Athanasios Sakkas

Personal Details

First Name:	Athanasios
Middle Name:
Last Name:	Sakkas
Suffix:
RePEc Short-ID:	psa2050
	[This author has chosen not to make the email address public]

Affiliation

Department of Accounting and Finance
Athens University of Economics and Business (AUEB)

Athens, Greece
https://www.dept.aueb.gr/loxri
RePEc:edi:dfauegr (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
   • Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.

   Cited by:

   1. Pirgaip, Burak & Arslan-Ayaydin, Özgür & Karan, Mehmet Baha, 2021. "Do Sukuk provide diversification benefits to conventional bond investors? Evidence from Turkey," Global Finance Journal, Elsevier, vol. 50(C).
   2. Platanakis, Emmanouil & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Horses for courses: Mean-variance for asset allocation and 1/N for stock selection," European Journal of Operational Research, Elsevier, vol. 288(1), pages 302-317.
   3. Platanakis, Emmanouil & Urquhart, Andrew, 2020. "Should investors include Bitcoin in their portfolios? A portfolio theory approach," The British Accounting Review, Elsevier, vol. 52(4).
   4. Matkovskyy, Roman & Jalan, Akanksha & Dowling, Michael & Bouraoui, Taoufik, 2021. "From bottom ten to top ten: The role of cryptocurrencies in enhancing portfolio return of poorly performing stocks," Finance Research Letters, Elsevier, vol. 38(C).
   5. Papathanasiou, Spyros & Vasiliou, Dimitrios & Magoutas, Anastasios & Koutsokostas, Drosos, 2022. "Do hedge and merger arbitrage funds actually hedge? A time-varying volatility spillover approach," Finance Research Letters, Elsevier, vol. 44(C).
   6. Duc Khuong Nguyen & Nikolas Topaloglou & Thomas Walther, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," Working Papers 2020-009, Department of Research, Ipag Business School.
      • Nguyen, Duc Khuong & Topaloglou, Nikolas & Walther, Thomas, 2020. "Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach," MPRA Paper 103870, University Library of Munich, Germany.
   7. Dimitrios Koutmos & Timothy King & Constantin Zopounidis, 2021. "Hedging uncertainty with cryptocurrencies: Is bitcoin your best bet?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(4), pages 815-837, December.
   8. Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.
   9. Khaki, Audil & Prasad, Mason & Al-Mohamad, Somar & Bakry, Walid & Vo, Xuan Vinh, 2023. "Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?," Research in International Business and Finance, Elsevier, vol. 64(C).
   10. Platanakis, Emmanouil & Urquhart, Andrew, 2019. "Portfolio management with cryptocurrencies: The role of estimation risk," Economics Letters, Elsevier, vol. 177(C), pages 76-80.
   11. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
   12. Shahzad, Syed Jawad Hussain & Naifar, Nader, 2022. "Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
   13. Douglas Cumming & Satish Kumar & Weng Marc Lim & Nitesh Pandey, 2023. "Mapping the venture capital and private equity research: a bibliometric review and future research agenda," Small Business Economics, Springer, vol. 61(1), pages 173-221, June.
   14. Platanakis, Emmanouil & Sutcliffe, Charles & Urquhart, Andrew, 2018. "Optimal vs naïve diversification in cryptocurrencies," Economics Letters, Elsevier, vol. 171(C), pages 93-96.

Articles

1. Li, Zeming & Sakkas, Athanasios & Urquhart, Andrew, 2022. "Intraday time series momentum: Global evidence and links to market characteristics," Journal of Financial Markets, Elsevier, vol. 57(C).

   Cited by:

   1. Carlo Rosa, 2022. "Understanding intraday momentum strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2218-2234, December.
   2. Wang, Cheng & Bouri, Elie & Xu, Yahua & Zhang, Dingsheng, 2023. "Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks," Energy Economics, Elsevier, vol. 127(PB).

2. Kalyvas, Antonios & Papakyriakou, Panayiotis & Sakkas, Athanasios & Urquhart, Andrew, 2020. "What drives Bitcoin’s price crash risk?," Economics Letters, Elsevier, vol. 191(C).

