Dr Konstantina Kappou

'Dr Konstantina Kappou

Dr Konstantina Kappou

  • Associate Professor of Finance
  • Programme Director, MSc Financial Risk Management
  • Senior Tutor, Undergraduate and Postgraduate Programme
  • Regional Director, UK, London Chapter, Global Association of Risk Professionals (GARP)

Contact details

Profile & Expertise

Nadia is an Associate Professor of Finance at the ICMA Centre, the Programme Director of MSc Financial Risk Management and the Senior tutor of Undergraduate and Postgraduate Programmes. She is also the Regional Director of the UK London Chapter of GARP (Global Association of Risk Professionals). Before joining the academic sector, she worked within the financial markets for over seven years.

Nadia worked as an equity derivatives flow trader for Credit Suisse in New York and London, where she covered the financial sector of all main European option markets as well as the desk’s equity correlation and dispersion exposure. During the commodity boom, she joined the Energy Derivatives Sales & Trading Desk of Credit Suisse-Glencore Alliance, covering major hedge fund accounts on energy derivative products. Following her career in banking, she led projects in the shipping industry and worked as a sessional lecturer, teaching equity, commodity and shipping derivatives to City executives and masters students.

Nadia holds a PhD in Finance and an MSc in International Securities Investment & Banking from the ICMA Centre – University of Reading, and a BSc in Banking & Financial Management from the University of Piraeus, Greece. She is a Fellow of the Higher Education Academy (HEA) and her research interests focus on index re-balancing strategies, ETFs, as well as commodity and shipping derivatives. Her research has been published in various academic journals including the Journal of Banking and Finance, Journal of Business Ethics, Transportation Research Part E and International Review of Financial Analysis, amongst others.

Specialisms

  • Exchange Traded Funds
  • Equity Derivatives
  • Commodity Derivatives

Key publications, books, research & papers

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Article

Fundamental indexation revisited: new evidence on alpha

Brooks, C. , Balatti, M. and Kappou, K. (2017) Fundamental indexation revisited: new evidence on alpha. International Review of Financial Analysis, 51. pp. 1-15. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2017.02.010

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This study proposes indexing strategies representative of the equity market and based on readily available accounting information. In contrast to the previous literature, we discard balance sheet variables and instead develop two indices that revolve solely around income statement and dividend measures. We find that these indices outperformed the FTSE 100 by 3% on an annual basis over the last 25 years, whilst delivering similar or lower volatility. The constructed indices overlap by 90% with the FTSE 100, in terms of their total market capitalisation and constituent members. They have positive and significant alphas in 3- and 4-factor performance attribution models, showing that the performance cannot be explained by value, size, market beta or momentum tilts alone.

Professor Chris Brooks

Professor Chris Brooks

Henley Business School Director of Research, Deputy Head of Department

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Dr Konstantina Kappou

Dr Konstantina Kappou

Programme Director, MSc Financial Risk Management, Senior Tutor, Undergraduate and Postgraduate Programme, Regional Director, UK, London Chapter, Global Association of Risk Professionals (GARP)

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Article

Is there a gold social seal? The financial effects of additions to and deletions from social stock indices

Kappou, K. and Oikonomou, I. (2016) Is there a gold social seal? The financial effects of additions to and deletions from social stock indices. Journal of Business Ethics, 133 (3). pp. 533-552. ISSN 1573-0697 doi: https://doi.org/10.1007/s10551-014-2409-z

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This study investigates the financial effects of additions to and deletions from the most well-known social stock index: the MSCI KLD 400. Our study makes use of the unique setting that index reconstitution provides and allows us to bypass possible issues of endogeneity that commonly plague empirical studies of the link between corporate social and financial performance. By examining not only short-term returns but also trading activity, earnings per share, and long-term performance of stocks that are involved in these events, we bring forward evidence of a ‘social index effect’ where unethical transgressions are penalized more heavily than responsibility is rewarded. We find that the addition of a stock to the index does not lead to material changes in its market price, whereas deletions are accompanied by negative cumulative abnormal returns. Trading volumes for deleted stocks are significantly increased on the event date, while the operational performances of the respective firms deteriorate after their deletion from the social index.

Dr Konstantina Kappou

Dr Konstantina Kappou

Programme Director, MSc Financial Risk Management, Senior Tutor, Undergraduate and Postgraduate Programme, Regional Director, UK, London Chapter, Global Association of Risk Professionals (GARP)

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Dr Ioannis Oikonomou

Dr Ioannis Oikonomou

Programme Area Director of Undergraduate degrees in Finance, Director MSc in Behavioural Finance

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Article

Liquidity effects and FFA returns in the international shipping derivatives market

Alizadeh, A. H., Kappou, K. , Tsouknidis, D. and Visvikis, I. (2015) Liquidity effects and FFA returns in the international shipping derivatives market. Transportation Research Part E: Logistics and Transportation Review, 76. pp. 58-75. ISSN 1366-5545 doi: https://doi.org/10.1016/j.tre.2015.02.001

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The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid–ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in determining freight derivatives returns. Consistent with expectations, both liquidity measures are found to have positive and significant effects on the returns of freight derivatives. The results have important implications for modeling freight derivatives, and consequently, for trading and risk management purposes.

