Employee Profile

Costas Xiouros

Associate Professor - Department of Finance

Room number B4Y-081
Phone +4746410840
E-mail costas.xiouros@bi.no

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

Scientific publications Other

Xiouros, Costas & Zapatero, Fernando (2024)

Disagreement, information quality and asset prices

Journal of Financial Economics, 153 Doi: 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.

Xiouros, Costas & Zapatero, Fernando (2023)

Disagreement, information quality and asset prices

Social Science Research Network (SSRN) Doi: 10.2139/ssrn.3489502

Ehling, Paul & Xiouros, Costas (2023)

Cyclical β

Social Science Research Network (SSRN) Doi: 10.2139/ssrn.4558796

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

Risk Aversion Sensitive Real Business Cycles

Management science Doi: 10.1287/mnsc.2019.3561

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

Risk Aversion Sensitive Real Business Cycles

Management science Doi: 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: 10.2139/ssrn.2833783

Xiouros, Costas (2016)

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

Michaelides, Alexander & Orphanides, Athanasios (red.). The Cyprus Bail-in. Policy Lessons from the Cyprus Economic Crisis

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: 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

[Academic lecture]. Asset Pricing with Heterogeneous Investors in Overlapping Generations.

Xiouros, Costas & Ehling, Paul (2021)

Dissecting beta

[Academic lecture]. Computational and Financial Econometrics (CFE 2021).

Xiouros, Costas & Zapatero, Fernando (2021)

Disagreement, Information Quality, and Asset Prices

[Academic lecture]. 10th ITAM Finance Conference.

Xiouros, Costas & Zapatero, Fernando (2021)

Disagreement, Information Quality, and Asset Prices

[Academic lecture]. AEA 2021.

Xiouros, Costas & Zapatero, Fernando (2020)

Disagreement, Information Quality, and Asset Prices

[Academic lecture]. Stanford Institute for Theoretical Economics 2021.

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

Risk Aversion Sensitive Real Business Cycles

[Report]. BI Center of Asset Pricing Research.

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

Risk Aversion Sensitive Real Business Cycles

[Academic lecture]. World Finance Conference.

Xiouros, Costas (2013)

Disagrement, habit and the relation between volume and returns

[Academic lecture]. CIIM/UCY.

Xiouros, Costas (2012)

Disagreement, Habit and the Relation Between Volume and Prices

[Academic lecture]. Tel Aviv University.

Xiouros, Costas (2009)

Heterogeneous Beliefs and Time Variation in the Level of Prices

[Report]. Handelshøyskolen BI.

Xiouros, Costas (2008)

Heterogeneous Agents and Asset Prices in Complete Markets

[Academic lecture]. CARESS-Cowles Conference on General Equilibrium and Its Applications.

Xiouros, Costas & Zapatero, Fernando (2007)

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

[Academic lecture]. Duke/UNC Asset Pricing Conference.

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