Vasilis Sarafidis

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April 2026: The paper "Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy" (with Ahmad Haboub and Aris Kartsaklas)  has been accepted for publication at The Financial Review. We hypothesize that sorting portfolios by the V/P ratio yields excess returns by capturing persistently undervalued firms. In the US market, high V/P portfolios outperform low V/P ones over one- to three-year horizons. The V/P ratio predicts future returns even after controlling for standard risk factors. Profitability and investment improve the explanatory power of the Fama-French model, particularly for stocks with V/P near 1, but fail to account fully for excess returns in years two and three, especially among high V/P stocks. These high V/P portfolios identify firms significantly mispriced relative to future investment and profitability growth. 

April 2026: The paper “Network Effects in Corporate Emissions: Evidence from a Data-Dependent Spatial Panel Model” (with Stylianos Asimakopoulos, George Kapetanios and Alexia Ventouri) has been accepted for publication in the Journal of Money, Credit and Banking. We study spillover effects in corporate toxic emissions using a heterogeneous panel network of U.S. industrial facilities during 2000–2023. Rather than imposing a network structure a priori, we uncover an unobserved web of influence directly from the data using recent advances in high-dimensional network econometrics. Indirect effects transmitted through the estimated network account for around 28% of the total impact of key firm balance-sheet characteristics. By contrast, distance-based networks generate no statistically discernible spillovers, while a priori firmor industry-based networks substantially overstate within-group spillins relative to the data-driven network. 

March 2026: New paper in Spatial Economic Analysis:  Chasing opportunity: Spillovers and drivers of U.S. state population growth (joint with Sebastian Kripfganz). This article is part of a by-invitation-only Special Issue celebrating the 20th anniversary of the journal, published by Routledge on behalf of the Regional Studies Association. We study the drivers of population growth across U.S. states and the role of spatial spillovers. Our framework integrates a data-driven spatial network, heterogeneous regional dynamics, and common macro shocks, offering the first spatial econometric approach to jointly capture these three features in a dynamic panel setting.  The paper also includes several informative visualizations.  

January 2026: I am pleased to share that I will teach a course titled Network and Spatial Panel Data Analysis using Stata at the 2026 Thessaloniki Econometrics Summer School (Th.E.S.S.), hosted by the University of Macedonia in Thessaloniki, Greece, on July 13 to 17, 2026. The course focuses on modelling spatial interactions and network effects in panel data, with empirical applications in economics and finance. Practical lab sessions will be led by Professor Theodore Panagiotidis. More information and applications: https://thess.uom.gr/

December 2025: It was a real honour to take part in a tribute session for Hashem Pesaran at CFE 2025, hosted at Birkbeck, University of London, and contribute a paper, especially with Hashem present. His landmark work across time series, panel data, macroeconometric modelling and forecasting has opened new literatures, created space for hundreds of others to follow, and shaped my own thinking through his writings and later conversations. This is new work on model selection in high-dimensional regression, joint with George Kapetanios and Alexia Ventouri. Slides from my presentation are here.  

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