Professor Lenos Trigeorgis' Outputs (3)

Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail (2019)
Journal Article
Driouchi, T., So, R. H., & Trigeorgis, L. (2020). Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail. Journal of Corporate Finance, 62, Article 101549. https://doi.org/10.1016/j.jcorpfin.2019.101549

This paper examines the relationship between investors' ambiguity in the financial options market and systemic banks' risk. Eliciting ambiguity information from option pricing data on the twelve major U.S. banks between 2003 and 2010, we show that hi... Read More about Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail.

Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility (2019)
Journal Article
Bali, T. G., Del Viva, L., Lambertides, N., & Trigeorgis, L. (2020). Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility. Journal of Financial and Quantitative Analysis, 55(7), 2150-2180. https://doi.org/10.1017/s0022109019000619

We provide new evidence on the economic role of growth options behind the profitability, distress, lotteryness, and volatility anomalies. We use idiosyncratic skewness to measure growth options and estimate expected idiosyncratic skewness capturing i... Read More about Growth Options and Related Stock Market Anomalies: Profitability, Distress, Lotteryness, and Volatility.

Disruptive Innovation, Market Entry and Production Flexibility in Heterogeneous Oligopoly (2019)
Journal Article
Chevalier-Roignant, B., Flath, C. M., & Trigeorgis, L. (2019). Disruptive Innovation, Market Entry and Production Flexibility in Heterogeneous Oligopoly. Production and Operations Management, 28(7), https://doi.org/10.1111/poms.12995

We develop a model of oligopoly competition involving innovation effort, market entry and production flexibility under demand uncertainty. Several heterogeneous firms make efforts to develop new prototypes; if they succeed, they hold a shared option... Read More about Disruptive Innovation, Market Entry and Production Flexibility in Heterogeneous Oligopoly.