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Paskalis Glabadanidis

University of Adelaide Business School

Senior Lecturer in Finance

10 Pulteney Street

Adelaide, South Australia 5005

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

  • University of Adelaide Business School

SCHOLARLY PAPERS

15

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11,772

CITATIONS
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SSRN RANKINGS

Top 10,127

in Total Papers Citations

42

Scholarly Papers (15)

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1.

Market Timing with Moving Averages

Downloads 9,197 ( 455)

Market Timing with Moving Averages

Number of pages: 68 Posted: 12 Mar 2012 Last Revised: 09 Nov 2012
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 6,666 (791)

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Market timing, moving average, technical analysis, conditional model

Market Timing with Moving Averages

25th Australasian Finance and Banking Conference 2012
Number of pages: 68 Posted: 10 Aug 2012 Last Revised: 09 Nov 2012
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 1,152 (15,630)

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Market timing, security selection, moving average, technical analysis, conditional models

Market Timing with Moving Averages

Number of pages: 75 Posted: 30 Jan 2013
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 930 (21,541)

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Market timing, security selection, moving average, technical analysis, conditional models

Market Timing with Moving Averages

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 68 Posted: 23 Aug 2012 Last Revised: 24 Jan 2013
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 448 (57,626)

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market timing, security selection, moving average, technical analysis, conditional models

Market Timing with Moving Averages

International Review of Finance, Vol. 15, Issue 3, pp. 387-425, 2015
Number of pages: 39 Posted: 03 Sep 2015
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 1 (629,223)
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2.

Risk Premia and the Dynamic Covariance between Stock and Bond Returns

Journal of Financial and Quantitative Analysis (JFQA), Vol. 38, No. 2, 2003
Number of pages: 37 Posted: 05 Jul 2001 Last Revised: 23 Oct 2012
John T. Scruggs and Paskalis Glabadanidis
Loring Ward and University of Adelaide Business School
Downloads 823 (26,186)
Citation 35

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3.

The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes

Downloads 564 ( 43,557)

The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes

Number of pages: 40 Posted: 09 May 2012 Last Revised: 15 Nov 2012
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 563 (43,109)

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Technical Analysis, Moving Average, Market Timing, US Index REIT

The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes

International Review of Finance, Vol. 14, Issue 2, pp. 161-202, 2014
Number of pages: 42 Posted: 05 Jun 2014
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 1 (629,223)
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4.

Benchmark Replication Portfolio Strategies

Journal of Asset Management Vol. 14, 2, 95–110, 24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 22 Posted: 20 Aug 2011 Last Revised: 24 Jun 2013
Paskalis Glabadanidis and Leon Zolotoy
University of Adelaide Business School and The University of Melbourne - Melbourne Business School
Downloads 266 (105,730)

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Optimal Portfolio Weights, Benchmarking

5.

A Dynamic Asset Pricing Model with Time-Varying Idiosyncratic Risk

Number of pages: 62 Posted: 08 Dec 2004
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 247 (114,209)
Citation 1

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Dynamic Asset Pricing, Multivariate GARCH

6.

Robust and Efficient Strategies to Track and Outperform a Benchmark

Downloads 244 (115,614)
Citation 2

Robust and Efficient Strategies to Track and Outperform a Benchmark

Number of pages: 49 Posted: 23 Jan 2011
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 119 (218,422)
Citation 2

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Optimal Portfolio Weights, Benchmarking

Robust and Efficient Strategies to Track and Outperform a Benchmark

Number of pages: 32 Posted: 19 Feb 2009
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 71 (306,917)
Citation 2

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Optimal Portfolio Weights, Benchmarking

Robust and Efficient Strategies to Track and Outperform a Benchmark

Number of pages: 23 Posted: 17 Mar 2010
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 54 (354,117)
Citation 2

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Optimal Portfolio Weights, Benchmarking

7.

Measuring the Economic Significance of Mean-Variance Spanning

Quarterly Review of Economics and Finance, Vol. 49, No. 2, 2009
Number of pages: 59 Posted: 08 Dec 2004 Last Revised: 24 Oct 2012
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 139 (192,530)
Citation 2

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Mean-Variance Spanning Tests, Bayesian Inference, International Investment

8.

Another Test of the Efficiency of a Given Portfolio

Downloads 86 (271,109)

Another Test of the Efficiency of a Given Portfolio

Number of pages: 43 Posted: 01 Nov 2014
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 62 (330,385)

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Portfolio efficiency, global minimum variance portfolio, mean-variance spanning.

Another Test of the Efficiency of a Given Portfolio

Number of pages: 51 Posted: 20 Aug 2015
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 24 (478,733)

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Portfolio efficiency, global minimum variance portfolio, mean-variance spanning.

9.

Rafi Replication: Easier Done than Said?

Journal of Asset Management Vol. 13, 3, 210-225
Number of pages: 23 Posted: 05 Apr 2013
Paskalis Glabadanidis, Ivan Obaydin and Ralf Zurbruegg
University of Adelaide Business School, University of Adelaide - Business School and University of Adelaide
Downloads 74 (296,443)

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Fundamental indexes, portfolio diversification, mean-variance spanning

10.

Do Equity Mutual Funds Really Perform Less Poorly in Bad Times? Evidence from US and Australia

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 25 Aug 2012
Tariq H. Haque and Paskalis Glabadanidis
University of Adelaide and University of Adelaide Business School
Downloads 60 (331,482)

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Mutual funds, Unconditional performance evaluation, Conditional performance evaluation

11.

What Difference Fat Tails Make: A Bayesian MCMC Estimation of Empirical Asset Pricing Models

Bayesian Inference in the Social Sciences, edited by Ivan Jeliazkov and Xin-She Yang, John Wiley & Sons, published in October, 2014
Number of pages: 28 Posted: 22 Aug 2017
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 27 (449,118)

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asset pricing errors, fat-tailed error distributions, size, value, momentum, capital asset pricing model, Fama-French three-factor model, Carhart four-factor model, Bayes credibility interval, Bayes factor, model comparison, Student-t link

12.

Maximizing Excess Return per Unit Variance: A Novel Investment Management Objective

Journal of Asset Management, Volume 17, Issue 7, Pages 486-501, December 2016
Number of pages: 30 Posted: 15 Aug 2017
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 24 (464,593)

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Risk Premia, Tracking Error, Active Return, Tangent Portfolio Weights, Minimum Variance Portfolio Weights, Factor Models of Expected Returns

13.

Tangent Portfolio Weights without Explicitly Specified Expected Returns

Journal of Asset Management, Volume 15, Issue 3, Pages 177-190, June 2014
Number of pages: 26 Posted: 15 Aug 2017
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 13 (524,585)

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Tangent Portfolio Weights, Factor Models of Expected Returns, Market Model, Fama and French Three-Factor Model, Carhart Four-Factor Model, Out-Of-Sample Realized Active Return

14.

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk

Journal of Financial Econometrics, Vol. 7, Issue 3, pp. 247-264, 2009
Number of pages: 34 Posted: 30 Jun 2009 Last Revised: 14 Aug 2017
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 7 (557,364)
Citation 2

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C32, G12, dynamic asset pricing, multivariate GARCH

15.

Timing the Market with a Combination of Moving Averages

International Review of Finance, Vol. 17, Issue 3, pp. 353-394, 2017
Number of pages: 42 Posted: 06 Sep 2017
Paskalis Glabadanidis
University of Adelaide Business School
Downloads 1 (598,736)
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