Panayiotis C. Andreou

Cyprus University of Technology

Lecturer in Finance

School Of Management and Economics

P.O. Box 50329

Lemesos, 3036

Cyprus

http://www.pandreou.com

SCHOLARLY PAPERS

18

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Scholarly Papers (18)

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 86 Posted: 17 Jan 2014 Last Revised: 12 Jun 2017
Panayiotis C. Andreou, Anastasios Kagkadis, Paulo F. Maio and Dennis Philip
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 868 (21,631)

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Dispersion in beliefs; Predictability of stock returns; Equity premium; Trading volume dispersion; Out-of-sample predictability; Economic signi cance

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 86 Posted: 06 Oct 2014 Last Revised: 12 Jun 2017
Panayiotis C. Andreou, Anastasios Kagkadis, Paulo F. Maio and Dennis Philip
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 82 (262,009)

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Dispersion in beliefs; Predictability of stock returns; Equity premium; Trading volume dispersion; Out-of-sample predictability; Economic significance

Corporate Governance and Firm-Specific Stock Price Crashes

Forthcoming to European Financial Management, 2016
Number of pages: 62 Posted: 28 Mar 2012 Last Revised: 02 Apr 2016
Cyprus University of Technology, University of Warwick - Warwick Business School, University of Exeter Business School and Cyprus University of Technology
Downloads 746 (26,903)

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Crash Risk, Corporate Governance

Corporate Governance and Firm‐Specific Stock Price Crashes

European Financial Management, Vol. 22, Issue 5, pp. 916-956, 2016
Number of pages: 41 Posted: 22 Nov 2016
Cyprus University of Technology, University of Warwick - Warwick Business School, University of Exeter and Cyprus University of Technology
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crash risk, corporate governance, agency risk, information environment

3.

Options Pricing Via Statistical Learning Techniques: The Support Vector Regression Approach

Number of pages: 25 Posted: 16 Jun 2008
Panayiotis C. Andreou, Christakis Charalambous and Spiros Martzoukos
Cyprus University of Technology, University of Cyprus - Department of Public and Business Administration and University of Cyprus - Department of Public and Business Administration
Downloads 257 (88,767)

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Option pricing, implied volatilities, implied parameters, deterministic volatility functions, support vector machines, neural networks

4.

Effects of Market Default Risk on Index Options Risk-Neutral Moments

Number of pages: 45 Posted: 24 Jun 2009 Last Revised: 11 Aug 2013
Panayiotis C. Andreou
Cyprus University of Technology
Downloads 224 (108,571)

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default risk, implied volatility smirk, deterministic volatility functions, determinants, trading volume

5.

Investor Sentiments, Rational Beliefs and Option Prices

Number of pages: 48 Posted: 23 Jul 2014
Panayiotis C. Andreou, Anastasios Kagkadis and Dennis Philip
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance and Durham University Business School
Downloads 88 (248,558)

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Risk-neutral skewness; Implied volatility smirk; Investor sentiment; Macroeconomy; Index options

6.

Bank Loan Loss Accounting Treatments, Credit Cycles and Crash Risk

London Business School Accounting Research Paper Series
Number of pages: 54 Posted: 03 Aug 2015 Last Revised: 22 Feb 2017
Panayiotis C. Andreou, Ian A. Cooper, Christodoulos Louca and Dennis Philip
Cyprus University of Technology, London Business School, Cyprus University of Technology and Durham University Business School
Downloads 66 (66,369)

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Accounting conservatism, loan loss accounting, bank lending, crash risk

7.

Differences in Options Investors' Expectations and the Cross-Section of Stock Returns

Number of pages: 59 Posted: 17 Apr 2015 Last Revised: 20 May 2017
Panayiotis C. Andreou, Anastasios Kagkadis, Dennis Philip and Ruslan Tuneshev
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University Business School and Durham University Business School
Downloads 65 (89,825)

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Dispersion of Beliefs; Disagreement in Options Market; Cross-Section of Stock Returns; Equity Options; Option Trading Volume

8.

The Impact of Managerial Ability on Crisis-Period Corporate Investment

Journal of Business Research, Forthcoming
Number of pages: 50 Posted: 21 Jul 2015 Last Revised: 31 May 2017
Cyprus University of Technology, Cyprus University of Technology, Cyprus University of Technology and Tel Aviv University
Downloads 61 (65,516)

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Managerial Ability, Firm Performance, Corporate Investment, Financing, Underinvestment Problems, Financial Crisis

9.

