My research topics of interest include: Asset Pricing, Corporate Finance, Financial Econometrics.
'The Market State and Anomaly Returns' with Ilias Tsiakas (complete, in preparation for submission), access paper here
Abstract
This paper examines the role of the market state in predicting asset pricing anomalies. We find that the sign, size, and significance of anomaly returns depend crucially on whether they follow a positive or negative market return. This is the case when we examine anomalies individually and when we aggregate them using a mispricing measure. We conjecture that the findings can be explained by market frictions for investors with short positions and behavioural biases for investors with long positions. Our hypothesis is supported by empirical evidence on short interest, liquidity and fund flows.
'The Disconnect between Market Capital Gains and the Dividend Yield in Asset Pricing' with Jordi Mondria and Ilias Tsiakas (submitted, awaiting decision), access paper here
Abstract
In the standard CAPM model, the capital gains component of the market factor is vastly more volatile than the dividend yield component. As a result, standard betas capture exposure only to market capital gains. We propose a two-factor CAPM that includes a separate market dividend yield factor and find that exposure to this factor can unambiguously distinguish between high-performing and low-performing stocks. This finding is particularly strong in the post-1978 period that coincides with the persistent decline in the number of US dividend-paying firms. We provide a theoretical model, which shows that the predictive power of a signal about the dividend yield can potentially be substantially higher than the predictive power of an additional signal about capital gains. Our theoretical model and empirical results are consistent with the disconnect in the way investors perceive capital gains and dividends.
'Pricing Earnings Surprises for U.S. Firms' with Ilias Tsiakas, access paper here
Abstract
The empirical return anomaly associated with momentum has been attributed by the literature to momentum in earnings, captured by a standardized unexpected earnings measure. This paper uses an improved measure based on standardized surprises defined as current earnings minus the median of the cross section of analyst forecasts. In contrast to the standard earnings measure, portfolio sorts on the improved earnings measure lead to spreads with significant abnormal returns. Our improved measure consistently outperforms the standard measure throughout our sample thus providing an effective way to predict post-earnings-announcement-drift (PEAD). Overall, our findings support the weakening, but not the death, of PEAD in recent years at both the daily and monthly frequency.
Ilias Tsiakas - 2020-2022