Dimitrios D. Thomakos

University of Peloponnese - School of Management and Economics

Associate Professor

Department of Economics

22100 Tripolis

Greece

http://econ.uop.gr/~thomakos

SCHOLARLY PAPERS

35

DOWNLOADS
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Top 2,172

in Total Papers Downloads

12,664

CITATIONS
Rank 16,887

SSRN RANKINGS

Top 16,887

in Total Papers Citations

20

Scholarly Papers (35)

1.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Downloads 2,915 (1,967)
Citation 1

Abstract:

Dow Jones, ETF, Exchange Rate, Moving average, Price cross-over, S&P500, Threshold, Trailing stop, Technical analysis, Technical Trading, Trading strategies

2.

Market Timing & Trading Strategies Using Asset Rotation

Number of pages: 31 Posted: 18 Jan 2010 Last Revised: 19 Feb 2010
Panagiotis Schizas and Dimitrios D. Thomakos
University of Zurich - Department of Banking and Finance and University of Peloponnese - School of Management and Economics
Downloads 2,557 (3,039)

Abstract:

Exchange Traded Funds, forecasting, market timing, sign predictions, statistical arbitrage, technical trading, volatility timing

3.

An Improved Moving Average Technical Trading Rule II: Can We Obtain Performance Improvements with Short Sales?

Quantf Research Working Paper Series No. WP02/2014
Number of pages: 45 Posted: 14 Nov 2011 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Downloads 1,247 (9,941)

Abstract:

ETF, Exchange Rate, Moving average, Price cross-over, S&P500, Short Sales, Stop and Reverse, Threshold, Trailing stop, Technical analysis, Technical Trading, Trading strategies

Accruals and Value/Growth Anomalies: New Evidence on Their Relation

Number of pages: 27 Posted: 16 Sep 2007 Last Revised: 22 Jun 2010
EUROBANK ERGASIAS S.A., University of Piraeus - Department of Business Administration, University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics
Downloads 598 (34,560)

Abstract:

accrual anomaly, value/growth anomaly, earnings management

Accruals and Value/Growth Anomalies: New Evidence on Their Relation

EFA 2008 Athens Meetings Paper
Number of pages: 27 Posted: 09 Mar 2008 Last Revised: 24 Jun 2010
EUROBANK ERGASIAS S.A., University of Piraeus - Department of Business Administration, City University of New York (CUNY) - Department of Economics and University of Peloponnese - School of Management and Economics
Downloads 317 (75,986)

Abstract:

accrual anomaly, value/growth anomaly, earnings management

5.

Pairs Trading on International ETFs

Number of pages: 56 Posted: 14 Nov 2011
Panagiotis Schizas, Dimitrios D. Thomakos and Tao Wang
University of Zurich - Department of Banking and Finance, University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics
Downloads 897 (13,932)

Abstract:

convergence/divergence of prices, exchange traded funds, ETF, Fama-French, international asset pricing, long and short strategies, market neutral strategies, mean reversion

6.

The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies

Quantf Research Working Paper Series No. WP10/2014
Number of pages: 38 Posted: 21 Jul 2013 Last Revised: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Downloads 293 (69,719)

Abstract:

Baltic Dry Index, Commodities, Concordance, Cyclical Analysis, Forecasting, Turning Points

7.

Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration

Number of pages: 43 Posted: 27 Mar 2008 Last Revised: 14 Jun 2008
Dimitrios D. Thomakos
University of Peloponnese - School of Management and Economics
Downloads 230 (88,200)
Citation 3

Abstract:

cointegration, forecasting, linear filtering, singular spectrum analysis, smoothing, trend extraction and prediction, unit root

8.

'Optimal' Probabilistic Predictions of Financial Returns

Number of pages: 29 Posted: 28 Nov 2007
Dimitrios D. Thomakos and Tao Wang
University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics
Downloads 230 (102,234)

Abstract:

decomposition, direction, optimal, predictions, returns, sign forecasting, volatility

9.

Global FDI Convergence Patterns? Evidence from International Comparisons

Number of pages: 25 Posted: 13 Sep 2005
Dimitrios D. Thomakos and Constantina Kottaridi
University of Peloponnese - School of Management and Economics and University of Piraeus
Downloads 215 (112,506)

Abstract:

FDI, convergence, FDI, new economic geography, panel unit root

10.

