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Unexpected tails in risk measurement : some international evidence

Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493

Persistent link: https://www.econbiz.de/10010404698

Tail risk and the cross-section of mutual fund expected returns

Karagiannis, Nikolaos; Tolikas, Konstantinos - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 1, pp. 425-447

Persistent link: https://www.econbiz.de/10012128923

Tail Risk and the Cross-Section of Mutual Fund Expected Returns

Karagiannis, Nikolaos - 2018

We test for the presence of a tail risk premium in the cross-section of mutual fund returns and find that the top tail risk quintile of funds outperforms the bottom by 4.4% per annum. This premium is not simply a reward for market risk, nor do commonly used risk factors offer an adequate...

Persistent link: https://www.econbiz.de/10012909810

Wealth effect revisited : novel evidence on long term co-memories between real estate and stock markets

Kiohos, Apostolos; Babalos, Vassilios; Koulakiotis, … - In: Finance research letters 20 (2017), pp. 217-222

Persistent link: https://www.econbiz.de/10011806923

Dynamic portfolios interdependencies : new evidence from the Athens Stock Exchange

Koulakiotis, Athanasios; Kiohos, Apostolos; … - In: Investment management and financial innovations 11 (2014) 2, pp. 86-99

Persistent link: https://www.econbiz.de/10010392826

Volatility and error transmission spillover effects : evidence from three European financial regions

Koulakiotis, Athanasios; Dasilas, Apostolos; … - In: The quarterly review of economics and finance : journal … 49 (2009) 3, pp. 858-869

Persistent link: https://www.econbiz.de/10003873640