Dr Konstantina Kappou

Dr Konstantina Kappou

Programme Director, MSc Financial Risk Management, Senior Tutor, Undergraduate and Postgraduate Programme, Regional Director, UK, London Chapter, Global Association of Risk Professionals (GARP)

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Article

The performance effects of composition changes on sector specific stock indices: The case of European listed real estate

Brooks, C. , Kappou, K. , Stevenson, S. and Ward, C. (2013) The performance effects of composition changes on sector specific stock indices: The case of European listed real estate. International Review of Financial Analysis, 29. pp. 132-142. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.04.002

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This paper examines the impact of changes in the composition of real estate stock indices, considering companies both joining and leaving the indices. Stocks that are newly included not only see a short-term increase in their share price, but trading volumes increase in a permanent fashion following the event. This highlights the importance of indices in not only a benchmarking context but also in enhancing investor awareness and aiding liquidity. By contrast, as anticipated, the share prices of firms removed from indices fall around the time of the index change. The fact that the changes in share prices, either upwards for index inclusions or downwards for deletions, are generally not reversed, would indicate that the movements are not purely due to price pressure, but rather are more consistent with the information content hypothesis. There is no evidence, however, that index changes significantly affect the volatility of price changes or their operating performances as measured by their earnings per share.

Professor Chris Brooks

Professor Chris Brooks

Henley Business School Director of Research, Deputy Head of Department

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Dr Konstantina Kappou

Dr Konstantina Kappou

Programme Director, MSc Financial Risk Management, Senior Tutor, Undergraduate and Postgraduate Programme, Regional Director, UK, London Chapter, Global Association of Risk Professionals (GARP)

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Professor Charles Ward

Professor Charles Ward

Programme Director: MSc Finance and Real Estate

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Article

The S&P500 index effect reconsidered: evidence from overnight and intraday stock price performance and volume

Kappou, K. , Brooks, C. and Ward, C. (2010) The S&P500 index effect reconsidered: evidence from overnight and intraday stock price performance and volume. Journal of Banking & Finance, 34 (1). pp. 116-126. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2009.07.008

Dr Konstantina Kappou

Dr Konstantina Kappou

Programme Director, MSc Financial Risk Management, Senior Tutor, Undergraduate and Postgraduate Programme, Regional Director, UK, London Chapter, Global Association of Risk Professionals (GARP)

View profile
Professor Chris Brooks

Professor Chris Brooks

Henley Business School Director of Research, Deputy Head of Department

View profile
Professor Charles Ward

Professor Charles Ward

Programme Director: MSc Finance and Real Estate

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Article

A re-examination of the index effect: gambling on additions to and deletions from the S&P 500's ‘gold seal’

Kappou, K. , Brooks, C. and Ward, C. (2008) A re-examination of the index effect: gambling on additions to and deletions from the S&P 500's ‘gold seal’. Research in International Business and Finance, 22 (3). pp. 325-350. ISSN 0275-5319 doi: https://doi.org/10.1016/j.ribaf.2007.12.001

Dr Konstantina Kappou

Dr Konstantina Kappou

Programme Director, MSc Financial Risk Management, Senior Tutor, Undergraduate and Postgraduate Programme, Regional Director, UK, London Chapter, Global Association of Risk Professionals (GARP)

View profile
Professor Chris Brooks

Professor Chris Brooks

Henley Business School Director of Research, Deputy Head of Department

View profile
Professor Charles Ward

Professor Charles Ward

Programme Director: MSc Finance and Real Estate

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Events

Our faculty regularly attend a wide range of events across the globe to share their research and expertise, as well as meeting new students. Use the map below to find past and upcoming events in your region.

Taught modules

Commodity Derivatives

This module aims to provide students with a detailed knowledge of the commodity derivatives markets. It examines the aspects of pricing and trading physical derivatives, with emphasis on the energy and shipping (freight) sectors. The course is designed using real-life trading examples, stimulating…

This module aims to provide students with a detailed knowledge of the commodity derivatives markets. It examines the aspects of pricing and trading physical derivatives, with emphasis on the energy and shipping (freight) sectors. The course is designed using real-life trading examples, stimulating…

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Essentials of Financial Engineering

The module provides an introduction to the basic techniques employed in Financial Engineering. Students will understand how these methods can be applied to design securities with desired payoff characteristics. They will be able to evaluate complex security structures by means of reverse engineering…

The module provides an introduction to the basic techniques employed in Financial Engineering. Students will understand how these methods can be applied to design securities with desired payoff characteristics. They will be able to evaluate complex security structures by means of reverse engineering…

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Financial Instruments

Having established the theoretical basis for security valuation in Part I, this module extends students’ understanding to the valuation of financial instruments and their applications. The module has a significant practical component with seminars that are designed to support the lecture material.…

Having established the theoretical basis for security valuation in Part I, this module extends students’ understanding to the valuation of financial instruments and their applications. The module has a significant practical component with seminars that are designed to support the lecture material.…

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