   Cited by:

   1. Inzamam Ul Haq & Supat Chupradit & Chunhui Huo, 2021. "Do Green Bonds Act as a Hedge or a Safe Haven against Economic Policy Uncertainty? Evidence from the USA and China," IJFS, MDPI, vol. 9(3), pages 1-18, August.
   2. Ahn, Yongkil & Kim, Dongyeon, 2021. "Emotional trading in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 42(C).
   3. Vidal-Tomás, David, 2021. "Transitions in the cryptocurrency market during the COVID-19 pandemic: A network analysis," Finance Research Letters, Elsevier, vol. 43(C).
   4. Anastasiou, Dimitrios & Ballis, Antonis & Drakos, Konstantinos, 2021. "Cryptocurrencies’ Price Crash Risk and Crisis Sentiment," Finance Research Letters, Elsevier, vol. 42(C).
   5. Jiang, Yonghong & Wu, Lanxin & Tian, Gengyu & Nie, He, 2021. "Do cryptocurrencies hedge against EPU and the equity market volatility during COVID-19? – New evidence from quantile coherency analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
   6. Bourghelle, David & Jawadi, Fredj & Rozin, Philippe, 2022. "Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach," Journal of Economic Behavior & Organization, Elsevier, vol. 196(C), pages 294-306.
   7. Sabeeh Ullah, 2023. "Impact of COVID-19 Pandemic on Financial Markets: a Global Perspective," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(2), pages 982-1003, June.
   8. Nakagawa, Kei & Sakemoto, Ryuta, 2022. "Market uncertainty and correlation between Bitcoin and Ether," Finance Research Letters, Elsevier, vol. 50(C).
   9. Wei Zhang & Yi Li, 2023. "Liquidity risk and expected cryptocurrency returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 472-492, January.
   10. Emon Kalyan Chowdhury & Umme Humaira, 2023. "The Russia–Ukraine conflict and investor psychology in financial markets," Economic Affairs, Wiley Blackwell, vol. 43(3), pages 388-405, October.
   11. Ahn, Yongkil, 2022. "Asymmetric tail dependence in cryptocurrency markets: A Model-free approach," Finance Research Letters, Elsevier, vol. 47(PB).
   12. Ma, Yu & Luan, Zhiqian, 2022. "Ethereum synchronicity, upside volatility and Bitcoin crash risk," Finance Research Letters, Elsevier, vol. 46(PA).
   13. Liu, Zhifeng & Huynh, Toan Luu Duc & Dai, Peng-Fei, 2021. "The impact of COVID-19 on the stock market crash risk in China," Research in International Business and Finance, Elsevier, vol. 57(C).
   14. Peng‐Fei Dai & John W. Goodell & Luu Duc Toan Huynh & Zhifeng Liu & Shaen Corbet, 2023. "Understanding the transmission of crash risk between cryptocurrency and equity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 539-573, August.
   15. Grobys, Klaus & Huynh, Toan Luu Duc, 2022. "When Tether says “JUMP!” Bitcoin asks “How low?”," Finance Research Letters, Elsevier, vol. 47(PA).
   16. Burcu Kapar & Jose Olmo, 2021. "Analysis of Bitcoin prices using market and sentiment variables," The World Economy, Wiley Blackwell, vol. 44(1), pages 45-63, January.
   17. Aysan, Ahmet Faruk & Polat, Ali Yavuz & Tekin, Hasan & Tunali, Ahmet Semih, 2021. "Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak," MPRA Paper 110013, University Library of Munich, Germany.
       • Ahmet Faruk Aysan & Ali Yavuz Polat & Hasan Tekin & Ahmet Semih Tunali, 2021. "Bitcoin-specific fear sentiment and bitcoin returns in the COVID-19 outbreak," Working Papers hal-03354930, HAL.
   18. Yu, Dejian & Sheng, Libo, 2021. "Influence difference main path analysis: Evidence from DNA and blockchain domain citation networks," Journal of Informetrics, Elsevier, vol. 15(4).
   19. David Bourghelle & Fredj Jawadi & Philippe Rozin, 2022. "Do collective emotions drive bitcoin volatility? A triple regime-switching vector approach [Est-ce que les émotions collectives ont une influence directrice sur la volatilité?]," Post-Print hal-04412029, HAL.
   20. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).
   21. Li, Yi & Zhang, Wei & Urquhart, Andrew & Wang, Pengfei, 2022. "The role of media coverage in the bubble formation: Evidence from the Bitcoin market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
   22. A. V. Biju & Aparna Merin Mathew & P. P. Nithi Krishna & M. P. Akhil, 2022. "Is the future of bitcoin safe? A triangulation approach in the reality of BTC market through a sentiments analysis," Digital Finance, Springer, vol. 4(4), pages 275-290, December.
   23. Chowdhury, Md Shahedur R. & Damianov, Damian S. & Elsayed, Ahmed H., 2022. "Bubbles and crashes in cryptocurrencies: Interdependence, contagion, or asset rotation?," Finance Research Letters, Elsevier, vol. 46(PB).

