Selected Publications
The Accounting Review, forthcoming (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: Doing Good by Doing Well? The 'Chicken and Egg' Problem in the ESG Alpha Debate
Featured in: Bloomberg, ESG Clarity, Harvard Law School Forum on Corporate Governance
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 (Jan 2000-June 2023) here
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
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 Derivatives 2023, 31, 8-33, Lead article (with Hiraki, K.)
We propose a novel real-time, model-free and simple to implement measure, termed synthetic stock difference (SSD), to estimate the contribution of transaction costs to expected stock returns. The cross-sectional standard deviation of SSD is a stock specific option-based proxy for the underlying stock's transaction costs.Figure of the monthly interquartile range of SSD (Jan 1996-Dec 2020): Click here
IQR increases over crises periods when transaction costs increase, as expectedData on SSD for the cross-section of U.S. optionable stocks (Jan 1996-Dec 2020): Click here Readme file here
Journal of Banking and Finance 2021, 128, Article 106112 (with Gkionis, K., Kostakis, A., and Stilger, P.S. )
Stocks with high risk-neutral skewness outperform. We propose and empirically validate a trading mechanism which explains thisRecipient of the 2022 CFA Society Greece Annual Research Award
Media Coverage: Fintech Zoom, Global Investor
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 Markets, 2019, 46 (with Kapetanios, G., Konstantinidi, E., and Neumann, M.)
Index option prices jump prior to news releases because market makers are afraid that they may interact with investors who can process released information skillfullyRecipient of the Chicago Mercantile Exchange Foundation Group Grant
Press Release: Click here
Journal of Banking and Finance 2019, 104, 1-18, Lead article (with Lambrinoudakis, C., and Gkionis, K. )
We proxy expectations of firms' managers using information from equity options and verify one of the key predictions of the financial flexibility paradigmMedia Coverage: CFO Magazine, Kathimerini (Sunday Edition)
Journal of Empirical Finance 2017, 44, 250-269 (with Daskalaki, C., and Topaloglou, N.)
Stochastic dominance criteria show that it is the second and third (rather than the first) generation commodity indices which should be included in investors' portfoliosMedia Coverage: The Conversation
Abstracted by Global Commodities Applied Research Digest (GCARD) Spring 2017 issue, Vol. 2, No. 1. Issued by the J.P. Morgan Center for Commodities (JPMCC) at the University of Colorado Denver Business School
Recipient of the Commodities Research Fellowship Award at the J.P. Morgan Center for Commodities, at the University of Colorado Denver Business School
Press Release: Click here
Journal of Financial Stability 2016, 22, 129-152 (with Daskalaki, C.)
Analysis on an extensive set of commodity futures reveals that the regulation of margins has pros and consMedia Coverage: The Conversation
Cited in the OneChicago August 2019 Response to the Securities and Exchange Commission (SEC) and Commodity and Futures Trading Commission (CFTC) proposed rule for futures margin rules
Abstracted in Roubini’s RGE EconoMonitor as a Research Column: Daskalaki, C., and Skiadopoulos, G. (2015). Should Commodity Futures Margins Be Regulated?
Abstracted by Global Commodities Applied Research Digest (GCARD) Winter 2017 Issued by the J.P. Morgan Center for Commodities (JPMCC) at the University of Colorado Denver Business School
Journal of Banking and Finance 2016, 62, 62-75 (with Konstantinidi, E.)
We study the determinants of the market variance risk premium using a proprietary dataset of variance swaps which enables us to calculate the actual profits/losses from investing in themJournal of Banking and Finance 2014, 40, 346-363 (with Daskalaki, C., and Kostakis, A.)
We test a plethora of factors (equity-motivated, macro, based on commoditity prices theories, and data reduction techniques). We find that there are no common factors in commodity futures, simply because this is a very heterogeneous asset classMedia Coverage: The Conversation
Cited in the EU 2014 Directorate General for Internal Policies Report: Financial instruments and legal frameworks of derivatives markets in EU agriculture
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
Journal of Derivatives 2013, 20, 85-96
We review the literature on commodity futures from an investor's perspectiveMedia Coverage: The Conversation
International Journal of Forecasting 2012, 28, 644-659 (with Goulas, L.)
We examine whether freight futures prices can be predicted
Journal of Banking and Finance 2012, 36, 2260-2273 (with Jiang, G, and Konstantinidi, E.)
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
International Journal of Forecasting 2011, 27, 543-560 (with Konstantinidi, E. )
Journal of Banking and Finance 2008, 32, 2401-2411 (with Konstantinidi, E., and Tzagkaraki, E.)
Journal of Banking and Finance 2007, 31, 3584-3603 (with Dotsis, G., and Psychoyios, D.)
Journal of Futures Markets 2006, 26, 1-31, Lead Article (with Psychoyios, D.)
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.International Journal of Theoretical and Applied Finance 2001, 4, 403-437.
Option pricing models which take European option prices as inputs, rather than trying to explain them, can be used to price and hedge exotic options. We review the literatureReview 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