Research outputs
Selected research outputs
- Pricing Event Risk: Evidence from Concave Implied Volatility Curves (Journal article - 2025)
- Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable? (Journal article - 2022)
- A Single-Factor Consumption-Based Asset Pricing Model (Journal article - 2019)
- Do Stock Returns Really Decrease with Default Risk? New International Evidence (Journal article - 2018)
- What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? (Journal article - 2017)
- Robust Econometric Inference for Stock Return Predictability (Journal article - 2015)
- Market Timing with Option-Implied Distributions: A Forward-Looking Approach (Journal article - 2011)
2025
Pricing Event Risk: Evidence from Concave Implied Volatility Curves
Alexiou, L., Goyal, A., Kostakis, A., & Rompolis, L. (2025). Pricing Event Risk: Evidence from Concave Implied Volatility Curves. Review of Finance. doi:10.1093/rof/rfaf016
2022
Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?
Kostakis, A., Magdalinos, T., & Stamatogiannis, M. (n.d.). Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?. Journal of Econometrics.
Detecting Political Event Risk In The Option Market
Kostakis, A., Mu, L., & Otsubo, Y. (2022). Detecting Political Event Risk In The Option Market. Journal of Banking and Finance, 106624. doi:10.1016/j.jbankfin.2022.106624
2021
Positive stock information in out-of-the-money option prices
Gkionis, K., Kostakis, A., Skiadopoulos, G., & Stilger, P. S. (2021). Positive stock information in out-of-the-money option prices. Journal of Banking and Finance, 128. doi:10.1016/j.jbankfin.2021.106112
The (non-) effect of labor unionization on firm risk: Evidence from the options market
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
2020
Idiosyncratic risk, risk-taking incentives and the relation between managerial ownership and firm value
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
2019
A Single-Factor Consumption-Based Asset Pricing Model
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
2018
Do Stock Returns Really Decrease with Default Risk? New International Evidence
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
2017
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?
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
Financial constraints and asset pricing: comprehensive evidence from London Stock Exchange
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
2015
Robust Econometric Inference for Stock Return Predictability
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
2014
Are there common factors in individual commodity futures returns?
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
On Stock Market Illiquidity and Real-Time GDP Growth
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
Stock market liquidity and macro-liquidity shocks: Evidence from the 2007–2009 financial crisis
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
2013
On Monetary Policy and Stock Market Anomalies
Kontonikas, A., & Kostakis, A. (2013). On Monetary Policy and Stock Market Anomalies. Journal of Business Finance & Accounting, 40(7-8), 1009-1042. doi:10.1111/jbfa.12028
Herding behavior in REITs: Novel tests and the role of financial crisis
Philippas, N., Economou, F., Babalos, V., & Kostakis, A. (2013). Herding behavior in REITs: Novel tests and the role of financial crisis. International Review of Financial Analysis, 29, 166-174. doi:10.1016/j.irfa.2013.01.004
2012
Higher co-moments and asset pricing on London Stock Exchange
Kostakis, A., Muhammad, K., & Siganos, A. (2012). Higher co-moments and asset pricing on London Stock Exchange. Journal of Banking & Finance, 36(3), 913-922. doi:10.1016/j.jbankfin.2011.10.002
2011
Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio
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
Cross-country effects in herding behaviour: Evidence from four south European markets
Economou, F., Kostakis, A., & Philippas, N. (2011). Cross-country effects in herding behaviour: Evidence from four south European markets. Journal of International Financial Markets, Institutions and Money, 21(3), 443-460. doi:10.1016/j.intfin.2011.01.005
Market Timing with Option-Implied Distributions: A Forward-Looking Approach
Kostakis, A., Panigirtzoglou, N., & Skiadopoulos, G. (2011). Market Timing with Option-Implied Distributions: A Forward-Looking Approach. Management Science, 57(7), 1231-1249. doi:10.1287/mnsc.1110.1346
2009
Managerial ownership and performance
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
Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry
Babalos, V., Kostakis, A., & Philippas, N. (2009). Managing mutual funds or managing expense ratios? Evidence from the Greek fund industry. Journal of Multinational Financial Management, 19(4), 256-272. doi:10.1016/j.mulfin.2009.01.001
2007
Spurious results in testing mutual fund performance persistence: evidence from the Greek market
Babalos, V., Kostakis, A., & Philippas, N. (2007). Spurious results in testing mutual fund performance persistence: evidence from the Greek market. Applied Financial Economics Letters, 3(2), 103-108. doi:10.1080/17446540600827662