Alexandros Kostakis

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

University of Liverpool Management School

  • University of Manchester - Manchester Business School

  • University of Liverpool Management School

SCHOLARLY PAPERS

23

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5,974

CITATIONS
Rank 12,582

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Top 12,582

in Total Papers Citations

31

Scholarly Papers (23)

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1.

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

Downloads 847 ( 26,162)
Citation 12

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 Manchester - Manchester Business School, Queen Mary, University of London and University of Piraeus
Downloads 847 (25,747)
Citation 12

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

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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 Manchester - Manchester Business School and Hull University Business School (HUBS)
Downloads 578 (43,889)
Citation 2

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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 Manchester - Manchester Business School
Downloads 464 (57,994)
Citation 4

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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 439 ( 62,087)
Citation 1

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 439 (61,487)
Citation 1

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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 Piraeus, University of Manchester - Manchester Business School and University of Piraeus

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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 Manchester - Manchester Business School
Downloads 351 (80,801)

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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 Manchester - Manchester Business School and University of Piraeus - Department of Business Administration
Downloads 333 (85,888)
Citation 2

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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 Manchester - Manchester Business School and University of Manchester - Manchester Business School
Downloads 308 (93,747)

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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 274 (106,237)

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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
Alexandros Kostakis, Tassos Magdalinos and Michalis P. Stamatogiannis
University of Manchester - Manchester Business School, University of Southampton and University of Liverpool Management School
Downloads 264 (110,526)
Citation 1

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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 255 (114,609)
Citation 2

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Performance measures, Coskewness, Mutual funds, Performance evaluation

11.

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 Manchester - Manchester Business School, Department of Accounting & Finance, Technological Educational Institute of Peloponnese and Independent
Downloads 221 (132,258)

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herd behavior, REITs, investors’ sentiment

12.

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 Manchester - Manchester Business School, University of Piraeus and University of Manchester - Manchester Business School
Downloads 210 (138,840)

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

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 Manchester - Manchester Business School and University of Liverpool - Management School (ULMS)
Downloads 205 (142,083)

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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 Manchester - Manchester Business School and University of Piraeus - Department of Business Administration
Downloads 200 (145,427)
Citation 2

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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 (151,038)

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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 185 (156,180)
Citation 2

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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 176 (163,342)

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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 160 (177,426)

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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 141 (197,070)

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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 99 (256,192)

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21.

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

Number of pages: 105 Posted: 20 Nov 2018
Alexandros Kostakis, Tassos Magdalinos and Michalis P. Stamatogiannis
University of Manchester - Manchester Business School, University of Southampton and University of Liverpool Management School
Downloads 30 (448,539)

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Long-Horizon Predictive Regressions, Persistent Regressors, Factor Returns

22.

On Monetary Policy and Stock Market Anomalies

Downloads 24 (478,633)
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 24 (493,320)
Citation 3

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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 Manchester - Manchester Business School
Downloads 0
Citation 3
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monetary policy, Fed funds rate, market anomalies, credit channel, risk premia

23.

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

Number of pages: 46 Posted: 17 Dec 2018
Mohamed Ghaly, Alexandros Kostakis and Konstantinos Stathopoulos
Lancaster University - Department of Accounting and Finance, University of Manchester - Manchester Business School and The University of Manchester - Alliance Manchester Business School
Downloads 18 (511,789)

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