Covariance Averaging for Improved Estimation and Portfolio Allocation

Quantf Research Working Paper Series No. WP11/2014
Number of pages: 30 Posted: 15 Jul 2013 Last Revised: 02 Jun 2014
Dimitrios D. Thomakos and Fotis Papailias
University of Peloponnese - School of Management and Economics and quantf research
Downloads 162 (122,293)

Abstract:

Averaging, Covariance Estimation, Financial Returns, Multivariate Time Series, Portfolio Allocation, Risk Management, Rolling Window

11.

The Multinational Corporation and the Global Sourcing of Knowledge: Remodeling Absorptive Capacity

Number of pages: 16 Posted: 06 Dec 2007
University of Piraeus, Copenhagen Business School, Brunel University London and University of Peloponnese - School of Management and Economics
Downloads 152 (152,526)
Citation 1

Abstract:

Multinational Corporation, absorptive capacity, subsidiaries, knowledge

12.
Downloads 129 (181,295)

Consumer Confidence and Elections

Number of pages: 63 Posted: 09 Feb 2007
Dimitrios D. Thomakos and Gikas A. Hardouvelis
University of Peloponnese - School of Management and Economics and EUROBANK ERGASIAS S.A.
Downloads 126 (185,284)

Abstract:

consumer confidence, national elections, incumbent party, elections fatigue, macro-economy, fiscal conditions, political business cycle, EU-15, USA

Consumer Confidence and Elections

CEPR Discussion Paper No. DP6701
Number of pages: 61 Posted: 10 Jun 2008
Gikas A. Hardouvelis and Dimitrios D. Thomakos
EUROBANK ERGASIAS S.A. and University of Peloponnese - School of Management and Economics
Downloads 3 (546,975)

Abstract:

consumer confidence, EU-15, fiscal conditions, incumbent party, macro-economy, national elections, political business cycle, USA

13.

Improved Moving Average (IMA) Strategies

Market Technician, Journal of the Society of Technical Analysts, Issue 72, May 2012
Number of pages: 6 Posted: 02 Jun 2014
Fotis Papailias and Dimitrios D. Thomakos
quantf research and University of Peloponnese - School of Management and Economics
Downloads 122 (113,495)

Abstract:

Moving average, Trading Rules, Stop loss, Trailing stop

14.

The Role of Realized Volatility in the Athens Stock Exchange

Multinational Finance Journal, Forthcoming
Number of pages: 44 Posted: 04 Feb 2005 Last Revised: 10 Jun 2009
Dimitrios D. Thomakos and Michail S. Koubouros
University of Peloponnese - School of Management and Economics and University of Peloponnese - Department of Economics
Downloads 122 (186,917)

Abstract:

realized volatility, leverage effect, volatility feedback effect, asset pricing, A.S.E.

15.

A Semiparametric Smooth Transition ARX Model for Nonlinear Time Series

Number of pages: 31 Posted: 17 Aug 2005
Dimitrios D. Thomakos
University of Peloponnese - School of Management and Economics
Downloads 115 (194,173)

Abstract:

Semiparametric, smooth transition, nonlinear, functional autoregression, MINPIN

16.

Local Functional Exponential Smoothing

Number of pages: 35 Posted: 17 Aug 2005
Dimitrios D. Thomakos
University of Peloponnese - School of Management and Economics
Downloads 114 (194,173)

Abstract:

Exponential smoothing, forecasting, nonlinear, nonparametric

17.

Optimal Linear Filtering, Smoothing and Trend Extraction of M-Period Differences of Processes with a Unit Root

Number of pages: 46 Posted: 06 Nov 2008
Dimitrios D. Thomakos
University of Peloponnese - School of Management and Economics
Downloads 87 (217,236)

Abstract:

core inflation, business cycles, differences, euro, linear filtering, singular spectrum analysis, smoothing, trading strategies, trend extraction and prediction, unit root

18.

Median-Unbiased Optimal Smoothing and Trend Extraction

Number of pages: 25 Posted: 04 Dec 2008
Dimitrios D. Thomakos
University of Peloponnese - School of Management and Economics
Downloads 85 (226,440)

Abstract:

Hodrick-Prescott filter, local linear, moving average, singular spectrum analysis, smoothing, splines, time series, trend extraction, U.S. real GDP

19.

