N
Nikolaos Tessaromatis
Researcher at EDHEC Business School
Publications - 28
Citations - 456
Nikolaos Tessaromatis is an academic researcher from EDHEC Business School. The author has contributed to research in topics: Portfolio & Systematic risk. The author has an hindex of 12, co-authored 28 publications receiving 417 citations. Previous affiliations of Nikolaos Tessaromatis include ALBA Graduate Business School.
Papers
More filters
Journal ArticleDOI
Revisiting Mutual Fund Performance Evaluation
Timotheos Angelidis,Daniel Giamouridis,Daniel Giamouridis,Daniel Giamouridis,Nikolaos Tessaromatis +4 more
TL;DR: Current studies of mutual fund manager excess performance are likely to be misstating skill because they ignore the managers’ self-reported benchmark in the performance evaluation process, according to a new factor exposure based approach.
Posted Content
Revisiting Mutual Fund Performance Evaluation
Timotheos Angelidis,Daniel Giamouridis,Daniel Giamouridis,Daniel Giamouridis,Nikolaos Tessaromatis +4 more
TL;DR: Current studies are likely to be misstating skill because they ignore the managers’ self-reported benchmark in the performance evaluation process, which results in different measurement of stock selection and timing components of excess performance.
Journal ArticleDOI
Stock market dispersion, the business cycle and expected factor returns
TL;DR: The authors provided evidence using data from the G7 countries suggesting that return dispersion may serve as an economic state variable in that it reliably predicts time-variation in economic activity, market returns, the value and momentum premia and market volatility.
Journal ArticleDOI
Idiosyncratic volatility and equity returns: UK evidence ☆
TL;DR: In this paper, the authors examined the predictive ability of various measures of idiosyncratic risk and provided evidence which suggests that it is the idiosyncratic volatility of small capitalization stocks that matters for asset pricing.
Journal ArticleDOI
Idiosyncratic risk matters! A regime switching approach
TL;DR: In this article, a more flexible econometric approach based on Hamilton, JD 1989 was used to analyze the relationship between idiosyncratic risk and future stock returns. But the evidence on the inter-temporal relation between risk and stock returns is conflicting and confusing.