Spyros I. Spyrou

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

Professor

76 Patission Street

GR-104 34 Athens

Greece

SCHOLARLY PAPERS

22

DOWNLOADS
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3,897

CITATIONS
Rank 19,392

SSRN RANKINGS

Top 19,392

in Total Papers Citations

16

Scholarly Papers (22)

1.

Are Contrarian Investment Strategies Profitable in the London Stock Exchange? Where do These Profits Come From?

EFMA 2003 Helsinki Meetings
Number of pages: 57 Posted: 19 Apr 2003
Wealth Associates, Audencia Business School and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 947 (17,781)

Abstract:

2.

Does Time Variation in Systematic Risk Affect the Profitability of Contrarian Investment Strategies?

EFMA 2002 London Meetings
Number of pages: 34 Posted: 20 Jun 2002
Wealth Associates, Audencia Business School and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 585 (35,729)

Abstract:

Return Predictability, Contrarian Profits, Emerging Stock Markets, Kalman Filter

3.

Stock and Credit Market Expansion and Economic Development in Emerging Markets: Further Evidence Utilising Cointegration Analysis

Number of pages: 23 Posted: 21 Aug 2000
Spyros I. Spyrou and Konstantinos Kassimatis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Business Administration
Downloads 537 (40,519)
Citation 3

Abstract:

Emerging Stock Markets, Economic Development, Cointegration

4.

Time-Variation in the Value Premium and the CAPM: Evidence from European Markets

Number of pages: 38 Posted: 05 Dec 2006 Last Revised: 27 Nov 2007
Spyros I. Spyrou and Konstantinos Kassimatis
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Business Administration
Downloads 194 (124,238)
Citation 1

Abstract:

Value Premium, CAPM, Time-Varying Risk

5.

Are Sovereign Bond Yield Spreads Affected by Investor Sentiment? Evidence from the Greek Budget Crisis

Number of pages: 20 Posted: 03 Jun 2011
Spyros I. Spyrou
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 169 (132,011)

Abstract:

Yield spreads, investor sentiment, Greek debt crisis

6.

Abnormal Short-Term Returns Following Market-Moving Events in the International Government Bond Market

EFA 2005 Moscow Meetings Paper
Number of pages: 47 Posted: 16 Feb 2005
Konstantinos Kassimatis and Spyros I. Spyrou
Athens University of Economics and Business - Department of Business Administration and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 162 (151,300)

Abstract:

Government Bonds, Return patterns, Overreaction

7.

Sentiment Changes, Stock Returns and Volatility: Evidence from NYSE, Amex, and Nasdaq Stocks

Number of pages: 36 Posted: 16 Jun 2011
Spyros I. Spyrou
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 127 (174,593)

Abstract:

sentiment, book-to-market, momentum, reversal, size, volatility

8.

Informed Trading Around Merger and Acquisition Announcements: Evidence from the UK Equity and Options Market

Journal of Futures Markets, Vol. 31, No. 8, pp. 703-726, 2011
Number of pages: 36 Posted: 16 Apr 2010 Last Revised: 10 Jun 2011
Georgia Siougle, Spyros I. Spyrou and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance, Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 111 (173,616)
Citation 2

Abstract:

Mergers and Acquisitions, Informed Trading, Options Trading

9.

Conference Calls Around Merger and Acquisition Announcements: Do They Reduce Information Asymmetry? UK Evidence

Research in International Business and Finance, vol. 30, pp. 148-172, 2014.
Number of pages: 53 Posted: 06 Aug 2013 Last Revised: 28 May 2014
Georgia Siougle, Spyros I. Spyrou and Andrianos E. Tsekrekos
Athens University of Economics and Business - Department of Accounting and Finance, Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 65 (237,384)

Abstract:

Mergers and Acquisitions, Conference Calls, Asymmetric Information, Option Markets, Corporate Governance

10.

