Selected Publications
Selected Publications
Pricing Event Risk: Evidence from Concave Implied Volatility Curves, with L. Alexiou, A. Goyal and L. Rompolis, Review of Finance, 29, 963-1007, 2025. [Matlab codes]
Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?, with T. Magdalinos and M. Stamatogiannis, Journal of Econometrics, 237, 105380, 2023. [Matlab code for IVX-KMS test statistic]
A Single-Factor Consumption-Based Asset Pricing Model, with S. Delikouras, Journal of Financial and Quantitative Analysis, 54, 789-827, 2019.
Do Stock Returns Really Decrease with Default Risk? New International Evidence, with K. Aretz and C. Florackis, Management Science, 64, 3821-3842, 2018.
What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?, with P. Stilger and S.-H. Poon, Management Science, 63, 1814-1834, 2017.
Robust Econometric Inference for Stock Return Predictability, with T. Magdalinos and M. Stamatogiannis, Review of Financial Studies, 28, 1506-1553, 2015. [Matlab code for IVX-KMS test statistic]
Market Timing with Option-Implied Distributions: A Forward-Looking Approach, with N. Panigirtzoglou and G. Skiadopoulos, Management Science, 57, 1231-1249, 2011.