Dr Konstantinos Tolikas
BSc, MSc, PhD
Senior Lecturer in Finance
Full contact details
Sheffield University Management School
- Research interests
I have obtained significant research experience by conducting research in the area of empirical finance and in particular in the fields of financial risk measurement, market efficiency, asset pricing, and the risk-taking behaviour of investment funds. My research aims are to (i) sustain research excellence in empirical finance, (ii) publish in high quality journals, including AJG 4*, (iii) attract research funding, (iv) attract and supervise promising doctoral students, and (v) engage with the public, local businesses and government agencies.
- Hedge fund performance persistence under different business cycles and stock market regimes. The North American Journal of Economics and Finance, 64, 101866-101866.
- Tail risk and the cross-section of mutual fund expected returns. Journal of Financial and Quantitative Analysis, 54(1), 425-447. View this article in WRRO
- The lead-lag relation between the stock and the bond markets. The European Journal of Finance, 24(10), 849-866.
- Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation. Journal of International Financial Markets, Institutions and Money, 51, 39-57.
- The relative informational efficiency of corporate retail bonds: Evidence from the London Stock Exchange. International Review of Financial Analysis, 46, 191-201.
- Unexpected tails in risk measurement: Some international evidence. Journal of Banking & Finance, 40, 476-493.
- The rare event risk in African emerging stock markets. Managerial Finance, 37(3), 275-294.
- The impact of foreign cross-listings on volatility spillovers between stock markets: The case of the paris stock exchange. International Research Journal of Finance and Economics, 1(25), 240-246.
- Modelling the distribution of the extreme share returns in Singapore. Journal of Empirical Finance, 16(2), 254-263.
- The Anderson–Darling Goodness-of-Fit Test Statistic for the Three-Parameter Lognormal Distribution. Communications in Statistics - Theory and Methods, 37(19), 3135-3143.
- Extreme Risk and Value-at-Risk in the German Stock Market. The European Journal of Finance, 13(4), 373-395.
- The impact of foreign cross‐listings on the home Dutch equities. Managerial Finance, 32(5), 451-462.
- The distribution of the extreme daily share returns in the Athens stock exchange. The European Journal of Finance, 12(1), 1-22.
- Managerial characteristics and performance of Eurozone mutual funds. Journal of Financial Research.
- Value-at-risk and extreme value distributions for financial returns. The Journal of Risk, 10(3), 31-77.
- AN APPLICATION OF EXTREME VALUE THEORY IN MODELLING EXTREME SHARE RETURNS, Advances in Doctoral Research in Management (pp. 19-45). WORLD SCIENTIFIC
- Teaching interests
Asset pricing, Risk management, Performance and risk-taking behavior of mutual and hedge funds, Tail risk.
- Teaching activities
My teaching experience covers almost all of the areas of finance. Currently, I lead and lecture the PG modules of International Finance and Financial Management. In the past I have also led and lectured UG as well as MBA modules (Corporate Investment, International Corporate Finance, Multinational Financial Management, Managerial Finance).