Alexandros Kostakis

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

21

DOWNLOADS
Rank 7,091

SSRN RANKINGS

Top 7,091

in Total Papers Downloads

5,835

CITATIONS
Rank 12,560

SSRN RANKINGS

Top 12,560

in Total Papers Citations

31

Scholarly Papers (21)

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 Manchester - Manchester Business School, Queen Mary, University of London and University of Piraeus
Downloads 836 (25,337)
Citation 12

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 Manchester - Manchester Business School, Queen Mary, University of London and University of Piraeus

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 Manchester - Manchester Business School and Hull University Business School (HUBS)
Downloads 577 (42,579)
Citation 2

Abstract:

Loading...

Corporate performance, managerial ownership, semi-parametric approach

3.

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 Manchester - Manchester Business School
Downloads 459 (56,911)
Citation 4

Abstract:

Loading...

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

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
Charoula Daskalaki, Alexandros Kostakis and George S. Skiadopoulos
University of Piraeus, University of Manchester - Manchester Business School and University of Piraeus
Downloads 428 (61,355)
Citation 1

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
Charoula Daskalaki, Alexandros Kostakis and George S. Skiadopoulos
University of Piraeus, University of Manchester - Manchester Business School and University of Piraeus

Abstract:

Loading...

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

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 Manchester - Manchester Business School
Downloads 348 (79,067)

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 Manchester - Manchester Business School and University of Piraeus - Department of Business Administration
Downloads 332 (83,500)
Citation 2

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 Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 304 (92,118)

Abstract:

Loading...

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

8.

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

FMA-Europe (2012) - Best Paper Award in Corporate Finance
Number of pages: 40 Posted: 21 Jul 2012 Last Revised: 13 Dec 2017
Chris Florackis, Angelos Kanas, Alexandros Kostakis and Sushil Sainani
University of Liverpool (UK), University of Crete - Department of Economics, University of Manchester - Manchester Business School and University of Liverpool
Downloads 269 (105,043)

Abstract:

Loading...

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

9.

Robust Econometric Inference for Stock Return Predictability

Number of pages: 120 Posted: 02 Nov 2014
University of Manchester - Manchester Business School, University of Southampton and University of Liverpool Management School
Downloads 258 (109,800)
Citation 1

Abstract:

Loading...

Stock returns, Predictability, Persistent regressors, Robust inference

10.

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 Manchester - Manchester Business School
Downloads 254 (111,573)
Citation 2

Abstract:

Loading...

Performance measures, Coskewness, Mutual funds, Performance evaluation

11.

An Examination of Herding Behavior in REITS

Number of pages: 25 Posted: 07 Dec 2011
University of Piraeus - Department of Business Administration, University of Manchester - Manchester Business School, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and Independent
Downloads 220 (128,907)

Abstract:

Loading...

herd behavior, REITs, investors’ sentiment

12.

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 Manchester - Manchester Business School and University of Liverpool - Management School (ULMS)
Downloads 201 (140,381)

Abstract:

Loading...

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

13.

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

Number of pages: 69 Posted: 06 Jun 2017 Last Revised: 07 Jun 2018
Queen Mary University of London, School of Economics and Finance, University of Manchester - Manchester Business School, University of Piraeus and University of Manchester - Manchester Business School
Downloads 199 (141,751)

Abstract:

Loading...

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

14.

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 Manchester - Manchester Business School and University of Piraeus - Department of Business Administration
Downloads 199 (141,751)
Citation 2

Abstract:

Loading...

Mutual funds, Expense ratio, Emerging markets, Performance attributes

15.

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 Manchester - Manchester Business School and University of York
Downloads 192 (146,579)

Abstract:

Loading...

16.

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 Manchester - Manchester Business School and University of Piraeus - Department of Business Administration
Downloads 179 (156,241)
Citation 2

Abstract:

Loading...

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

17.

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 Manchester - Manchester Business School
Downloads 170 (163,508)

Abstract:

Loading...

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

18.

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 Manchester - Manchester Business School, University of Glasgow and University of Glasgow
Downloads 157 (175,137)

Abstract:

Loading...

Asset Pricing, Coskewness, Cokurtosis, London Stock Exchange

19.

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 Manchester - Manchester Business School
Downloads 132 (202,930)

Abstract:

Loading...

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

20.

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

Number of pages: 54 Posted: 26 Feb 2007
Alexandros Kostakis
University of Manchester - Manchester Business School
Downloads 98 (250,683)

Abstract:

Loading...

21.
Downloads 23 (471,839)
Citation 3

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 Manchester - Manchester Business School and University of Glasgow - Department of Economics
Downloads 23 (486,648)
Citation 3

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 Manchester - Manchester Business School
Downloads 0
Citation 3
  • Add to Cart

Abstract:

Loading...

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