UNIVERSITY OF PIRAEUS
The Department of Banking and Financial Management announces the upcoming seminar given by internal faculty member Prof. George Skiadopoulos
“The Contribution of Frictions to Expected Returns”
Seminar Organizers: Assist. Prof. Michail Anthropelos, Prof. George Skiadopoulos
Abstract: We derive a model-free formula to estimate the contribution of market frictions to expected returns (CFER) within a formal asset pricing setting. We document that CFER can be estimated accurately by properly scaled deviations from put-call parity. CFER is sizable, it predicts stock returns and it has superior properties than previously proposed measures of deviations from put-call parity. We find that its predictive power stems from capturing the effect of market frictions, rather than from omitted factors and informed trading. Our findings suggest that market frictions, especially transaction costs, have a sizable effect even on large optionable stocks.
George Skiadopoulos is a Professor of Finance at the Department of Banking and Financial Management of the University of Piraeus and at the School of Economics and Finance of Queen Mary University of London. He is also the Director of the Institute of Finance and Financial Regulation (IFFR, www.iffr.gr ), an Honorary Senior Visiting Fellow at Cass Business School and an Associate Research Fellow at Warwick Business School. His research interests lie in the areas of Empirical Asset Pricing and Asset Management. His work has appeared in journals such as the Management Science, Journal of Financial and Quantitative Analysis, Journal of Business and Economic Statistics and the Journal of Banking and Finance, it has been featured in media outlets such as Forbes and Wall Street Journal, and it has received research grants by a number of institutions. Professor Skiadopoulos has also acted as a consultant to a number of financial institutions.titutions.