Research

 

RESEARCH INTERESTS

Asset pricing,  options and derivatives, banking efficiency, household finance

 

RESEARCH OUTPUTS

Bank loan loss accounting treatments, credit cycles and crash risk” with P. Andreou, I. Cooper and C. Louca (2017) British Accounting Review, forthcoming.

Optimal hedging in carbon emission markets using Markov regime switching models” with Y. Shi (2016) Journal of International Financial Markets, Institutions & Money. Vol. 43, pp. 1-15.

Bank liquidity creation and risk-taking: Does managerial ability matter?” with P. Andreou and P. Robejsek (2016) Journal of Business Finance and Accounting. Vol. 43, pp. 226-259.

Macro variables and the components of stock returns” with P. Maio (2015) Journal of Empirical Finance, Vol. 33, pp. 287-308.

Impact of allowance submissions in European carbon emission markets” with Y. Shi (2015) International Review of Financial Analysis, Vol. 40, pp. 27-37. 

Stock market literacy, trust and participation” with A. Balloch and A. Nicolae (2015) Review of Finance, Vol 19, pp. 1925-1963.

Media content and stock returns: The predictive power of press” with N. Ferguson, M. Guo and H. Lam (2015) Multinational Finance Journal, Vol. 19, pp.1-31.

What drives the disappearing dividends phenomenon?” with J. Kuo and Q. Zhang (2013) Journal of Banking and Finance, Vol. 24, pp. 3499-3514.

Short-sale constraints and efficiency of the spot-futures dynamics”, with D. G. McMillan (2012) International Review of Financial Analysis, Vol. 24, pp. 129-136.

“Modelling volatility and correlations in financial time series” (2011) in Introductory Econometrics, 2nd edition, ed. Seddighi, H. R.; London: Routledge, pp. 347-369.

 

WORKING PAPERS

Dispersion in option traders’ expectations and stock market predictability” with P. Andreou, A. Kagkadis and P. Maio

Differences in Expectations and the Cross Section of Stock Returns” with P. Andreou, A. Kagkadis and R. Tuneshev

Investor sentiments, rational beliefs and option prices” with P. Andreou and A. Kagkadis

Economic activity and momentum profits” with P. Maio

Does dividend policy lead the economy?” with P. Maio