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

  • University of Liverpool Management School

  • University of Manchester - Manchester Business School

SCHOLARLY PAPERS

25

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6,460

SSRN CITATIONS
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Top 9,249

in Total Papers Citations

59

CROSSREF CITATIONS

54

Scholarly Papers (25)

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1.

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

Downloads 856 ( 28,661)

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

Number of pages: 56 Posted: 23 Oct 2008 Last Revised: 07 Mar 2011
Alexandros Kostakis, Nikolaos Panigirtzoglou and George S. Skiadopoulos
University of Liverpool Management School, Queen Mary, University of London and Queen Mary, University of London, School of Economics and Finance
Downloads 856 (28,218)
Citation 22

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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
Alexandros Kostakis, Nikolaos Panigirtzoglou and George S. Skiadopoulos
University of Liverpool Management School, Queen Mary, University of London and Queen Mary, University of London, School of Economics and Finance

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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 581 (48,476)
Citation 1

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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 Liverpool Management School
Downloads 474 (62,581)
Citation 6

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

4.

Are There Common Factors in Individual Commodity Futures Returns?

Downloads 459 ( 65,118)

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 Crete, Department of Economics, University of Liverpool Management School and Queen Mary, University of London, School of Economics and Finance
Downloads 459 (64,470)
Citation 5

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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 Crete, Department of Economics, University of Liverpool Management School and Queen Mary, University of London, School of Economics and Finance

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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 Liverpool Management School
Downloads 359 (86,994)
Citation 3

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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
Vassilios Babalos, Guglielmo Maria Caporale, Alexandros Kostakis and Nikolaos Philippas
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 344 (91,345)

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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 University of Manchester - Manchester Business School
Downloads 327 (96,646)
Citation 8

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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
Alexandros Kostakis, Tassos Magdalinos and Michalis P. Stamatogiannis
University of Liverpool Management School, University of Southampton and University of Liverpool Management School
Downloads 290 (110,218)
Citation 15

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Stock returns, Predictability, Persistent regressors, Robust inference

9.

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: 13 Jan 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 288 (111,046)

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

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 Liverpool Management School
Downloads 259 (124,197)

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Performance measures, Coskewness, Mutual funds, Performance evaluation

11.

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

Number of pages: 69 Posted: 06 Jun 2017 Last Revised: 07 Jun 2018
Konstantinos Gkionis, Alexandros Kostakis, George S. Skiadopoulos and Przemyslaw Stan Stilger
Queen Mary University of London, School of Economics and Finance, University of Liverpool Management School, Queen Mary, University of London, School of Economics and Finance and University of Manchester - Manchester Business School
Downloads 241 (133,567)

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

12.

An Examination of Herding Behavior in REITS

Number of pages: 25 Posted: 07 Dec 2011
Nikolaos Philippas, Alexandros Kostakis, Vassilios Babalos and Fotini Economou
University of Piraeus - Department of Business Administration, University of Liverpool Management School, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and Independent
Downloads 228 (140,990)

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herd behavior, REITs, investors’ sentiment

13.

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
Chris Florackis, Gianluigi Giorgioni, Alexandros Kostakis and Costas Milas
University of Liverpool (UK), University of Liverpool - Management School (ULMS), University of Liverpool Management School and University of Liverpool - Management School (ULMS)
Downloads 214 (149,806)
Citation 5

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

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 Liverpool Management School and University of Piraeus - Department of Business Administration
Downloads 213 (150,455)
Citation 1

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Mutual funds, Expense ratio, Emerging markets, Performance attributes

15.

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 204 (156,725)
Citation 2

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

16.

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 196 (162,683)

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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 Liverpool Management School
Downloads 189 (168,147)
Citation 1

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

18.

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 171 (183,785)
Citation 8

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

19.

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 165 (189,481)
Citation 1

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Asset Pricing, Coskewness, Cokurtosis, London Stock Exchange

20.

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

Number of pages: 108 Posted: 20 Nov 2018
Alexandros Kostakis, Tassos Magdalinos and Michalis P. Stamatogiannis
University of Liverpool Management School, University of Southampton and University of Liverpool Management School
Downloads 120 (244,687)

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Long-Horizon Predictive Regressions, Persistent Regressors, Factor Returns

21.

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 101 (276,375)

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22.

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

Number of pages: 68 Posted: 07 Jun 2019
Alexandros Kostakis, Konstantinos Gkionis and Konstantinos Stathopoulos
University of Liverpool Management School, Queen Mary University of London, School of Economics and Finance and The University of Manchester - Alliance Manchester Business School
Downloads 59 (377,198)

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

23.

Mutual Fund Performance When It Really Matters Most

University of Miami Business School Research Paper No. 3417110
Number of pages: 43 Posted: 10 Jul 2019 Last Revised: 09 Aug 2019
Stefanos Delikouras and Alexandros Kostakis
University of Miami - Department of Finance and University of Liverpool Management School
Downloads 56 (386,768)

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Fund Performance, State dependence, Performance Measures, Disappointment Aversion, NBER Recession, Fund Flows, Stock Picking, Market Timing

24.

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

Number of pages: 48 Posted: 17 Dec 2018 Last Revised: 26 Jun 2019
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 37 (457,551)

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

25.

On Monetary Policy and Stock Market Anomalies

Downloads 29 (495,016)
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 29 (508,526)
Citation 1

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