banking, household finance, corporate finance, asset pricing, options and derivatives
• “Multifactor models and their consistency with the APT”, with I. Cooper, L. Ma and P. Maio.
• “Forward Guidance and Corporate Lending”, with M. Delis, S. Hong and N. Paltalidis.
• “The Cost of Privacy Failures: Evidence from Bank Depositors’ Reactions to Breaches”, with C. Engels and B. Francis.
Natural Language Processing (NLP) Project: The OCAI Textual Measure of Organizational Culture, with P. Andreou, T. Harris and W. Zhang. [Construct Validation Documentation] [DATA, coming soon]
• “Institutional Ownership and Firms’ Thrust to Compete”, with P. Andreou, F. Fiordelisi and T. Harris.
• “Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns” with P. Andreou, A. Kagkadis and P. Maio (forthcoming) Critical Finance Review. [SSRN] [Online Appendix] [Data] [Codes]
• “Measuring firms’ market orientation using textual analysis of 10-K filings”, with P. Andreou, and T. Harris (2020) British Journal of Management. [SSRN]
• “CEO duality, agency costs and internal capital allocations” with N. Aktas, P. Andreou and I. Karasamani (2019) British Journal of Management 30, 473-493. [SSRN] [Harvard Law School Forum on Corporate Governance]
• “Differences in option investors’ expectations and the cross-section of stock returns” with P. Andreou, A. Kagkadis and R. Tuneshev (2018) Journal of Banking and Finance 94, 315-336. [SSRN] [Online Appendix] [Data]
• “Economic activity and momentum profits: further evidence” with P. Maio (2018) Journal of Banking and Finance 88, 466-482. [SSRN] [Online Appendix]
• “Financial knowledge among university students and implications for personal debt and fraudulent investments” with P. Andreou (2018) Cyprus Economic Policy Review 12, 3-23. (Policy journal) [SSRN]
• “Bank loan loss accounting treatments, credit cycles and crash risk” with P. Andreou, I. Cooper and C. Louca (2017) British Accounting Review 49, 474-492. [SSRN]
• “Optimal hedging in carbon emission markets using Markov regime switching models” with Y. Shi (2016) Journal of International Financial Markets, Institutions & Money 43, 1-15. [SSRN]
• “Bank liquidity creation and risk-taking: Does managerial ability matter?” with P. Andreou and P. Robejsek (2016) Journal of Business Finance and Accounting 43, 226-259. [SSRN]
• “Macro variables and the components of stock returns” with P. Maio (2015) Journal of Empirical Finance 33, 287-308. [SSRN]
• “Impact of allowance submissions in European carbon emission markets” with Y. Shi (2015) International Review of Financial Analysis 40, 27-37. [SSRN]
• “Media content and stock returns: The predictive power of press” with N. Ferguson, M. Guo and H. Lam (2015) Multinational Finance Journal 19, 1-31. [SSRN]
• “What drives the disappearing dividends phenomenon?” with J. Kuo and Q. Zhang (2013) Journal of Banking and Finance 37, 3499-3514. [SSRN]
• “Short-sale constraints and efficiency of the spot-futures dynamics”, with D. G. McMillan (2012) International Review of Financial Analysis 24, 129-136. [SSRN]
• “Modelling volatility and correlations in financial time series” (2011) in Introductory Econometrics, 2nd edition, ed. Seddighi, H. R.; London: Routledge, pp. 347-369.