Improving Forecasting Performance by Window and Model Averaging

CAMA Working Paper Series 05/2011
Number of pages: 38 Posted: 09 Mar 2011
Prasad S. Bhattacharya and Dimitrios D. Thomakos
Deakin University - Department of Economics and University of Peloponnese - School of Management and Economics
Downloads 70 (246,802)
Citation 1

Abstract:

Exchange Rate Forecasting, Inflation Forecasting, Output Growth Forecasting, Rolling Window, Model Averaging, Short Horizon, Robustness

20.

Realized Volatility and Jumps in the Athens Stock Exchange

Number of pages: 27 Posted: 04 Nov 2009
Dimitrios D. Thomakos and Dimitrios I. Vortelinos
University of Peloponnese - School of Management and Economics and University of Lincoln
Downloads 65 (279,347)

Abstract:

Athens Stock Exchange, bipower variation, heterogeneous autoregressive models, realized volatility, volatility jumps

21.

A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift

Number of pages: 3 Posted: 28 Mar 2008 Last Revised: 14 Jun 2008
Dimitrios D. Thomakos
University of Peloponnese - School of Management and Economics
Downloads 58 (283,953)
Citation 3

Abstract:

drift, linear filtering, singular spectrum analysis, smoothing, trend extraction and prediction, unit root

22.

Inflation Dynamics & the Cross-Sectional Distribution of Prices in the E.U. Periphery

Number of pages: 35 Posted: 29 May 2007 Last Revised: 06 Dec 2007
Constantina Kottaridi, Diego Mendez-Carbajo and Dimitrios D. Thomakos
University of Piraeus, Illinois Wesleyan University and University of Peloponnese - School of Management and Economics
Downloads 54 (303,305)

Abstract:

Inflation, Cross-sectional distribution of prices,Greece, Portugal, Spain, European Union, Harmonization

23.

'Mind the Gap': Are Sovereign Spreads a Significant Factor for Explaining Income Inequality in the Euro-Zone Periphery?

Number of pages: 18 Posted: 25 Jun 2014
Christos Tsenes and Dimitrios D. Thomakos
EUROBANK Asset Management M.F.M.C., Global investment Advisory Division and University of Peloponnese - School of Management and Economics
Downloads 19 (423,036)

Abstract:

income inequality, inflation, growth, sovereign spreads, unemployment

24.

Can we Obtain Realistic Parameter Estimates for the 'Protection for Sale' Model?

Canadian Journal of Economics, Vol. 39, No. 1, pp. 187-210, February 2006
Number of pages: 24 Posted: 11 May 2006
Devashish Mitra, Dimitrios D. Thomakos and Mehmet Ali Ulubasoglu
Syracuse University - Department of Economics, University of Peloponnese - School of Management and Economics and Deakin University - School of Accounting, Economics and Finance
Downloads 12 (479,595)
Citation 10

Abstract:

25.

The Role of Realised Volatility in the Athens Stock Exchange

Multinational Finance Journal, Vol. 15, No. 1/2, p. 87-124, 2011
Number of pages: 38 Posted: 25 Jun 2015
Dimitrios D. Thomakos and Michail S. Koubouros
University of Peloponnese - School of Management and Economics and University of Peloponnese - Department of Economics
Downloads 6 (503,970)

Abstract:

realized volatility; leverage effect; volatility feedback effect; asset pricing; A.S.E

External Financing, Growth and Stock Returns

European Financial Management, Vol. 18, Issue 5, pp. 790-815, 2012
Number of pages: 26 Posted: 20 Oct 2012
EUROBANK ERGASIAS S.A., affiliation not provided to SSRN, University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics
Downloads 1 (564,552)
Citation 1

Abstract:

corporate financing activities, value/growth, earnings quality, stock returns

External Financing, Growth and Stock Returns

European Financial Management, Forthcoming
Posted: 17 Jul 2008 Last Revised: 19 Aug 2012
EUROBANK ERGASIAS S.A., University of Piraeus - Department of Business Administration, University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics

Abstract:

Corporate financing activities, value/growth, earnings quality, stock returns

27.

