Vasilis Sarafidis

What's new?

August 2026: Delighted to share our new work on Nonlinear Boosting with Multiple Testing in High-Dimensional Generalised Linear Models with Binary Responses. We develop a variable selection procedure for high-dimensional generalised linear models that consistently identifies the true sparse model and enjoys the oracle property, yielding post-selection maximum likelihood estimates that are asymptotically equivalent to those obtained if the correct model were known in advance. Monte Carlo experiments show that BMT outperforms competing methods in both variable selection and parameter estimation. An empirical application demonstrates excellent out-of-sample performance in predicting whether U.S. inflation exceeds a given threshold over a 12-month horizon. 

July 2026: I am pleased to share a new working paper “Estimation and Inference for Latent Dual Networks Using High-Dimensional IV Screening” (with Arturas Juodis and George Kapetanios). We develop a novel methodology for estimation and inference in high-dimensional panel network models with latent dual structures. The framework allows outcomes to be affected simultaneously by positive and negative interaction channels, accommodating settings in which some interactions reinforce outcomes while others generate competition and displacement effects. The proposed method identifies and estimates the network directly from the structural model using observed data without the need to pre-specify the network. Network recovery is achieved through a sequential instrumental-variable screening procedure. We establish exact support recovery and oracle-equivalent post-selection inference.

June 2026: On 25 June, I will deliver a distinguished lecture titled Network Effects in Corporate Emissions: Beyond Geography and Industry Boundaries at the 10th EFiC Conference in Banking and Corporate Finance, hosted by Essex Business School on 25–26 June 2026. The lecture is part of the special stream on climate finance, which focuses on pricing, modelling, and regulating climate risk in banking and corporate finance. The conference brings together leading academics, practitioners, and policymakers to present state-of-the-art research in banking, corporate finance, financial regulation, and related areas. 

May 2026: I am pleased to announce a Special Issue on Panel Data Analysis (submission deadline: 20 December 2026), co-edited with Badi Baltagi, Kazuhiko Hayakawa, and Degui Li for Econometrics and Statistics. The Special Issue seeks frontier research featuring significant econometric innovations in panel data analysis, including advances in causal inference, heterogeneous panel models, high-dimensional and machine learning methods, network and spatial econometrics, qualitative response models, quantile regression, robust inference, and threshold models. Contributions should offer substantial methodological, theoretical, or computational advances, with particular encouragement given to original methodological developments motivated by substantive applications.

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. 

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