Paskalis Glabadanidis

Essential Services Commission of South Australia

Level 1, 151 Pirie Street

Adelaide, SA 5001

Australia

  • Essential Services Commission of South Australia

SCHOLARLY PAPERS

18

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13,897

SSRN CITATIONS
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Top 13,552

in Total Papers Citations

31

CROSSREF CITATIONS

55

Scholarly Papers (18)

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1.

Market Timing with Moving Averages

Downloads 10,644 ( 719)
Citation 11

Market Timing with Moving Averages

Number of pages: 68 Posted: 12 Mar 2012 Last Revised: 09 Nov 2012
Paskalis Glabadanidis
Essential Services Commission of South Australia
Downloads 7,825 (1,230)
Citation 2

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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
Essential Services Commission of South Australia
Downloads 1,287 (23,583)
Citation 2

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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
Essential Services Commission of South Australia
Downloads 1,010 (33,602)

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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
Essential Services Commission of South Australia
Downloads 508 (83,558)
Citation 2

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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
Essential Services Commission of South Australia
Downloads 14 (847,618)
Citation 4

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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
Allianz Global Investors and Essential Services Commission of South Australia
Downloads 896 (40,327)
Citation 8

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3.

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

Downloads 654 ( 61,406)
Citation 2

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
Essential Services Commission of South Australia
Downloads 650 (61,072)

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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
Essential Services Commission of South Australia
Downloads 4 (955,719)

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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
Essential Services Commission of South Australia and University of Melbourne - Melbourne Business School
Downloads 302 (152,220)

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Optimal Portfolio Weights, Benchmarking

5.

Robust and Efficient Strategies to Track and Outperform a Benchmark

Downloads 301 (152,728)
Citation 3

Robust and Efficient Strategies to Track and Outperform a Benchmark

Number of pages: 49 Posted: 23 Jan 2011
Paskalis Glabadanidis
Essential Services Commission of South Australia
Downloads 148 (295,363)
Citation 1

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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
Essential Services Commission of South Australia
Downloads 82 (448,712)
Citation 1

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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
Essential Services Commission of South Australia
Downloads 71 (487,832)
Citation 3

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Optimal Portfolio Weights, Benchmarking

6.

A Dynamic Asset Pricing Model with Time-Varying Idiosyncratic Risk

Number of pages: 62 Posted: 08 Dec 2004
Paskalis Glabadanidis
Essential Services Commission of South Australia
Downloads 267 (172,819)

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Dynamic Asset Pricing, Multivariate GARCH

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
Essential Services Commission of South Australia
Downloads 166 (268,071)
Citation 3

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Mean-Variance Spanning Tests, Bayesian Inference, International Investment

8.

Another Test of the Efficiency of a Given Portfolio

Downloads 133 (320,401)
Citation 1

Another Test of the Efficiency of a Given Portfolio

Number of pages: 43 Posted: 01 Nov 2014
Paskalis Glabadanidis
Essential Services Commission of South Australia
Downloads 80 (455,414)
Citation 1

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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
Essential Services Commission of South Australia
Downloads 53 (566,139)

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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
Essential Services Commission of South Australia, University of Adelaide - Business School and University of Adelaide
Downloads 90 (420,100)

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Fundamental indexes, portfolio diversification, mean-variance spanning

10.

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
Essential Services Commission of South Australia
Downloads 78 (457,253)

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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

11.

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 Essential Services Commission of South Australia
Downloads 71 (481,837)

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Mutual funds, Unconditional performance evaluation, Conditional performance evaluation

12.

Smart Beta and Statistical Significance

The Journal of Wealth Management 22 (2), 30-36
Number of pages: 12 Posted: 25 Feb 2020
Paskalis Glabadanidis
Essential Services Commission of South Australia
Downloads 67 (496,852)

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smart beta, statistical significance, alternative indexation

13.

Actively Managed Mean-Variance Portfolios

Forthcoming, Journal of Wealth Management
Number of pages: 13 Posted: 25 Feb 2020
Paskalis Glabadanidis
Essential Services Commission of South Australia
Downloads 59 (533,583)

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active portfolio management, benchmark, mean-variance portfolio, tracking error, replicating portfolio

14.

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
Essential Services Commission of South Australia
Downloads 50 (570,504)
Citation 1

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

15.

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
Essential Services Commission of South Australia
Downloads 35 (659,142)
Citation 2

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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

16.

An Exact Test of the Improvement of the Minimum Variance Portfolio

Downloads 34 (659,142)

An Exact Test of the Improvement of the Minimum Variance Portfolio

Number of pages: 48 Posted: 20 Feb 2019
Paskalis Glabadanidis
Essential Services Commission of South Australia
Downloads 30 (705,507)

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tangent portfolio, global minimum variance portfolio, mean-variance spanning

An Exact Test of the Improvement of the Minimum Variance Portfolio

International Review of Finance, Vol. 19, Issue 1, pp. 45-82, 2019
Number of pages: 38 Posted: 06 Mar 2019
Paskalis Glabadanidis
Essential Services Commission of South Australia
Downloads 4 (955,719)

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17.

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
Essential Services Commission of South Australia
Downloads 26 (715,311)

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C32, G12, dynamic asset pricing, multivariate GARCH

18.

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
Essential Services Commission of South Australia
Downloads 24 (731,028)

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