Alexandros Kostakis

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

21

DOWNLOADS
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5,239

CITATIONS
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Top 12,919

in Total Papers Citations

30

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 818 (22,511)
Citation 11

Abstract:

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:

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 504 (39,292)
Citation 2

Abstract:

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 424 (51,568)
Citation 4

Abstract:

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 401 (58,004)
Citation 1

Abstract:

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:

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

5.

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 311 (75,173)
Citation 2

Abstract:

Mutual funds, Performance persistence, Market efficiency,Emerging markets

6.

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 222 (102,031)
Citation 2

Abstract:

Performance measures, Coskewness, Mutual funds, Performance evaluation

7.

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: 54 Posted: 21 Jul 2012 Last Revised: 03 Sep 2014
Chris Florackis, Angelos Kanas and Alexandros Kostakis
University of Liverpool (UK), University of Crete - Department of Economics and University of Manchester - Manchester Business School
Downloads 209 (105,124)

Abstract:

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

8.

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
Manchester Business School, University of Liverpool (UK) and University of Manchester - Manchester Business School
Downloads 186 (76,743)

Abstract:

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

9.

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 182 (128,311)
Citation 2

Abstract:

Mutual funds, Expense ratio, Emerging markets, Performance attributes

10.

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 181 (120,762)

Abstract:

herd behavior, REITs, investors’ sentiment

11.

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 175 (134,217)

Abstract:

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 160 (139,002)

Abstract:

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

13.

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 154 (99,050)

Abstract:

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

14.

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 138 (147,922)

Abstract:

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

15.

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 120 (167,133)

Abstract:

Asset Pricing, Coskewness, Cokurtosis, London Stock Exchange

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 120 (164,244)
Citation 2

Abstract:

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

17.

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 97 (124,779)
Citation 1

Abstract:

Stock returns, Predictability, Persistent regressors, Robust inference

18.

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 89 (226,324)

Abstract:

19.
Downloads 13 (477,330)
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 13 (496,733)
Citation 3

Abstract:

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

Abstract:

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

20.

Risk-Neutral Skewness and Stock Outperformance

Number of pages: 65 Posted: 06 Jun 2017
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 0 (281,202)

Abstract:

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

21.

One-Factor Asset Pricing

Number of pages: 91 Posted: 05 Jun 2016 Last Revised: 05 Jun 2017
Stefanos Delikouras and Alexandros Kostakis
University of Miami and University of Manchester - Manchester Business School
Downloads 0 (327,717)

Abstract:

asset pricing, cross-section, expected returns, consumption, disappointment aversion, indicator, certainty equivalent, risk aversion