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Systematic liquidity and excess returns : evidence from the London Stock Exchange

Galariotis, Emilios C.; Giouvris, Evangelos - In: Review of accounting & finance 8 (2009) 3, pp. 279-307

Persistent link: https://www.econbiz.de/10003883614

What is the effect of VIX and (un)expected Illiquidity on Sectoral Herding in US REITs during (Non)crises? : evidence from a Markov Switching Model (2014-2022)

Essa, Mohammad Sharik; Giouvris, Evangelos - 2025

Persistent link: https://www.econbiz.de/10015357760

A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index

Alsheikhmubarak, Abdulilah; Giouvris, Evangelos - 2023

Modelling the volatility (or kurtosis) of the implied volatility is an important aspect of financial markets when analysing market consensus and risk strategies. The purpose of this study is to evaluate the ability of symmetric and asymmetric GARCH systems to model the volatility of the FTSE 100...

Persistent link: https://www.econbiz.de/10014254483

Fama-French-Carhart Factor-Based Premiums in the US REIT market : a risk based explanation, and the impact of financial distress and liquidity crisis from 2001 to 2020

Essa, Mohammad Sharik; Giouvris, Evangelos - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-39

The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 2020, we examine the presence, magnitude and...

Persistent link: https://www.econbiz.de/10013545890