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

23

DOWNLOADS
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Top 17,043

in Total Papers Downloads

4,431

SSRN CITATIONS
Rank 28,411

SSRN RANKINGS

Top 28,411

in Total Papers Citations

14

CROSSREF CITATIONS

17

Scholarly Papers (23)

1.

Are Contrarian Investment Strategies Profitable in the London Stock Exchange? Where Do These Profits Come from?

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 1,076 (30,423)
Citation 2

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2.

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

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 647 (60,795)

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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 574 (70,833)

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Emerging Stock Markets, Economic Development, Cointegration

4.

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, Birkbeck ,University of London and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 361 (122,505)
Citation 6

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Financial Crisis, CDS, Spreads, Panel VAR, Sentiment

5.

The Effect of Liquidity on Herding: A Comparative Study

Number of pages: 37 Posted: 23 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 259 (173,328)
Citation 1

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Herding, Liquidity, Financial Crisis, Major Equity Markets

6.

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 230 (194,386)

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Yield spreads, investor sentiment, Greek debt crisis

7.

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 230 (194,386)
Citation 1

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Value Premium, CAPM, Time-Varying Risk

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 190 (231,651)
Citation 2

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Mergers and Acquisitions, Informed Trading, Options Trading

9.

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

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 183 (239,373)

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Government Bonds, Return patterns, Overreaction

10.

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 166 (260,099)
Citation 1

Abstract:

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

11.

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 147 (287,293)

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

12.

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 139 (300,277)

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

13.

Could Market Making Be Profitable in the European Carbon Market?

USAEE Working Paper
Number of pages: 37 Posted: 18 Jun 2018
Audencia Business School, Audencia Nantes School of Management, Aristotle University of Thessaloniki - Department of Economics, Technical University of Crete (TUC) - School of Production Engineering and Management and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 69 (472,308)
Citation 2

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EUA Futures, UHF Trading, Intraday Price Discovery, Market Making

14.

The Impact of Unconventional Monetary Policy Shocks on Energy Prices

Behavioral Finance Laboratory, AUEB, Working Paper Series, BeFin Lab WP 02-17.
Number of pages: 25 Posted: 07 Nov 2017
Birkbeck ,University of London, Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 59 (510,819)

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Unconventional Monetary Policy, Energy Prices, Qual-VAR, Panel-VAR

15.

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 53 (536,517)
Citation 1

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Price shocks, market anticipation, option trading volume

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

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 (710,505)
Citation 2

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

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

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Overreaction, delayed reaction, contrarian profits, emerging stock markets

17.

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 22 (721,479)

Abstract:

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18.

To Be or Not to Be (In): The International Economic Effects of Brexit Uncertainty

Posted: 16 Mar 2020
Panagiota Makrychoriti and Spyros I. Spyrou
Birkbeck ,University of London and Athens University of Economics and Business - Department of Accounting and Finance

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Brexit, Uncertainty, spillovers, FAVAR, QUALVAR, Macroeconomic impact

19.

An Early Warning System for Predicting Systemic Banking Crises in the Eurozone: A Logit Regression Approach

An Early Warning System for Predicting Systemic Banking Crises in the Eurozone: A Logit Regression Approach (2018), Chryssanthi Filippopoulou and Spyros Spyrou, BeFin Lab AUEB, WPS 3-18
Posted: 07 Aug 2018 Last Revised: 02 Jan 2020
Chryssanthi Filippopoulou and Spyros I. Spyrou
Athens University of Economics and Business and Athens University of Economics and Business - Department of Accounting and Finance

Abstract:

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European Central Bank; Macroprudential Database; Early Warning Systems; Multivariate binary Logistic Regression; Systemic Risk

20.

Bond Market Investor Herding: Evidence from the European Financial Crisis

International Review of Financial Analysis, Forthcoming
Posted: 21 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

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Herding, Bond Markets, Financial Crisis

21.

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

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Price shocks, Government bonds, Bond futures

22.

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

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Herding; Fundamental information; Financial crisis

23.

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

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Emerging stock markets, Risk management, Value at Risk