A presentation by
Vasilios Sogiakas, School of Business and Economics

When: Monday, November 26, 15:00–16:00

Where: Deree Faculty Lounge

Organized by: Faculty Research Seminars 2018-19 Series

Vasilios joined the American College of Greece, Business School and Economics, in October 2018, having previously held a position at the University of Glasgow, Adam Smith Business School 2010-2018.

Before that he was an adjunct lecturer at the Athens University of Economics and Business and at the University of Patras 2009-2010. He has also provided Professional services at the University of Stirling and at the Kingston Business School.

He studied at the Athens University of Economics and Business where he acquired BSc and MSc Degrees in Statistics and his PhD in Quantitative Finance.

He has taught many Undergraduate and Postgraduate courses such as Portfolio Analysis, Financial Management, Capital and Money Markets, Financial Derivatives, Computational Finance and Econometrics in many international institutions at UK and Greece. He is also experienced in distance learning programs.

His research interests lay in the area of Quantitative Finance and his papers are published in high quality Journals such as the Annals of Operation Research, the Journal of International Financial Markets, Institutions & Money and the Review of Quantitative Finance and Accounting. Vasilios has provided consultancy services at the Online Management Solutions Ltd., developing a financial software for start-up business.

At the University of Glasgow he acted as the Director of the Centre of Economics and Finance Studies (CEFS) which consists of nine Postgraduate Programs with almost 700 students in total. He has also acted as the supervisor of many PhD students with four successful completions.

Abstract

A long criticism on the usefulness of the traditional CAPM model has been raised in the asset pricing literature (Fama and French (2004)). Our paper addresses misspecification issues in multifactor models due to asymmetric diversification effects across firm specific characteristics and proposes a new model that accounts for the diversification intensity of risk premia. Using data from US exchanges we find that strategies on size, value, liquidity and financial distress contain greater risk than what is actually dictated by conventional self-financing long-short trading strategies. Finally, it is found that the magnitude of risk premia are associated with low intra-securities’ correlations.