Employee Profile

Costas Xiouros

Associate Professor

Department of Finance

Image of Costas Xiouros

Biography

Personal homepage
The core of my research interests is in the area of asset pricing. Specifically, I investigate what determines the expected returns of assets and what drives asset price fluctuations. I mostly work with theoretical models of general equilibrium, with and without production, and in several of my investigations I examine the impact of investor heterogeneity on asset prices as well as trading.

Area of Expertise

Publications

Xiouros, Costas & Zapatero, Fernando (2024)

Disagreement, information quality and asset prices

Journal of Financial Economics, 153 Doi: https://doi.org/10.1016/j.jfineco.2023.103774

We present an analytical solution for a pure exchange economy featuring a continuum of agents with disagreement, time-varying information quality, and reference-dependent preferences. Our general equilibrium model exhibits stationary dynamics. By examining the implications of the model, we find that the commonly studied asset pricing channels of disagreement have limited quantitative significance. On the other hand, variations in information quality, which affect disagreement levels, lead to substantial excess stock price volatility. This finding contributes significantly to explaining the equity premium and sheds light on empirical relationships between forecast dispersion and asset prices, the upward sloping real yield curve, and long-term yield movements.

Ehling, Paul & Xiouros, Costas (2023)

Cyclical β

Social Science Research Network (SSRN), Doi: https://doi.org/10.2139/ssrn.4558796

Xiouros, Costas & Zapatero, Fernando (2023)

Disagreement, information quality and asset prices

Social Science Research Network (SSRN), Doi: https://doi.org/10.2139/ssrn.3489502

Zhanhui, Chen; Ehling, Paul & Xiouros, Costas (2020)

Risk Aversion Sensitive Real Business Cycles

Management science, Doi: https://doi.org/10.1287/mnsc.2019.3561

Zhanhui, Chen; Cooper, Ilan, Ehling, Paul & Xiouros, Costas (2020)

Risk Aversion Sensitive Real Business Cycles

Management science, 67(4) Doi: https://doi.org/10.1287/mnsc.2019.3561 - Full text in research archive

Technology choice allows for substitution of production across states of nature and depends on state-dependent risk aversion. In equilibrium, endogenous technology choice can counter a persistent negative productivity shock with an increase in investment. An increase in risk aversion intensifies transformation across states, which directly leads to higher investment volatility. In our model and the data, the conditional volatility of investment correlates negatively with the price-dividend ratio and predicts excess stock market returns. In addition, the same mechanism generates predictability of consumption growth and produces fluctuations in the risk-free rate

Xiouros, Costas (2017)

Trading and Asset Prices

Social Science Research Network (SSRN), Doi: https://doi.org/10.2139/ssrn.2833783

Xiouros, Costas (2016)

Handling of the Laiki Bank ELA and the Cyprus Bail-In Package

The Cyprus Bail-in. Policy Lessons from the Cyprus Economic Crisis, , s. 33-102. Doi: https://doi.org/10.1142/9781783268764_0003

Xiouros, Costas & Zapatero, Fernando (2010)

The Representative Agent of an Economy with External Habit Formation and Heterogeneous Risk Aversion

The Review of financial studies, 23(8) , s. 3017-3047. Doi: https://doi.org/10.1093/rfs/hhq029

Saunders, David; Xiouros, Costas & Zenios, Stavros (2007)

Credit Risk Optimization Using Factor Models

Annals of Operations Research, 152(1) , s. 49-77.

Nerouppos, Marios; Saunders, David, Xiouros, Costas & Zenios, Stavros (2006)

Risk Management in Emerging Markets: Practical Methodologies and Empirical Tests.

Multinational Finance Journal, 10(3) , s. 179-221.

Xiouros, Costas (2024)

Disagreement and the Cross-Section of Expected Returns

[Conference Lecture]. Event

Xiouros, Costas & Zapatero, Fernando (2021)

Disagreement, Information Quality, and Asset Prices

[Conference Lecture]. Event

Xiouros, Costas & Ehling, Paul (2021)

Dissecting beta

[Conference Lecture]. Event

Xiouros, Costas & Zapatero, Fernando (2021)

Disagreement, Information Quality, and Asset Prices

[Conference Lecture]. Event

Xiouros, Costas & Zapatero, Fernando (2020)

Disagreement, Information Quality, and Asset Prices

[Conference Lecture]. Event

Xiouros, Costas; Ehling, Paul, Cooper, Ilan & Zhanhui, Chen (2019)

Risk Aversion Sensitive Real Business Cycles

[Report Research]. BI Center of Asset Pricing Research

Xiouros, Costas; Ehling, Paul, Cooper, Ilan & Zhanhui, Chen (2013)

Risk Aversion Sensitive Real Business Cycles

[Conference Lecture]. Event

Xiouros, Costas (2013)

Disagrement, habit and the relation between volume and returns

[Conference Lecture]. Event

Xiouros, Costas (2012)

Disagreement, Habit and the Relation Between Volume and Prices

[Conference Lecture]. Event

Xiouros, Costas (2009)

Heterogeneous Beliefs and Time Variation in the Level of Prices

[Report Research]. Handelshøyskolen BI

Xiouros, Costas (2008)

Heterogeneous Agents and Asset Prices in Complete Markets

[Conference Lecture]. Event

Xiouros, Costas & Zapatero, Fernando (2007)

The Representative Agent of an Economy with External Habit-Formation and Heterogeneous Risk-Aversion

[Conference Lecture]. Event

Academic Degrees
Year Academic Department Degree
2009 University of Southern California Ph.D.
2001 University of Warwick Master of Science
2000 University of Warwick Bachelor
Work Experience
Year Employer Job Title
2010 - Present BI Norwegian Business School Associate Professor
2011 - 2013 University of Cyprus Lecturer
2009 - 2010 BI Norwegian Business School Visiting Professor
2002 - 2003 Hermes European Center of Excellence in Computational Finance Research Assistant
2001 - 2002 Risklab Cyprus Research Associate