3. Sakkas, Athanasios & Tessaromatis, Nikolaos, 2020. "Factor based commodity investing," Journal of Banking & Finance, Elsevier, vol. 115(C).

   Cited by:

   1. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
   2. Fuertes, Ana-Maria & Zhao, Nan, 2023. "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, vol. 30(C).
   3. Qi Xu & Yang Ye, 2023. "Commodity network and predictable returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(10), pages 1423-1449, October.
   4. Fuertes, Ana-Maria & Zhao, Nan, 2022. "A Bayesian Perspective on Commodity Style Integration," MPRA Paper 117831, University Library of Munich, Germany, revised 2023.
   5. Yufeng Han & Lingfei Kong, 2022. "A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 803-822, May.
   6. Pu, Yingjian & Yang, Baochen, 2022. "The commodity futures' historical basis in trading strategy and portfolio investment," Energy Economics, Elsevier, vol. 105(C).
   7. Renata Guobužaitė & Deimantė Teresienė, 2021. "Can Economic Factors Improve Momentum Trading Strategies? The Case of Managed Futures during the COVID-19 Pandemic," Economies, MDPI, vol. 9(2), pages 1-16, May.
   8. Awasthi, Kritika & Ahmad, Wasim & Rahman, Abdul & Phani, B.V., 2020. "When US sneezes, clichés spread: How do the commodity index funds react then?," Resources Policy, Elsevier, vol. 69(C).
   9. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.
   10. Ferrat, Yann & Daty, Frédéric & Burlacu, Radu, 2022. "Does a sustainability risk premium exist where it matters the most?," Emerging Markets Review, Elsevier, vol. 53(C).
   11. Xue Jiang & Liyan Han & Yang Xu, 2021. "How does skewness perform in the Chinese commodity futures market?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1268-1285, August.
   12. Qi Xu & Ying Wang, 2021. "Managing volatility in commodity momentum," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 758-782, May.
   13. Borgards, Oliver & Czudaj, Robert L. & Hoang, Thi Hong Van, 2021. "Price overreactions in the commodity futures market: An intraday analysis of the Covid-19 pandemic impact," Resources Policy, Elsevier, vol. 71(C).

4. Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
   • Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
   See citations under working paper version above.
5. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2019. "The role of transaction costs and risk aversion when selecting between one and two regimes for portfolio models," Applied Economics Letters, Taylor & Francis Journals, vol. 26(6), pages 516-521, March.

   Cited by:

   1. Constandina Koki & Stefanos Leonardos & Georgios Piliouras, 2020. "Exploring the Predictability of Cryptocurrencies via Bayesian Hidden Markov Models," Papers 2011.03741, arXiv.org, revised Dec 2020.
   2. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
   3. Koki, Constandina & Leonardos, Stefanos & Piliouras, Georgios, 2022. "Exploring the predictability of cryptocurrencies via Bayesian hidden Markov models," Research in International Business and Finance, Elsevier, vol. 59(C).

6. Panayiotis Papakyriakou & Athanasios Sakkas & Zenon Taoushianis, 2019. "Financial firm bankruptcies, international stock markets, and investor sentiment," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(1), pages 461-473, January.