Short-Horizon Event Study Estimation with a STAR Model and Real Contaminated Events

Number of pages: 44 Posted: 30 Oct 2014 Last Revised: 24 Apr 2015
Panayiotis C. Andreou, Christodoulos Louca and Christos S. Savva
Cyprus University of Technology, Cyprus University of Technology and Cyprus University of Technology - Department of Commerce, Finance and Shipping
Downloads 25 (368,557)

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Event studies, parametric test statistics, unrelated events, Markov switching regression model, Smooth Transition Auto Regressive (STAR) model

10.

Organizational Learning and Corporate Diversification Performance

Journal of Business Research, 2016
Number of pages: 59 Posted: 04 Oct 2010 Last Revised: 02 Apr 2016
Panayiotis C. Andreou, Christodoulos Louca and Andreas Petrou
Cyprus University of Technology, Cyprus University of Technology and Cyprus University of Technology
Downloads 14 (327,761)

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organizational learning, absorptive capacity, diversification, repetitive experience, accumulative experience, diversification discount, firm performance

11.

Forward Moments and Risk Premia Predictability

Number of pages: 41 Posted: 06 Mar 2017 Last Revised: 05 Jul 2017
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Durham University Business School and Durham University
Downloads 0 (379,178)

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Forward Moments; Implied Volatility Surface; Partial Least Squares; Predictability of Stock Returns; Equity Premium; Variance Premium

12.

Bank Opaqueness and Intermediation

Number of pages: 48 Posted: 20 Jan 2017 Last Revised: 02 Feb 2017
Cyprus University of Technology, Cyprus University of Technology - Department of Commerce, Durham University Business School and PwC Strategy&
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Financial Institutions, Liquidity Creation, Regulation, Opacity

13.

CEO Overconfidence and the Valuation Effects of Corporate Diversification & Refocusing Decisions

Number of pages: 68 Posted: 14 Jan 2017
Cyprus University of Technology, Old Dominion University - Strome College of Business, Cyprus University of Technology - Department of Commerce and Cyprus University of Technology
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CEO Overconfidence, Diversification, Refocusing, Diversification Discount, Firm Performance

14.

CEO Duality, Agency Costs, and Internal Capital Allocation Efficiency

Forthcoming, British Journal of Management
Number of pages: 39 Posted: 07 Nov 2016 Last Revised: 19 Nov 2017
Nihat Aktas, Panayiotis C. Andreou, Isabella Karasamani and Dennis Philip
WHU - Otto Beisheim School of Management, Cyprus University of Technology, Cyprus University of Technology and Durham University Business School
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CEO duality; Internal capital allocation; Investment efficiency; Agency costs; Board structure; Equity-based compensation

15.

CEO Age and Stock Price Crash Risk

Forthcoming in Review of Finance
Posted: 12 Sep 2016 Last Revised: 07 Nov 2016
Panayiotis C. Andreou, Christodoulos Louca and Andreas Petrou
Cyprus University of Technology, Cyprus University of Technology and Cyprus University of Technology

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CEO Age, Crash Risk, Agency Theory, Managerial Discretion

16.

Bank Liquidity Creation and Risk‐Taking: Does Managerial Ability Matter?

Journal of Business Finance & Accounting, Vol. 43, Issue 1-2, pp. 226-259, 2016
Number of pages: 34 Posted: 21 Mar 2016
Panayiotis C. Andreou, Dennis Philip and Peter Paul Robejsek
Cyprus University of Technology, Durham University Business School and PwC Strategy&
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financial institutions, managerial ability, liquidity creation, risk‐taking, financial crisis

17.

Assessing the Performance of Symmetric and Asymmetric Implied Volatility Functions

Posted: 09 Jul 2008 Last Revised: 16 Jan 2011
Panayiotis C. Andreou, Christakis Charalambous and Spiros Martzoukos
Cyprus University of Technology, University of Cyprus - Department of Public and Business Administration and University of Cyprus - Department of Public and Business Administration

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Option pricing, implied volatilities, deterministic volatility functions, implied volatility functions

18.

Generalized Parameter Functions for Option Pricing

Journal of Banking & Finance, Volume 34, Issue 3, March 2010, Pages 633-646
Posted: 17 Mar 2008 Last Revised: 19 Jul 2015
Christakis Charalambous, Panayiotis C. Andreou and Spiros Martzoukos
University of Cyprus - Department of Public and Business Administration, Cyprus University of Technology and University of Cyprus - Department of Public and Business Administration

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implied parameters, deterministic volatility functions, hedging, semi-parametric approach