Alexandros Kostakis

University of Liverpool Management School

Professor of Finance

Chatham Building

Liverpool, L69 7ZH

United Kingdom

http://www.alexkostakis.com

University of Manchester - Manchester Business School

Visiting Research Professor

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

25

DOWNLOADS
Rank 8,098

SSRN RANKINGS

Top 8,098

in Total Papers Downloads

7,280

SSRN CITATIONS
Rank 9,020

SSRN RANKINGS

Top 9,020

in Total Papers Citations

92

CROSSREF CITATIONS

52

Scholarly Papers (25)

Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Number of pages: 56 Posted: 23 Oct 2008 Last Revised: 07 Mar 2011
University of Liverpool Management School, Queen Mary, University of London and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 897 (32,689)
Citation 24

Abstract:

Loading...

Asset allocation, Option-implied distributions, Market timing, Performance evaluation, Portfolio Choice, Risk aversion

Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Management Science, Vol. 57, No. 7, pp. 1231-1249, 2011
Posted: 24 Nov 2011 Last Revised: 27 Nov 2011
University of Liverpool Management School, Queen Mary, University of London and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

Abstract:

Loading...

asset allocation, option-implied distributions, market timing, performance evaluation, portfolio

2.

Managerial Ownership and Performance

Journal of Business Research, Vol. 62, pp. 1350-1357, 2009
Number of pages: 33 Posted: 12 Feb 2008 Last Revised: 15 Mar 2011
Chris Florackis, Alexandros Kostakis and Aydin Ozkan
University of Liverpool (UK), University of Liverpool Management School and Hull University Business School (HUBS)
Downloads 596 (57,328)
Citation 1

Abstract:

Loading...

Corporate performance, managerial ownership, semi-parametric approach

Are There Common Factors in Individual Commodity Futures Returns?

Journal of Banking and Finance, Forthcoming
Number of pages: 49 Posted: 13 May 2012 Last Revised: 09 Dec 2013
University of Crete, Department of Economics, University of Liverpool Management School and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance
Downloads 501 (70,797)
Citation 10

Abstract:

Loading...

Common factors, Commodity-specific factors, Hedging pressure, Inventories, Market segmentation, Principal components analysis

Are There Common Factors in Individual Commodity Futures Returns?

Journal of Banking and Finance, Forthcoming
Posted: 10 Dec 2013
University of Crete, Department of Economics, University of Liverpool Management School and University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance

Abstract:

Loading...

Common factors, Commodity-specific factors, Hedging pressure, Inventories, Market segmentation, Principal components analysis

4.

Trading Frequency and Asset Pricing on the London Stock Exchange: Evidence from a New Price Impact Ratio

Journal of Banking and Finance, 2011, Vol. 35, pp. 3335-3350
Number of pages: 53 Posted: 22 Jun 2010 Last Revised: 02 Oct 2012
Chris Florackis, Andros Gregoriou and Alexandros Kostakis
University of Liverpool (UK), University of East Anglia and University of Liverpool Management School
Downloads 500 (71,530)
Citation 8

Abstract:

Loading...

Trading Frequency, Transaction Costs, Price Impact Ratio, Asset Pricing, Illiquidity

5.

Do Stock Returns Really Decrease with Default Risk? New International Evidence

Management Science, Forthcoming
Number of pages: 77 Posted: 22 Aug 2013 Last Revised: 06 Nov 2016
Kevin Aretz, Chris Florackis and Alexandros Kostakis
Alliance Manchester Business School, University of Liverpool (UK) and University of Liverpool Management School
Downloads 376 (99,973)
Citation 4

Abstract:

Loading...

Default risk; Bankruptcy; Stock returns; International financial markets; Creditor protection

6.

Testing for Persistence in Mutual Fund Performance and the Ex Post Verification Problem: Evidence From the Greek Market

European Journal of Finance, Vol. 14, pp. 735-753, 2008
Number of pages: 41 Posted: 30 May 2007 Last Revised: 15 Mar 2011
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, Brunel University London - Department of Economics and Finance, University of Liverpool Management School and University of Piraeus - Department of Business Administration
Downloads 375 (100,280)
Citation 1

Abstract:

Loading...

Mutual funds, Performance persistence, Market efficiency,Emerging markets

7.

What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?

Number of pages: 74 Posted: 28 Mar 2014 Last Revised: 03 Nov 2016
Przemyslaw Stan Stilger, Alexandros Kostakis and Ser-Huang Poon
University of Manchester - Manchester Business School, University of Liverpool Management School and Alliance Manchester Business School, University of Manchester
Downloads 372 (101,213)
Citation 13

Abstract:

Loading...