   Cited by:

   1. Papakyriakou, Panayiotis & Sakkas, Athanasios & Taoushianis, Zenon, 2019. "The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 143-160.
   2. Juniarti, 2022. "Market Reaction to Capital Expenditure: Evidence from Company in Bankruptcy Risk ," GATR Journals afr220, Global Academy of Training and Research (GATR) Enterprise.
   3. Chris Charalambous & Spiros H. Martzoukos & Zenon Taoushianis, 2022. "Estimating corporate bankruptcy forecasting models by maximizing discriminatory power," Review of Quantitative Finance and Accounting, Springer, vol. 58(1), pages 297-328, January.

7. Papakyriakou, Panayiotis & Sakkas, Athanasios & Taoushianis, Zenon, 2019. "The impact of terrorist attacks in G7 countries on international stock markets and the role of investor sentiment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 143-160.

   Cited by:

   1. Bevilacqua, Mattia & Morelli, David & Uzan, Paola Sultana Renée, 2021. "Striking the implied volatility of US drone companies," International Review of Financial Analysis, Elsevier, vol. 77(C).
   2. Zhu, Xuehong & Niu, Zibo & Zhang, Hongwei & Huang, Jiaxin & Zuo, Xuguang, 2022. "Can gold and bitcoin hedge against the COVID-19 related news sentiment risk? New evidence from a NARDL approach," Resources Policy, Elsevier, vol. 79(C).
   3. Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua, 2020. "Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
   4. Angosto-Fernández Pedro Luis & Ferrández-Serrano Victoria, 2022. "World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases," Economics and Business Review, Sciendo, vol. 8(4), pages 5-38, December.
   5. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
   6. Onour, Ibrahim A., 2021. "The impact of COVID-19 pandemic shock on major Asian stock markets: evidence of decoupling effects," Economic Consultant, Roman I. Ostapenko, vol. 34(2), pages 21-32.
   7. Malik, Ihtisham A. & Chowdhury, Hasibul & Alam, Md Samsul, 2023. "Equity market response to natural disasters: Does firm's corporate social responsibility make difference?," Global Finance Journal, Elsevier, vol. 55(C).
   8. Kuzu, Erkan & Süsay, Aynur & Tanrıöven, Cihan, 2022. "A model study for calculation of the temperatures of major stock markets in the world with the quantum simulation and determination of the crisis periods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 585(C).
   9. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2022. "Time and frequency spillovers between political risk and the stock returns of China's rare earths," Resources Policy, Elsevier, vol. 75(C).
   10. Dehua Shen & Wei Zhang, 2021. "Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(2), pages 305-318, June.
   11. Liu, Yiye & Han, Liyan & Wu, You & Yin, Libo, 2022. "Do terrorist attacks matter for currency excess returns?," Finance Research Letters, Elsevier, vol. 49(C).
   12. Rao, Purnima & Goyal, Nisha & Kumar, Satish & Hassan, M. Kabir & Shahimi, Shahida, 2021. "Vulnerability of financial markets in India: The contagious effect of COVID-19," Research in International Business and Finance, Elsevier, vol. 58(C).
   13. Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
   14. Zhou, Mei-Jing & Huang, Jian-Bai & Chen, Jin-Yu, 2020. "The effects of geopolitical risks on the stock dynamics of China's rare metals: A TVP-VAR analysis," Resources Policy, Elsevier, vol. 68(C).
   15. Shaista Wasiuzzaman, 2022. "Impact of COVID-19 on the Saudi stock market: analysis of return, volatility and trading volume," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 350-363, July.
   16. Ştefan Cristian Gherghina & Liliana Nicoleta Simionescu, 2023. "Exploring the asymmetric effect of COVID-19 pandemic news on the cryptocurrency market: evidence from nonlinear autoregressive distributed lag approach and frequency domain causality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-58, December.

8. Daniel Giamouridis & Athanasios Sakkas & Nikolaos Tessaromatis, 2017. "Dynamic Asset Allocation with Liabilities," European Financial Management, European Financial Management Association, vol. 23(2), pages 254-291, March.

