Photo of Professor Alex Kostakis

Professor Alex Kostakis

Professor of Finance Finance and Accounting

    Publications

    Selected Publications

    1. A Single-Factor Consumption-Based Asset Pricing Model (Journal article - 2019)
    2. What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? (Journal article - 2017)
    3. Robust Econometric Inference for Stock Return Predictability (Journal article - 2015)
    4. Market timing with option-implied distributions: A forward looking approach (Journal article - 2011)

    2021

    The (non-) effect of labor unionization on firm risk: Evidence from the options market (Journal article)

    Ghaly, M., Kostakis, A., & Stathopoulos, K. (2021). The (non-) effect of labor unionization on firm risk: Evidence from the options market. Journal of Corporate Finance, 66, 101816. doi:10.1016/j.jcorpfin.2020.101816

    DOI: 10.1016/j.jcorpfin.2020.101816

    2020

    Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value (Journal article)

    Florakis, C., Kanas, A., Kostakis, A., & Sainani, S. (2020). Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value. European Journal of Operational Research, 283(2), 748-766. doi:10.1016/j.ejor.2019.11.027

    DOI: 10.1016/j.ejor.2019.11.027

    2019

    A Single-Factor Consumption-Based Asset Pricing Model (Journal article)

    Delikouras, S., & Kostakis, A. (2019). A Single-Factor Consumption-Based Asset Pricing Model. Journal of Financial and Quantitative Analysis, 54(2), 789-827. doi:10.1017/S0022109018000819

    DOI: 10.1017/S0022109018000819

    2018

    Do Stock Returns Really Decrease with Default Risk? New International Evidence (Journal article)

    Aretz, K., Florakis, C., & Kostakis, A. (2018). Do Stock Returns Really Decrease with Default Risk? New International Evidence. Management Science, forthcoming, 64(8), 3469-3970. doi:10.1287/mnsc.2016.2712

    DOI: 10.1287/mnsc.2016.2712

    2017

    What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? (Journal article)

    Stilger, P. S., Kostakis, A., & Poon, S. -H. (2017). What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?. Management Science, 63(6), 1657-2048. doi:10.1287/mnsc.2015.2379

    DOI: 10.1287/mnsc.2015.2379

    Financial constraints and asset pricing: comprehensive evidence from London Stock Exchange (Journal article)

    Balafas, N., & Kostakis, A. (2017). Financial constraints and asset pricing: comprehensive evidence from London Stock Exchange. EUROPEAN JOURNAL OF FINANCE, 23(1), 80-110. doi:10.1080/1351847X.2015.1115773

    DOI: 10.1080/1351847X.2015.1115773

    2015

    Robust Econometric Inference for Stock Return Predictability (Journal article)

    Kostakis, A., Magdalinos, T., & Stamatogiannis, M. P. (2015). Robust Econometric Inference for Stock Return Predictability. Review of Financial Studies, 28(5), 1506-1553. doi:10.1093/rfs/hhu139

    DOI: 10.1093/rfs/hhu139

    2014

    Are there common factors in individual commodity futures returns? (Journal article)

    Daskalaki, C., Kostakis, A., & Skiadopoulos, G. (2014). Are there common factors in individual commodity futures returns?. JOURNAL OF BANKING & FINANCE, 40, 346-363. doi:10.1016/j.jbankfin.2013.11.034

    DOI: 10.1016/j.jbankfin.2013.11.034

    On Stock Market Illiquidity and Real-Time GDP Growth (Journal article)

    Florackis, C., Giorgioni, G., Kostakis, A., & Milas, C. (2014). On Stock Market Illiquidity and Real-Time GDP Growth. Journal of International Money and Finance, 44, 210-229. doi:10.1016/j.jimonfin.2014.02.006

    DOI: 10.1016/j.jimonfin.2014.02.006

    Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis (Journal article)

    Florakis, C., Kontonikas, A., & Kostakis, A. (2014). Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis. Journal of International Money and Finance, 44, 97-117. doi:10.1016/j.jimonfin.2014.02.002

    DOI: 10.1016/j.jimonfin.2014.02.002

    2012

    Higher co-moments and asset pricing on London stock exchange (Journal article)

    Kostakis, A., Muhammad, K., & Siganos, A. (2012). Higher co-moments and asset pricing on London stock exchange. Journal of Banking and Finance, 36, 913-922.

    2011

    Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio (Journal article)

    Florackis, C., Gregoriou, A., & Kostakis, A. (2011). Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. Journal of Banking & Finance, 35(12), 3335-3350. doi:10.1016/j.jbankfin.2011.05.014

    DOI: 10.1016/j.jbankfin.2011.05.014

    Market timing with option-implied distributions: A forward looking approach (Journal article)

    Kostakis, A., Panigirtzoglou, N., & Skiadopoulos, G. (2011). Market timing with option-implied distributions: A forward looking approach. Management Science, 57, 1231-1249.

    2009

    Managerial ownership and performance (Journal article)

    Florackis, C., Kostakis, A., & Ozkan, A. (2009). Managerial ownership and performance. Journal of Business Research, 62(12), 1350-1357. doi:10.1016/j.jbusres.2008.12.001

    DOI: 10.1016/j.jbusres.2008.12.001