Nikolaos Tessaromatis

EDHEC Business School

Professor of Finance

58 rue du Port

Lille, 59046

France

SCHOLARLY PAPERS

11

DOWNLOADS
Rank 7,142

SSRN RANKINGS

Top 7,142

in Total Papers Downloads

6,188

CITATIONS

8

Scholarly Papers (11)

1.

Stock Market Sensitivity to Interest Rates and Inflation

EFMA 2003 Helsinki Meetings
Number of pages: 39 Posted: 26 May 2003
Nikolaos Tessaromatis
EDHEC Business School
Downloads 2,359 (5,408)
Citation 3

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stocks market sensitivity to interest rates and inflation, equity duration, determinants of interest rate sensitivity

2.

Style Rotation Strategies: Issues of Implementation

Journal of Portfolio Management, Forthcoming, Cass Business School Research Paper
Number of pages: 26 Posted: 08 Dec 2003
Mario Levis and Nikolaos Tessaromatis
City University London - Cass Business School and EDHEC Business School
Downloads 1,739 (9,040)

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Equities, Style, Rotation, TAA

3.

Dynamic Asset Allocation with Liabilities

European Financial Management, Forthcoming
Number of pages: 67 Posted: 03 May 2012 Last Revised: 22 Nov 2016
Daniel Giamouridis, Athanasios Sakkas and Nikolaos Tessaromatis
Bank of America - Bank of America Merrill Lynch, University of Nottingham and EDHEC Business School
Downloads 623 (41,484)

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Strategic Asset Allocation, Dynamic Asset Allocation, Asset–Liability Management

4.

Revisiting Mutual Fund Performance Evaluation

Journal of Banking and Finance, Vol. 37, No. 5, pp. 1759-1776, May 2013
Number of pages: 61 Posted: 13 Feb 2012 Last Revised: 03 Oct 2013
Timotheos Angelidis, Daniel Giamouridis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics, Bank of America - Bank of America Merrill Lynch and EDHEC Business School
Downloads 365 (80,491)
Citation 1

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Mutual funds, short-term performance, market timing, factor timing

5.

The Role of Commodities in Strategic Asset Allocation

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 53 Posted: 10 Aug 2014 Last Revised: 05 Jan 2015
Daniel Giamouridis, Athanasios Sakkas and Nikolaos Tessaromatis
Bank of America - Bank of America Merrill Lynch, University of Nottingham and EDHEC Business School
Downloads 363 (80,980)
Citation 1

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Strategic Asset Allocation; Dynamic Asset Allocation; Asset Management; Asset-Liability Management; Commodities; Factor Premia; Momentum; Basis

6.

Equity Returns and Idiosyncratic Volatility: UK Evidence

Number of pages: 46 Posted: 02 Jun 2005
Timotheos Angelidis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics and EDHEC Business School
Downloads 230 (132,095)
Citation 3

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Idiosyncratic risk, stock market volatility and stock return predictability

7.

Factor Based Commodity Investing

Number of pages: 90 Posted: 02 Jul 2018 Last Revised: 05 Aug 2019
Athanasios Sakkas and Nikolaos Tessaromatis
University of Nottingham and EDHEC Business School
Downloads 149 (195,488)
Citation 1

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Commodities, Factor Premia, Momentum, Basis, Basis-Momentum, Variance Timing, Commodity Return Predictability

8.

Idiosyncratic Risk and Expected Returns: A Regime Switching Approach

Number of pages: 20 Posted: 12 Aug 2007
Timotheos Angelidis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics and EDHEC Business School
Downloads 129 (219,466)

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Idiosyncratic Risk, Stock Market Volatility and Regime Switching

9.

The Efficiency of Greek Public Pension Fund Portfolios

Number of pages: 40 Posted: 25 Apr 2009
Timotheos Angelidis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics and EDHEC Business School
Downloads 125 (224,801)

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Portfolio Efficiency, Idiosyncratic Risk, Asset Allocation, Utility Loss, Pension Funds.

10.

Idiosyncratic Risk in Greece: Properties and Portfolio Implications

Number of pages: 27 Posted: 26 Apr 2006
Timotheos Angelidis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics and EDHEC Business School
Downloads 106 (253,374)

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Idiosyncratic Risk, Stock Market Volatility, Risk Management

11.

Stock Market Dispersion, the Business Cycle and Expected Factor Returns

Journal of Banking and Finance, Vol. 59, pp. 265-279, October 2015
Posted: 20 Apr 2015 Last Revised: 08 Aug 2015
Timotheos Angelidis, Athanasios Sakkas and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics, University of Nottingham and EDHEC Business School

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Stock Market Return Dispersion, Business Cycle, Market and Factor Returns