Option-Implied Information, Risk-Neutral Skewness, Hedging Pressure, Overvaluation, Short Selling Constraints.

8.

Robust Econometric Inference for Stock Return Predictability

Number of pages: 120 Posted: 02 Nov 2014
University of Liverpool Management School, University of Southampton and University of Liverpool Management School
Downloads 339 (112,305)
Citation 24

Abstract:

Loading...

Stock returns, Predictability, Persistent regressors, Robust inference

9.

Positive Stock Information in Out-of-the-Money Option Prices

Number of pages: 78 Posted: 06 Jun 2017 Last Revised: 06 Mar 2021
UBS, University of Liverpool Management School, University of Piraeus, Department of Banking and Financial ManagementQueen Mary, University of London, School of Economics and Finance and University of Manchester - Manchester Business School
Downloads 301 (127,657)

Abstract:

Loading...

Option-Implied Information, Price Discovery, Risk-Neutral Skewness, Stock Underpricing, Downside Risk

10.

Idiosyncratic Risk, Risk-Taking Incentives and the Relation Between Managerial Ownership and Firm Value

European Journal of Operational Research, Forthcoming
Number of pages: 59 Posted: 21 Jul 2012 Last Revised: 02 Jul 2020
Chris Florackis, Angelos Kanas, Alexandros Kostakis and Sushil Sainani
University of Liverpool (UK), University of Crete - Department of Economics, University of Liverpool Management School and University of Liverpool
Downloads 299 (128,594)

Abstract:

Loading...

Idiosyncratic Risk, Risk-substitution, Managerial Ownership, Firm Value, Semi-parametric Estimation

11.

Performance Measures and Incentives: Loading Negative Coskewness to Outperform the CAPM

European Journal of Finance, Vol. 15, pp. 463-486, 2009
Number of pages: 49 Posted: 04 Mar 2008 Last Revised: 15 Mar 2011
Alexandros Kostakis
University of Liverpool Management School
Downloads 280 (137,633)

Abstract:

Loading...

Performance measures, Coskewness, Mutual funds, Performance evaluation

12.

Cross-Country Effects in Herding Behaviour: Evidence from Four South European Markets

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 31 Posted: 26 Mar 2011 Last Revised: 14 Apr 2011
Fotini Economou, Alexandros Kostakis and Nikolaos Philippas
Independent, University of Liverpool Management School and University of Piraeus - Department of Business Administration
Downloads 243 (158,736)
Citation 6

Abstract:

Loading...

Herding behaviour, PIGS, International financial markets, Cross-sectional dispersion of returns, Financial crisis

13.

An Examination of Herding Behavior in REITS

Number of pages: 25 Posted: 07 Dec 2011
University of Piraeus - Department of Business Administration, University of Liverpool Management School, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and Independent
Downloads 235 (163,959)

Abstract:

Loading...

herd behavior, REITs, investors’ sentiment

14.

On Stock Market Illiquidity and Real-Time GDP Growth

Journal of International Money and Finance, 2014, Vol. 44, pp. 210–229
Number of pages: 43 Posted: 12 Oct 2012 Last Revised: 28 May 2014
University of Liverpool (UK), University of Liverpool - Management School (ULMS), University of Liverpool Management School and University of Liverpool - Management School (ULMS)
Downloads 234 (164,628)
Citation 4

Abstract:

Loading...

stock market illiquidity, divisia money, GDP growth, non-linear model

15.

Pricing Event Risk: Evidence from Concave Implied Volatility Curves

Swiss Finance Institute Research Paper No. 21-48
Number of pages: 47 Posted: 07 May 2021 Last Revised: 18 Oct 2021
Lykourgos Alexiou, Amit Goyal, Alexandros Kostakis and Leonidas Rompolis
University of Liverpool Management School, University of Lausanne, University of Liverpool Management School and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 229 (168,044)

Abstract:

Loading...

Earnings Announcement, Event Risk, Risk-Neutral Distribution, Implied Volatility Curve

16.

Managing Mutual Funds or Managing Expense Ratios? Evidence from the Greek Fund Industry

Journal of Multinational Financial Management, Vol. 19, pp. 256-272, 2009
Number of pages: 34 Posted: 26 Sep 2007 Last Revised: 15 Mar 2011
Vassilios Babalos, Alexandros Kostakis and Nikolaos Philippas
Department of Accounting & Finance, Technological Educational Institute of Peloponnese, University of Liverpool Management School and University of Piraeus - Department of Business Administration
Downloads 222 (173,165)
Citation 1

Abstract:

Loading...

