Journal of Financial and Quantitative Analysis 2025, forthcoming (with Xue, C.)
Institutional investors push up the cost of equity for S&P 500 firms exposed to climate risk—banks & insurers the biggest drivers. But higher costs don’t make firms greener.Robeco Sustainable Investing Prize (one of the three Best Papers Prizes), 4rth Frontiers of Factor Investing Conference
Featured in: IR Magazine
Working paper version here
The Accounting Review 2024, 99:4, 1-27, Lead article (with Ahn, B.-H. and Patatoukas, P.)
Material ESG alpha is explained by firm's fundamentals. Results highlight the importance of the benchmark model selection, when evaluating ESG portfolio performance. The marketing narrative of financial products based on material ESG information should be revisited.Practical implications: Abstracted by California Management Review (2024) 66:4 Insights as Doing Good by Doing Well? The Chicken And Egg Problem in the ESG Alpha Debate
Featured in: Bloomberg (Businessweek Finance), ESG Clarity, Harvard Law School Forum on Corporate Governance, MSCI Sustainability Institute, S&P Global Market Intelligence, Wall Street Journal
Journal of Banking and Finance 2023, 155, 106948 (with Faccini, R. and Matin, R)
Stock investors do not care about physical risks, they only care about imminent climate-related policy risks. The hedging portfolio does not necessarily contain green firmsAwarded the 2022 School of Economics and Finance QMUL Impact Corn Seed prize "in recognition of success in policy outreach and the potential to generate policy impact"
Data:
Daily climate change risk measures used in the JBF publication (2000-2018) here
Updated daily data (3 Jan 2000- 29 Dec 2025) here ; data from previous releases may differ because of the way LDA functions
For policy makers/impact:
For a non-technical policy report summary, see here
The Task Force on Climate-Related Financial Disclosures of the Financial Stability Board has included our study in its very selective list of related papers (12 out of 100 reviewed papers) in its September 2022 Annual Report to form policy recommendations based on our finding that only imminent transition risks are priced
The OECD report on Climate-resilient Finance and Investment (to be released as OECD Policy Perspectives) forms policy recommendations based on our finding that physical risks are not priced
U.S. Securities and Exchange Commission report (March 2024) published in the U.S. Federal Register on the The Enhancement and Standardization of Climate-Related Disclosures for Investors
Posted by SEC on its website as a comment (dated 24 June 2022) to its March 2022 proposal on climate-related disclosures for investors
Presented at
Sustainable finance: How AI can help account for climate risks, An event organised by EU40 and the European Parliament's STOA Panel, Watch video here
European Supervisory Authorities (ESAs): 2021 EBA Policy Research Workshop “The New Normal in the Banking Sector – Reshaping the Insights”, EIOPA, ESMA
Central Banks: Bank of Greece, Denmarks Nationalbank, Federal Reserve Bank of Cleveland 2022 Financial Stability Conference
Consob, Hellenic Capital Markets Commission Conference on the Future of Sustainable Finance, E-Axes Forum, 2022 JRC Summer School on Sustainable Finance
Featured in: Central Banking News (full text here), Columbia Law School's Blue Sky Blog, Investments & Pensions Europe, Kathimerini (Sunday Edition), Mandag Morgen , Money Review, QMUL media
Video Presentation: 2nd CEFGroup Climate Finance Symposium, University of Otago, Nov 2021. Watch video here
Journal of Business and Economic Statistics 2020, 38, 327-339 (with Bernales, A., Cortazar, G., and Salamunic, L. )
We show that learning about fundamentals may explain the high alphas and Sharpe ratios of short index put option strategiesMedia Coverage: Traders Magazine, Lead story in John Lothian's site
Management Science 2019, 65, 4927-4949 (with Faccini, R., Konstantinidi, E., and Sarantopoulou-Chiourea, S.)
We propose a new option-based predictor (IRRA) of real economic activity: decreases in IRRA predict increases in economic growth. IRRA works for highly liquid options markets (U.S. and South Korean)Media Coverage : Forbes, Market Watch, Wall Street Journal, Seeking Alpha, Kathimerini (Sunday Edition), The Verdict
Shortlisted in the Media Relations category for the Queen Mary University of London Engagement and Enterprise Awards 2019 for Best Published Research Campaign
Nominated for the EFMA 2017 Conference Global Association of Risk Professionals (GARP) Risk Management Best Paper Award
Journal of Financial and Quantitative Analysis 2013, 48, 947-977 (with Neumann, M)
We examine whether the implied volatility surfaces can be predicted by describing them in terms of risk-neutral variance, skewness and kurtosis
Management Science 2011, 57, 1231-1249 (with Kostakis, A., and Panigirtzoglou, N.)
We provide a novel method to estimate the inputs to implement a market timing strategy. Our method uses information from option pricesAn earlier version has been abstracted by Citigroup Academic Research Digest, February 2009.
Journal of Banking and Finance 2011, 35, 2606-2626 (with Daskalaki, C. )
In contrast to common perception, the introduction of commodities in investors' portfolios does not always make them better off. This holds especially for first commodity generation indices, including the Goldman Sachs Commodity IndexAbstracted by CFA Digest, February 2012, Vol. 42, No. 1.
Top 25 most cited papers in the Journal of Banking and Finance for January 2010 – April 2015
Media Coverage : Seeking Alpha , The Conversation
Journal of Banking and Finance 2004, 28, 1499-1520, Lead Article (with Panigirtzoglou, N)
We examine the dynamics of the S&P 500 risk-neutral density function and use our findings to estimate the Value-at-Risk via simulation. Results confirm the accuracy of our estimation
European Financial Management Journal 2001, 7, 497-521 (with Hodges, S. )
We provide a setting to simulate the dynamics of risk-neutral densities.Review of Derivatives Research 1999, 3, 263-282 (with Hodges, S., and Clewlow, L.)
We find that three principal components (level, slope, and curvature) explain most of the variation of the S&P 500 implied volatility surfaces