Are Broad Market Shocks Anticipated by Investors? Evidence from Major Equity and Index Options Markets

Number of pages: 24 Posted: 02 Mar 2010
Spyros I. Spyrou
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 41 (348,536)

Abstract:

Price shocks, market anticipation, option trading volume

Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange

European Financial Management, Vol. 11, No. 1, pp. 71-98, January 2005
Number of pages: 25 Posted: 12 Jan 2005
Wealth Associates, Audencia Business School and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 26 (433,346)
Citation 9
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Abstract:

Contrarian Profits and the Overreaction Hypothesis: The Case of the Athens Stock Exchange

EFMA 2001 Lugano Meetings
Posted: 13 May 2001
Wealth Associates, Audencia Business School and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

Overreaction, delayed reaction, contrarian profits, emerging stock markets

12.

Short-Term Contrarian Strategies in the London Stock Exchange: Are They Profitable? Which Factors Affect Them?

Journal of Business Finance & Accounting, Vol. 33, No. 5-6, pp. 839-867, June/July 2006
Number of pages: 29 Posted: 13 Aug 2006
Wealth Associates, Audencia Business School and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 18 (462,482)
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Abstract:

13.

Value Functions for Prospect Theory Investors: An Empirical Evaluation for US Style Portfolios

Number of pages: 37 Posted: 08 Jun 2015
Spyros I. Spyrou and Evanthia K. Zervoudi
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of International and European Economic Studies
Downloads 17 (386,919)

Abstract:

Prospect theory, probability distortion, value functions, style investing

14.

Size and Momentum in European Equity Markets: Empirical Findings from Varying Beta Capital Asset Pricing Model

Accounting & Finance, Vol. 50, No. 1, pp. 143-169, March 2010
Number of pages: 27 Posted: 01 Mar 2010
affiliation not provided to SSRN, Athens University of Economics and Business - Department of Business Administration and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 3 (537,420)
Citation 1
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Abstract:

15.

The Impact of Conventional and Unconventional Monetary Policy on Expectations and Sentiment

Number of pages: 54 Posted: 07 Jul 2016 Last Revised: 05 May 2017
Audencia Business School , Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 0 (134,590)

Abstract:

Unconventional Monetary Policy, Sentiment, Economic Expectations

16.

Sovereign CDS Spread Determinants and Spill-Over Effects During Financial Crisis: A Panel VAR Approach

Number of pages: 42 Posted: 25 Jan 2016
Audencia Business School , Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 0 (91,958)

Abstract:

Financial Crisis, CDS, Spreads, Panel VAR, Sentiment

17.

The Effect of Liquidity on Herding: A Comparative Study

Number of pages: 37 Posted: 23 Jan 2016
Emilios C. Galariotis, Stylia Krokida and Spyros I. Spyrou
Audencia Business School , Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 0 (194,608)

Abstract:

Herding, Liquidity, Financial Crisis, Major Equity Markets

18.

Bond Market Investor Herding: Evidence from the European Financial Crisis

International Review of Financial Analysis, Forthcoming
Posted: 21 Jan 2016
Emilios C. Galariotis, Stylia Krokida and Spyros I. Spyrou
Audencia Business School , Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

Herding, Bond Markets, Financial Crisis

19.

Contagion, Volatility Persistence, and Volatility Spill-Overs: The Case of Energy Markets During the European Financial Crisis

Number of pages: 28 Posted: 20 Jan 2016
ESCP Europe Business School, Audencia Business School and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 0 (251,430)

Abstract:

Energy Markets, Contagion, Volatility Spill-Overs, European Crisis

20.

Short-Term Patterns in Government Bond Returns Following Market Shocks: International Evidence

International Review of Financial Analysis, Vol. 17, No. 5, 2008
Posted: 20 Jan 2016
Athens University of Economics and Business - Department of Business Administration, Athens University of Economics and Business - Department of Accounting and Finance and Audencia Business School

Abstract:

Price shocks, Government bonds, Bond futures

21.

Herding on Fundamental Information: A Comparative Study

Journal of Banking and Finance, Vol. 50, 2015
Posted: 27 Jan 2015 Last Revised: 19 Jan 2016
Emilios C. Galariotis, Wu Rong and Spyros I. Spyrou
Audencia Business School , Independent and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

Herding; Fundamental information; Financial crisis

22.

Value at Risk Models for Volatile Emerging Markets Equity Portfolios

The Quarterly Review of Economics and Finance 50 (4) 515–526,
Posted: 07 Feb 2014
Athens University of Economics and Business - Department of Accounting and Finance, Independent and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

Emerging stock markets, Risk management, Value at Risk