Dr Konstantina Kappou
Dr Konstantina Kappou
- Associate Professor of Finance
- Programme Director, MSc Financial Risk Management
- Regional Director, UK, London Chapter, Global Association of Risk Professionals (GARP)
Profile & Expertise
Nadia is an Associate Professor of Finance at the ICMA Centre and the Programme Director of MSc Financial Risk Management. 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.
- Exchange Traded Funds
- Equity Derivatives
- Commodity Derivatives
Key publications, books, research & papers
Filter by year
Currently filtering by:
The diminished effect of index rebalances
The author revisits the strategy of trading S&P 500 index re-compositions under the pre- and post-crisis financial environments, proving that the return structure has significantly changed. The results show for the first time, that there are currently no tradable abnormal returns between announcement and event dates in the post-crisis sample period, indicating smoother rebalancing mechanisms by bank’s client facing desks and better services for passive end-investors. The newly added firms inflate the S&P 500 index by less than 10 basis points per year. The results could be attributed to improved execution algorithms used by the banks, and potentially to the new regulatory reforms in the sector, which prevents financial institutions from taking large trading positions with their balance sheets.
Fundamental indexation revisited: new evidence on alpha
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.
Is there a gold social seal? The financial effects of additions to and deletions from social stock indices
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.
Liquidity effects and FFA returns in the international shipping derivatives market
Alizadeh, A. H., Kappou, K.
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.
The performance effects of composition changes on sector specific stock indices: The case of European listed real estate
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.
The S&P500 index effect reconsidered: evidence from overnight and intraday stock price performance and volume
A re-examination of the index effect: gambling on additions to and deletions from the S&P 500's ‘gold seal’