Managerial Discretion, Net Operating Assets and the Cross-Section of Stock Returns: Evidence from European Countries

Journal of International Financial Markets, Institutions and Money, Vol.47, pp. 188-210, 2017
Posted: 01 Dec 2016 Last Revised: 04 Apr 2017
George A. Papanastasopoulos and Dimitrios D. Thomakos
University of Piraeus - Department of Business Administration and University of Peloponnese - School of Management and Economics

Abstract:

Net Operating Assets, Stock Returns, Managerial Discretion, European Equity Markets

28.

The Accrual Anomaly in the Greek Stock Market

Investment Management and Financial Innovations, Vol. 13, pp. 322-333, 2016.
Posted: 10 Aug 2016
George A. Papanastasopoulos, Dimitrios D. Thomakos and Andreas i Tsalas
University of Piraeus - Department of Business Administration, University of Peloponnese - School of Management and Economics and University of Peloponnese

Abstract:

accrual anomaly, Greek stock market

29.

Naïve, Arima, Nonparametric, Transfer Function, and VAR Models: A Comparison of Forecasting Performance

International Journal of Forecasting, Vol. 20, No. 1, 2004
Number of pages: 29 Posted: 12 Mar 2016
Dimitrios D. Thomakos and John Guerard
University of Peloponnese - School of Management and Economics and McKinley Capital Management, LLC
Downloads 0 (459,025)

Abstract:

Forecasting, ARIMA

30.

Nonparametric Realized Volatility Estimation in the International Equity Markets

International Review of Financial Analysis, Vol. 28, pp. 34-45, 2013
Posted: 30 Jan 2015
Dimitrios I. Vortelinos and Dimitrios D. Thomakos
University of Lincoln and University of Peloponnese - School of Management and Economics

Abstract:

Realized volatility, Optimal sampling, Kernels, Two-scales, Moving average, Long memory, Jumps, Heterogeneous autoregressive models

31.

Corporate Financing Activities, Fundamentals to Price Ratios And the Cross Section of Stock Returns

Journal of Economic Studies, Vol. 40, pp. 493 - 514, 2013
Posted: 12 Jun 2013 Last Revised: 18 Nov 2014
George A. Papanastasopoulos, Dimitrios D. Thomakos and Tao Wang
University of Piraeus - Department of Business Administration, University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics

Abstract:

free cash flow yield, external financing activities, stock returns

32.

Accruals and the Performance of Stock Returns Following External Financing Activities

The British Accounting Review, Vol. 43, pp. 214-229, 2011
Posted: 26 Aug 2008 Last Revised: 06 Aug 2011
George A. Papanastasopoulos, Dimitrios D. Thomakos and Tao Wang
University of Piraeus - Department of Business Administration, University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics

Abstract:

External financing activities, accruals, stock returns

33.

Information in Balance Sheets for Future Stock Returns: Evidence from Net Operating Assets

International Review of Financial Analysis, Vol. 20, pp. 269-282, 2011
Posted: 15 Oct 2006 Last Revised: 18 Jul 2011
George A. Papanastasopoulos, Dimitrios D. Thomakos and Tao Wang
University of Piraeus - Department of Business Administration, University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics

Abstract:

Net operating assets (NOA), stock returns, opportunistic earnings management, overinvestment.

34.

The Implications of Retained and Distributed Earnings for Future Profitability and Stock Returns

Review of Accounting and Finance, Vol. 9, pp. 395-423, 2010
Posted: 16 Feb 2006 Last Revised: 16 Nov 2010
George A. Papanastasopoulos, Dimitrios D. Thomakos and Tao Wang
University of Piraeus - Department of Business Administration, University of Peloponnese - School of Management and Economics and City University of New York (CUNY) - Department of Economics

Abstract:

retained earnings, distributed earnings, accruals, cash flows, profitability, stock returns

35.

Returns Signal Momentum

Number of pages: 51 Posted: 22 May 2017
Fotis Papailias, Jiadong Liu and Dimitrios D. Thomakos
quantf research, Queen's Management School and University of Peloponnese - School of Management and Economics
Downloads 159

Abstract:

Returns Signal, Trading Strategies, Market Timing, Time Series Momentum