1 of 3  Aretz, K., Florackis, C., and Kostakis, A. (2017) Do Stock Returns Really Decrease with Default Risk? New International Evidence. Management Science, forthcoming.


This study constructs a novel dataset of bankruptcy filings for a large sample of non-US firms in 14 developed markets and sheds new light on the cross-sectional relation between default risk and stock returns. Using the reduced-form approach of Campbell et al. (2008) to estimate default probabilities, we offer conclusive evidence supporting the existence of a significant positive default risk premium in international markets. This finding is robust to different portfolio weighting schemes, data filters, risk-adjusting approaches and holding period definitions. Decomposing the default risk measure into its systematic and idiosyncratic components, we find that the former drives this positive relation. We also show that the default risk premium is more pronounced in countries where creditor protection is stronger and shareholder bargaining power is lower. 

2 of 3  Ellington, M., Florackis C. and K. Milas (2017) Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time–varying Parameter VAR. Journal of International Money and Finance, forthcoming.


We examine the dynamic impact of liquidity shocks resonating in stock and housing markets on real GDP growth. We fit a Bayesian time-varying parameter VAR model with stochastic volatility to US data from 1970 to 2014. GDP becomes highly sensitive to house market liquidity shocks as disruptions in the sector start to emerge, yet more resilient to stock market liquidity shocks throughout time. We provide substantial evidence in favour of asymmetric responses of GDP growth both across the business cycle, and among business cycle troughs. Stock and house market liquidity shocks explain, on average, 17% and 35% of the variation in GDP during the Great Recession, respectively.


3 of 3 Aguilera, R., Florackis, C., & Kim, H. (2016). Advancing the Corporate Governance Research Agenda. Corporate Governance: An International Review, Vol. 24(3), pp. 172-180


This article is the incoming editorial to the special issue "Review of Corporate Governance", which was published in 2016 in "Corporate Governance: An International Review". The Guest Editors summarize the articles published in the special issue and introduce several new research directions and issues to consider.