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Efstathios Avdis

Assistant Professor

Alberta School of Business

Finance and Statistical Analysis

About Me

Welcome to my page. My full name is Efstathios, but I usually go by my nickname, Stathi. I am an assistant professor of finance at the Alberta School of Business, which I joined after graduating from the Wharton School in 2012. My research focuses on information asymmetry, market inefficiencies, and financial time-series econometrics. Under the navigation tab "Home" you will find a brief overview of my research. To see more details, including abstracts, please explore the other two tabs.


Research

Publications

Maximum Likelihood Estimation of the Equity Premium, with J. Wachter, 2017, Journal of Financial Economics

Information Tradeoffs in Dynamic Financial Markets, 2016, Journal of Financial Economics 

Power Algorithms for Inverting Laplace Transforms, with W. Whitt, 2007, INFORMS Journal on Computing


Working papers and work in progress

Risk seekers: trade, noise, and the rationalizing effect of market impact on convex preferences

Rational-expectations Whiplash, with Masahiro Watanabe (Alberta)

Clear and liquid: The interaction of firm disclosure and trader competition, with Sanjay Banerjee (Alberta)

Trading in Large Markets

A Rumour-based Approach to Price Noise

Associative Expectations in Financial Markets


Research Interests

  • Information in financial markets
  • Financial time-series econometrics
  • Dynamic incentives

Teaching

  • Investments (undergraduate)
  • Financial economics (PhD)