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Dr Paskalis Glabadanidis

Telephone +61 8 8313 7283
Position Senior Lecturer
Email paskalis.glabadanidis@adelaide.edu.au
Fax +61 8 8223 4782
Building Nexus 10 Tower
Floor/Room 12 31
Campus North Terrace
Org Unit Business School Office

To link to this page, please use the following URL:
http://www.adelaide.edu.au/directory/paskalis.glabadanidis

Qualifications

BA, 1996, American University in Bulgaria.

MSBA, 2000, Washington University in St. Louis.

PhD, 2003, Washington University in St. Louis.

Teaching Interests

Business valuation, portfolio management and investments, international finance.

Research Interests

Time-varying betas, volatilities, and expected returns in the context of empirical asset pricing models.

Publications

John T. Scruggs and Paskalis Glabadanidis, "Risk Premia and the Dynamic Covariance Between Stock and Bond Returns," 2003, Journal of Financial and Quantitative Analysis 38 (June), pp. 295-316.

Paskalis Glabadanidis, "Measuring the Economic Significance of Mean-Variance Spanning," 2009, Quarterly Review of Economics and Finance 49 (May), pp. 596-616.

Paskalis Glabadanidis, "A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk," 2009, Journal of Financial Econometrics 7, No. 3, (Summer), pp. 247-264.

Paskalis Glabadanidis, "The Performance of Value and Growth Portfolios in Australia: Implications for Asset Management," 2010, JASSA The FINSIA Journal of Applied Finance 3, pp. 12-17.

Paskalis Glabadanidis, Ivan Obaydin and Ralf Zurbruegg, "RAFI Replication: Easier Done than Said?'' 2012, Journal of Asset Management 13, No. 3, pp. 210--225.

Paskalis Glabadanidis and Leon Zolotoy, "Benchmark Replication Portfolio Strategies," 2013, Journal of Asset Management 14, No. 2, pp. 95-110.

M. R. Tavakoli Baghdadabad and Leon Zolotoy, "Evaluation of Malaysian Mutual Funds in the Maximum Drawdown Risk Measure Framework," 2013, Iternational Journal of Managerial Finance 9, Iss. 3, pp. 247-270.

M. R. Tavakoli Baghdadabad and Paskalis Glabadanidis, "An Extensile Method on the Arbitrage Pricing Theory Based on Downside Risk (D-APT)," 2013, International Journal of Managerial Finance, forthcoming.

M. R. Tavakoli Baghdadabad and Paskalis Glabadanidis, "Average Drawdown Risk and Capital Asset Pricing," 2013, Review of Pacific Basin Financial Markets and Policies 16, Iss. 4, 1-21.

M. R. Tavakoli Baghdadabad and Paskalis Glabadanidis, "An Extensile Method on the Arbitrage Pricing Theory Based on Downside Risk (D-APT),'' 2014, International Journal of Managerial Finance 10, Iss. 1, 54-72.

Paskalis Glabadanidis, "The Market Timing Power of Moving Averages: Evidence from US REITs and REIT Indexes,'' 2014, International Review of Finance 14, Iss. 2, 161-202. (lead article)

Paskalis Glabadanidis, "Tangent Portfolio Weights Without Explicitly Specified Expected Returns,'' 2014, Journal of Asset Management 15, Iss. 3, 177-190.

Paskalis Glabadanidis, "What Difference Fat Tails Make: A Bayesian MCMC Estimation of Empirical Asset Pricing Models,'' in Bayesian Inference in the Social Sciences, edited by Ivan Jeliazkov and Xin-She Yang, John Wiley & Sons, published in October, 2014.

Paskalis Glabadanidis, "Absence of Arbitrage Valuation: A Unified Framework for Pricing Assets and Securities,'' published by Palgrave Macmillan USA, July, 2014.

Paskalis Glabadanidis, "Market Timing and Moving Averages: An Empirical Analysis of Performance in Asset Allocation,'' published by Palgrave Macmillan USA, July, 2015.

Link to FEN papers/citations: http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=276136.

Link to Google Scholar papers/citations: http://scholar.google.com.au/citations?user=ZCW-AF8AAAAJ&hl=en.

Professional Associations

American Finance Association, Society for Financial Studies.

Professional Interests

Consulting for mutual funds and hedge funds on various issues related to stock picking and asset allocation as well as pricing of hybrid and complex securities.

Files

Entry last updated: Tuesday, 7 Jun 2016

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