   Cited by:

   1. Michail Anthropelos & Evmorfia Blontzou, 2023. "On Valuation and Investments of Pension Plans in Discrete Incomplete Markets," Risks, MDPI, vol. 11(6), pages 1-24, June.
   2. Bernardo, Márcio R. & Campani, Carlos Heitor, 2019. "Liability driven investment with alternative assets: Evidence from Brazil," Emerging Markets Review, Elsevier, vol. 41(C).
   3. Nabeel Butt, 2019. "On Discrete Probability Approximations for Transaction Cost Problems," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(3), pages 365-389, September.
   4. Söhnke M. Bartram & Harald Lohre & Peter F. Pope & Ananthalakshmi Ranganathan, 2021. "Navigating the factor zoo around the world: an institutional investor perspective," Journal of Business Economics, Springer, vol. 91(5), pages 655-703, July.

9. Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015. "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 265-279.

   Cited by:

   1. Gric, Zuzana & Bajzík, Josef & Badura, Ondřej, 2023. "Does sentiment affect stock returns? A meta-analysis across survey-based measures," International Review of Financial Analysis, Elsevier, vol. 89(C).
   2. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
   3. Hadhri, Sinda & Ftiti, Zied, 2019. "Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 187-200.
   4. Docherty, Paul & Hurst, Gareth, 2018. "Return dispersion and conditional momentum returns: International evidence," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 263-278.
   5. Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2018. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests," Working Papers 201846, University of Pretoria, Department of Economics.
      • Riza Demirer & Rangan Gupta & Zhihui Lv & Wing-Keung Wong, 2019. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests," Sustainability, MDPI, vol. 11(2), pages 1-15, January.
   6. Kolari, James W. & Huang, Jianhua Z. & Butt, Hilal Anwar & Liao, Huiling, 2022. "International tests of the ZCAPM asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
   7. Schmidbauer, Harald & Rösch, Angi & Uluceviz, Erhan, 2017. "Frequency aspects of information transmission in a network of three western equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 933-946.
   8. Miralles-Quirós, José Luis & Miralles-Quirós, María Mar, 2019. "Are alternative energies a real alternative for investors?," Energy Economics, Elsevier, vol. 78(C), pages 535-545.
   9. Zuzana Gric & Josef Bajzik & Ondrej Badura, 2021. "Does Sentiment Affect Stock Returns? A Meta-analysis Across Survey-based Measures," Working Papers 2021/10, Czech National Bank.
   10. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
   11. Nam T. Vu & Jiayu Wu, 2020. "International Effects of Stock Market Dispersion," Southern Economic Journal, John Wiley & Sons, vol. 86(4), pages 1393-1417, April.
   12. Fei, Tianlun & Liu, Xiaoquan & Wen, Conghua, 2019. "Cross-sectional return dispersion and volatility prediction," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
   13. Flögel, Volker & Schlag, Christian & Zunft, Claudia, 2022. "Momentum-Managed Equity Factors," Journal of Banking & Finance, Elsevier, vol. 137(C).
   14. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
   15. Demirer, Riza & Pierdzioch, Christian & Zhang, Huacheng, 2017. "On the short-term predictability of stock returns: A quantile boosting approach," Finance Research Letters, Elsevier, vol. 22(C), pages 35-41.
   16. Cheng, Mengyao, 2022. "Legislative gridlock and stock return dispersion around roll-call votes," Journal of Banking & Finance, Elsevier, vol. 138(C).
   17. Ekaterini Panopoulou & Nikolaos Voukelatos, 2022. "Should hedge funds deviate from the benchmark?," Financial Management, Financial Management Association International, vol. 51(3), pages 767-795, September.
   18. Jörg Döpke & Karsten Müller & Lars Tegtmeier, 2023. "Moments of cross‐sectional stock market returns and the German business cycle," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 52(2), July.
   19. Flögel, Volker & Schlag, Christian & Zunft, Claudia, 2021. "Momentum-managed equity factors," SAFE Working Paper Series 317, Leibniz Institute for Financial Research SAFE.
   20. Eriksen, Jonas N., 2019. "Cross-sectional return dispersion and currency momentum," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 91-108.
   21. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-ORE: Operations Research (2) 2017-12-11 2019-03-11. Author is listed
2. NEP-RMG: Risk Management (2) 2017-12-11 2019-03-11. Author is listed
3. NEP-UPT: Utility Models and Prospect Theory (2) 2017-12-11 2019-03-11. Author is listed

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