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

27

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4,545

CITATIONS
Rank 28,444

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Top 28,444

in Total Papers Citations

14

Scholarly Papers (27)

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 1,041 (20,017)
Citation 1

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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 629 (40,596)

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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 560 (47,327)
Citation 3

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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 , Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 316 (94,002)
Citation 1

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Financial Crisis, CDS, Spreads, Panel VAR, Sentiment

5.

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 245 (123,106)
Citation 1

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Unconventional Monetary Policy, Sentiment, Economic Expectations

6.

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 217 (138,730)
Citation 2

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Value Premium, CAPM, Time-Varying Risk

7.

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 202 (148,413)

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Yield spreads, investor sentiment, Greek debt crisis

8.

The Effect of Liquidity on Herding: A Comparative Study

Number of pages: 37 Posted: 23 Jan 2016
Audencia Business School , Cyprus University of Technology and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 174 (169,995)

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Herding, Liquidity, Financial Crisis, Major Equity Markets

9.

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 170 (173,529)

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Government Bonds, Return patterns, Overreaction

10.

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 159 (183,765)

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Mergers and Acquisitions, Informed Trading, Options Trading

11.

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 150 (192,930)

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

12.

The Effect of Monetary Policy on Herd Behavior During Financial Crises

Krokida, S-I, Makrichoriti, P., Spyrou, S (2017). The effect of Monetary Policy on Herd Behavior during Financial Crises. Behavioral Finance Laboratory, AUEB, Working Paper Series, BeFin Lab WP 01-17.
Number of pages: 29 Posted: 07 Nov 2017
Cyprus University of Technology, Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 129 (217,782)

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Unconventional Monetary Policy, Herd Behavior, Financial Crisis

13.

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 116 (235,923)
Citation 1

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

14.

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 111 (243,386)

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

15.

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
Number of pages: 40 Posted: 07 Aug 2018 Last Revised: 13 Nov 2018
Chryssanthi Filippopoulou and Spyros I. Spyrou
Athens University of Economics and Business and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 73 (319,955)

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

16.

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 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 71 (322,420)

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Prospect theory, probability distortion, value functions, style investing

17.

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 46 (396,784)

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Price shocks, market anticipation, option trading volume

18.

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 36 (434,769)

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

19.

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
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 31 (456,360)

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

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 (495,057)
Citation 11
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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

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Overreaction, delayed reaction, contrarian profits, emerging stock markets

21.

Momentum Returns, Uncertainty, and Energy Prices: Evidence from Major Equity Markets

Spyrou, S.I., (2019). Momentum Returns, Uncertainty, and Energy Prices: Evidence from Major Equity Markets. Behavioral Finance Laboratory, Athens University of Economics & Business Working Paper Series BeFinLab-WP 05-19.
Number of pages: 30 Posted: 15 May 2019 Last Revised: 24 May 2019
Spyros I. Spyrou
Athens University of Economics and Business - Department of Accounting and Finance
Downloads 22 (508,910)

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Momentum Profits, Economic Policy Uncertainty, Energy Prices, VAR

22.

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 (526,208)
Citation 5
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23.

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 (620,064)
Citation 1
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24.

Bond Market Investor Herding: Evidence from the European Financial Crisis

International Review of Financial Analysis, Forthcoming
Posted: 21 Jan 2016
Audencia Business School , Cyprus University of Technology and Athens University of Economics and Business - Department of Accounting and Finance

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Herding, Bond Markets, Financial Crisis

25.

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

26.

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

27.

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