E-mail: a.kostakis at liverpool.ac.uk


I am the Head of the Accounting and Finance Group and Professor of Finance at the University of Liverpool Management School. I am also Honorary Research Professor at Alliance Manchester Business School, where I was previously Professor of Finance.

My research interests lie in the areas of Asset Pricing, Portfolio Choice, and Institutional Investors. My research has been published in the Review of Financial StudiesManagement Science, and the Journal of Financial and Quantitative Analysis among other scholarly journals.

I hold a first-class degree in Banking and Financial Management from the University of Piraeus, an MSc in Econometrics and Economics with distinction and a PhD in Economics, both from the University of York, funded by a departmental scholarship and an ESRC grant.

Research and teaching interests

Asset Pricing, Option-Implied Information, Political Risk.

Selected Publications

A Single-Factor Consumption-Based Asset Pricing Model (with S. Delikouras), Journal of Financial and Quantitative Analysis, 54, 2019, pp. 789-827. (WFA 2017 presentation)

Do Stock Returns Really Decrease with Default Risk? New International evidence (with K. Aretz and C. Florackis), Management Science, 64, 2018, pp. 3821-3842 (Supplementary Appendix).

What Does Risk-Neutral Skewness Tell Us About Future Stock Returns? (with P.S. Stilger and S.-h. Poon), Management Science, 63, 2017, pp. 1814-1834 (Supplementary Appendix) (University of Miami presentation)

Robust Econometric Inference for Stock Return Predictability (with T. Magdalinos and M.P. Stamatogiannis), Review of Financial Studies, 28, 2015, pp. 1506-1553 (Supplementary Appendix) (Link to MATLAB and GAUSS code) (slides)

Are there common factors in commodity futures returns? (with C. Daskalaki and G. Skiadopoulos), Journal of Banking and Finance, 40, 2014, pp. 346-363. (BMRC-QASS 2012 presentation) (updated slides: QMUL Commodities 2013)

Higher co-moments and asset pricing on London Stock Exchange (with M. Kashif and A. Siganos), Journal of Banking and Finance, 36, 2012, pp. 913-922. (presentation)

Market timing with option-implied distributions: A forward looking approach (with N. Panigirtzoglou and G. Skiadopoulos), Management Science, 57, 2011, pp. 1231-1249. (INQUIRE UK 2009 presentation). A longer working paper version can be downloaded here. An earlier version has been reviewed by Citigroup Academic Research Digest

Trading frequency and asset pricing on London Stock Exchange: Evidence from a new price impact ratio (with C. Florackis), Journal of Banking and Finance, 35, 2011, pp. 3335-3350. (Bank of England presentation)

Working papers

Alexiou, L., Goyal, A., Kostakis, A., and L. Rompolis., “Pricing Event Risk: Evidence from Concave Implied Volatility Curves”

Kostakis, A., Magdalinos, T., and Stamatogiannis, M., “Taking Stock of Long-Horizon Predictability Tests: Are Factor Returns Predictable?”

Kostakis, A., Gkionis, K, and Stathopoulos, K., “Manifestations of Political Uncertainty around US Presidential Elections: Cross-Sectional Evidence from the Option Market”

Delikouras, S. and Kostakis, A., “Mutual Fund Performance When it Really Matters Most”

Kostakis, A., and Spencer, P., “Dynamic Bond Portfolio Choice with Macroeconomic Information” (EFA 2009 presentation)

My working papers can be found at my SSRN website

Media Coverage

My work on coskewness, asset pricing and performance evaluation has been cited in the popular FT “Last Word” column (30/06/2014)

Conferences and seminars (* indicates presentation by co-author)

2019: ICMA Centre (Reading), King’s College (London), SoFiE* (Shanghai), 6th Asset Pricing Workshop* (York), EFA (Lisbon, discussion), Surrey Business School, CFE-CMS (London).

2018: ESSEC (Paris), Frontiers of Factor Investing* (Lancaster), University of Southampton, EFMA* (Milano).

2017: WFA (Whistler), EFA (Mannheim), Warwick Business School, FMA Europe (Lisbon), Inquire UK (London), University of York.

2016: University of Piraeus, MFA* (Atlanta), Imperial College Business School, EFA (Oslo, discussion), 3rd SAFE Asset Pricing Workshop (Frankfurt), Paris December Finance Meeting (Paris).

2015: University of Glasgow, Keele Management School, University of Miami School of Business, FMA Europe (Venice, 2 papers), CRETE (Chania), Cass Business School, CFE-CMS (London), Paris Financial Management Conference (Paris).

2014: Inquire Europe* (Wien), Royal Economic Society* (Manchester), Midwest Finance Association* (Orlando), Arne Ryde Workshop (Lund), World Finance Conference (Venice, 2 papers), 2nd ISNPS (Cadiz), Paris Finance December Meeting (Paris), FMA Asia* (Tokyo), EFMA* (Rome), University of Glasgow*, University of Amsterdam*, University of Edinburgh*.

2013: Marie Curie Risk Management (Konstanz), Royal Economic Society* (London), MMF (Southampton), BMRC-QASS (Brunel), FMA Europe (Luxembourg), Commodities Queen Mary (London), 11th Corporate Finance Day* (Liege), 2nd Luxembourg Asset Management Summit* (Luxembourg).

2012: EFA (Copenhagen), Bank of England, ICMA Centre (Reading), Manchester Business School, BMRC-QASS (Brunel), FMA Europe* (Istanbul), EFMA* (Barcelona).

2011: Econometric Society European Meeting* (Oslo), Midwest Finance Association* (Chicago), HFAA (Piraeus).

2010: EFA (Frankfurt, 2 papers), INQUIRE UK (Grantham), FMA Europe (Hamburg, 2 papers), Bank of England.

2009: EFA (Bergen), INQUIRE UK (Leeds), C.R.E.T.E. (Tinos, 2 papers), FMA Europe (Torino), EFMA* (Milano), ICMA Center (Reading).

2008: FMA Europe (Prague), Asset Management and International Capital Markets (CFS, Frankfurt), Bachelier Finance Society World Congress* (London), EFMA* (Athens).

2007: EFA Doctoral (Ljubljana), C.R.E.T.E. (Naxos), FMA Europe Doctoral (Barcelona), 11th Conference on Macroeconomic Analysis and International Finance* (Crete).

2006: Xfi Conference on Asset Management (Exeter)

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