Prof. Gregory Koutmos
Dolan School of Business
Fairfield University, USA
Professor
Email: gkoutmos@mail.fairfield.edu
Qualifications
1990 Ph.D., in Economics, Graduate School and University Center of the City University of New York
1984 M.A., in Economics, City College of the City University of New York
1980 B.Sc., in Economics/Business, Graduate School of Business and Economic Studies (ASOEE), Athens-Greece
Publications (Selected)
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Knif, J., Kolari, J. W., Koutmos, G., & Pynonen, S. (2023). Modeling the Time Variation in Factor Exposures. Journal of Finance and Investment Analysis, 12(2), 1-2.
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Högholm, K., Knif, J., Koutmos, G., & Pynnönen, S. (2021). Financial crises and the asymmetric relation between returns on banks, risk factors, and other industry portfolio returns. Financial Review, 56(1), 179-198.
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Bardos, K. S., Cline, B. N., & Koutmos, G. (2020). Risk dynamics around restatement announcements. Review of Quantitative Finance and Accounting, 54, 1279-1313.
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Knif, J., Koutmos, D., & Koutmos, G. (2020). Higher co-moment CAPM and hedge fund returns. Atlantic Economic Journal, 48(1), 99-113.
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Knif, J., Kolari, J. W., Koutmos, G., & Pynnönen, S. (2019). Measuring the relative return contribution of risk factors. Journal of Asset Management, 20, 263-272.
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Knif, J., Koutmos, D., & Koutmos, G. (2019). Modeling the risk dynamics of hedge funds. Journal of Finance and Investment Analysis, 8(1).
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Högholm, K., Knif, J., Koutmos, G., & Pynnönen, S. (2017). Asymmetric fund performance characteristics a comparison of European and US large-cap funds. Multinational finance journal, 21(1), 1-20.
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Koutmos, G. (2015). Covariance Specification Tests for Multivariate GARCH Models. Quantitative Financial Risk Management: Theory and Practice, 364-371.
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Koutmos, G. (2014). Positive feedback trading: A review. Review of Behavioral Finance, 6(2), 155-162.
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Antoniou, A., & Koutmos, G. (2014). The Cost of Credit and Positive Feedback Trading: Title Evidence from the UK Stock Market. Journal of Applied Finance and Banking, 4(2), 21.
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Högholm, K., Knif, J., & Koutmos, G. (2014). Asymmetric dynamic linkages between returns on banks and other industry portfolio returns. Contributions to Mathematics, Statistics, Econometrics, and Finance, Essays in the Honour of Professor Seppo Pynnönen, 209-230.
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Koutmos, G. (2012). Modeling interest rate volatility: an extended EGARCH approach. Managerial Finance, 38(6), 628-635.
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Högholm, K., Knif, J., Koutmos, G., & Pynnönen, S. (2011). Distributional asymmetry of loadings on market co-moments. Journal of International Financial Markets, Institutions and Money, 21(5), 851-866.
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Antoniou, A., Koutmos, G., & Pescetto, G. (2011). Testing for long memory in the feedback mechanism in the futures markets. Review of Behavioural Finance, 3(2), 78-90.
Profile Details
https://www.fairfield.edu/faculty-and-staff/profile/?username=gkoutmos
https://en.wikipedia.org/wiki/Gregory_Koutmos
https://scholar.google.com/citations?user=VLC9-vgAAAAJ&hl=en&oi=ao
https://www.researchgate.net/profile/Gregory-Koutmos