump risk; intermediary constraints

10.

Bear Factor and Hedge Fund Performance

Number of pages: 63 Posted: 11 Aug 2021 Last Revised: 16 Jun 2024
Thang Ho, Anastasios Kagkadis and George Jiaguo Wang
University of Bradford School of Management, University of Liverpool Management School and Lancaster University Management School
Downloads 151 (361,774)

Abstract:

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Bear factor, Bear beta, Tail risk, Downside risk