Mutual funds, Expense ratio, Emerging markets, Performance attributes

17.

A Single-Factor Consumption-Based Asset Pricing Model

Number of pages: 97 Posted: 05 Jun 2016 Last Revised: 07 Dec 2017
Stefanos Delikouras and Alexandros Kostakis
University of Miami - Department of Finance and University of Liverpool Management School
Downloads 203 (188,211)
Citation 9

Abstract:

Loading...

asset pricing, stock returns, consumption, disappointment aversion, indicator, certainty equivalent, risk aversion

18.

Dynamic Bond Portfolio Choice with Macroeconomic Information

EFA 2009 Bergen Meetings Paper
Number of pages: 61 Posted: 01 Feb 2009 Last Revised: 19 Aug 2009
Alexandros Kostakis and Peter Spencer
University of Liverpool Management School and University of York
Downloads 201 (189,959)

Abstract:

Loading...

19.

Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis

Journal of International Money and Finance,Vo. 44, pp. 97–117
Number of pages: 46 Posted: 26 Sep 2011 Last Revised: 28 May 2014
Chris Florackis, Alexandros Kontonikas and Alexandros Kostakis
University of Liverpool (UK), University of Glasgow - Department of Economics and University of Liverpool Management School
Downloads 200 (190,878)
Citation 4

Abstract:

Loading...

Liquidity Shocks, Monetary Policy, Market Micro-Structure, Stock Returns

20.

Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?

Number of pages: 108 Posted: 20 Nov 2018
University of Liverpool Management School, University of Southampton and University of Liverpool Management School
Downloads 189 (200,804)

Abstract:

Loading...

Long-Horizon Predictive Regressions, Persistent Regressors, Factor Returns

21.

Higher Co-Moments and Asset Pricing on London Stock Exchange

Journal of Banking and Finance, Forthcoming
Number of pages: 34 Posted: 21 Sep 2011 Last Revised: 18 Oct 2011
Alexandros Kostakis, Kasif Muhammad and Antonios Siganos
University of Liverpool Management School, University of Glasgow and University of Glasgow
Downloads 174 (215,773)
Citation 1

Abstract:

Loading...

Asset Pricing, Coskewness, Cokurtosis, London Stock Exchange

22.

Manifestations of Political Uncertainty around US Presidential Elections: Cross-Sectional Evidence from the Option Market

Number of pages: 68 Posted: 07 Jun 2019
University of Liverpool Management School, UBS and The University of Manchester - Alliance Manchester Business School
Downloads 122 (286,859)

Abstract:

Loading...

Political Uncertainty; US Presidential Election; Firm Risk and Return; Trading Activity; Dispersion of Beliefs; Option-Implied Information

23.

Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors

Number of pages: 54 Posted: 26 Feb 2007
Alexandros Kostakis
University of Liverpool Management School
Downloads 102 (324,812)

Abstract:

Loading...

24.

The (Non-) Effect of Labor Unionization on Firm Risk: Evidence From the Options Market

Journal of Corporate Finance, Forthcoming
Number of pages: 50 Posted: 17 Dec 2018 Last Revised: 21 Dec 2020
Mohamed Ghaly, Alexandros Kostakis and Konstantinos Stathopoulos
Lancaster University - Department of Accounting and Finance, University of Liverpool Management School and The University of Manchester - Alliance Manchester Business School
Downloads 55 (459,277)

Abstract:

Loading...

Unionization, Labor Power, Option-Implied Firm Risk, Regression Discontinuity Design

25.
Downloads 35 (548,442)
Citation 1

On Monetary Policy and Stock Market Anomalies

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 49 Posted: 20 Apr 2011 Last Revised: 01 Nov 2014
Alexandros Kostakis and Alexandros Kontonikas
University of Liverpool Management School and University of Glasgow - Department of Economics
Downloads 35 (561,354)

Abstract:

Loading...

Monetary policy, Federal funds rate, Market anomalies, Credit channel, Risk premia

On Monetary Policy and Stock Market Anomalies

Journal of Business Finance & Accounting, Vol. 40, Issue 7-8, pp. 1009-1042, 2013
Number of pages: 34 Posted: 15 Nov 2013
Alexandros Kostakis
University of Liverpool Management School
Downloads 0
  • Add to Cart

Abstract:

Loading...

monetary policy, Fed funds rate, market anomalies, credit channel, risk premia