Publications
The Importance of Income Uncertainty on the Relationship of Inequality with the Equity Risk Premium, with C. I. Giannikos and H. Guirguis) – forthcoming at International Journal of Business and Economics, 2024
Inequality, premium and the timing of resolution of uncertainty, with C. I. Giannikos, Finance Research Letters, 2024
We incorporate Epstein-Zin preferences in an exchange economy with income uncertainty and examine the effect of inequality on the equity risk premium. When agents have preference for late resolution of uncertainty, inequality increases the premium for low income uncertainty and decreases the premium for large income uncertainty. When agents have preference for early resolution of uncertainty, inequality increases the equity premium even when the level of income uncertainty is large. Our results suggest that the time preference for resolution of uncertainty has an important effect on income uncertainty, which subsequently affects the relationship of inequality with the equity risk premium.
A study of the effectiveness of governmental strategies for managing mortality rate from COVID-19, with W. Clyde and A. Kakolyris, Eastern Economic Journal, 2021
We investigate the effectiveness of seven government containment and policy closure interventions against the novel coronavirus (SARS-COV-2) pandemic in the OECD countries, at several different time horizons. Our results indicate that only school closings and public transportation closings have a persistently significant impact. Stay at home policies only show a significant impact after 70 days. Workplace closings, restrictions on the size of gatherings, and restrictions on internal travel show no significant impact on mortality rates. Moreover, stricter measures are not significantly associated with lower growth rates in mortality.
Equity Premium with Habits, Wealth Inequality and Background Risk, with C. I. Giannikos, Journal of Risk and Financial Management, 2021
n an exchange economy with endowment inequality, we investigate how preferences with external habits affect the equity risk premium. We show that the dynamics of external additive habits with wealth inequality are complex when a background risk is present. It is ambiguous whether wealth inequality will increase or decrease the equity premium even when the income uncertainty is low. This result extends literature by suggesting that wealth inequality has a small role in explaining asset pricing puzzles.
Habits, Wealth and Equity Risk Premium, with C. I. Giannikos, Finance Research Letters, 2021
We investigate how external habits affect the equity risk premium in an exchange economy with identical agents, except for their initial endowment. Wealth in- equality is introduced with a mean-preserving transfer of endowment. We show that, when external habits are present and the absolute risk tolerance of agents is convex (concave), wealth inequality will decrease (increase) the equity risk premium. Furthermore, we find that as external habits increase, the equity risk premium increases (decreases) if agents exhibit convex (concave) absolute risk tolerance.
Working Papers
CEO Gender and Firm Performance during the COVID-19 pandemic, with C. I. Giannikos and J. Lou, Revise & Resubmit at Applied Finance Letters
Finance, Economic Literacy and Inequality
International Capital Flows, Growth and Innovation: The Role of Culture, with C. Vasilakis and H. Mittelstadt
Income Inequality, Remittances and Economic Growth, with H. Guirguis and S. Camara
Noise Trader Model in a Production Economy, with C. I. Giannikos and A. Kakolyris
Other Papers and Writings
City Size Distributions: A Survey on Zipf’s Law and Central Place Theory