Prof. Andros Gregoriou
Brighton Business School, The University of Brighton, Brighton BN2 4AT, UK
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Academic Career Length
17Years (2010-Present)
(Calculated once Scilit publication data is synced: current year − year of first publication + 1)
Representative Publications
View All Publications13 July 2020 in Journal of Economic Surveys
Journal Article
HLHuong Le
Huong Le
Andros GregoriouResearchers have various ways to measure liquidity but most of them come with both merits and demerits. This study provides a literature review of low‐frequency liquidity measures with a primary focus on liquidity measurement as well as its implication on asset pricing. Based on the dimension it captures, a range of existing low‐frequency measures are divided into four categories of liquidity proxies including transaction cost, volume, price impact, and multidimension‐based measures. We review some well‐established liquidity proxies, a new bid–ask spread estimator and price impact ratios proposed recently. Finally, we discuss how good low‐frequency liquidity measures are at capturing standard liquidity benchmarks, which are constructed from high‐frequency intraday data.
Journal Article
ADAthanasia Miss Dimitriadou
Athanasia Miss DimitriadouAndros GregoriouIn this paper we predict Bitcoin movements by utilizing a machine-learning framework. We compile a dataset of 24 potential explanatory variables that are often employed in the finance literature. Using daily data from 2nd of December 2014 to July 8th 2019, we build forecasting models that utilize past Bitcoin values, other cryptocurrencies, exchange rates and other macroeconomic variables. Our empirical results suggest that the traditional logistic regression model outperforms the linear support vector machine and the random forest algorithm, reaching an accuracy of 66%. Moreover, based on the results, we provide evidence that points to the rejection of weak form efficiency in the Bitcoin market.
27 September 2018 in Applied Economics Letters
Journal Article
Andros GregoriouWe demonstrate that investors obtain abnormal returns by trading cryptocurrencies daily on the London Stock Exchange from 2014–2017. Excess returns persist once we account for systematic risk, size, value, momentum, profitability and investment. Investor abnormal returns in cryptocurrencies implies inefficiency.
1 August 2019 in Journal of Business Research
Journal Article
10 January 2020 in Applied Economics Letters
Journal Article
SZSijia Zhang
Sijia Zhang
Andros GregoriouIn this article, we empirically examine the cryptocurrency market reaction to china prohibiting initial coin offerings, on the 4 September 2007 for the 100 largest cryptocurrencies. The announcement has a significant negative but temporary impact on cryptocurrency returns and liquidity.
27 April 2023 in The European Journal of Finance
Journal Article
HLHuong Le
Huong Le
TNTung Nguyen
Tung Nguyen
Andros GregoriouJHJerome Healy
Jerome Healy
We examine how natural disasters affect corporate innovation. Using a comprehensive sample of U.S. firms and inventors, we find that natural disasters significantly drop innovation quantity and quality. The results are robust to include a broad set of regional characteristics, matching analysis, and alternative proxies for innovation. These effects persist for up to three years after the disaster. We also provide suggestive evidence that financial constraints due to natural disasters give firms less incentive to innovate. Further analysis shows that natural disasters have impacts on inventor relocation, innovation productivity, and innovation risk.
About Me
I am a world leading researcher in the field of stock market liquidity. I am particularly interested in developing new measures of liquidity, how liquidity reacts to news, carbon markets and the liquidity of zero leverage firms. More recently, my research has also included liquidity of SMEs and cryptocurrencies. My future research plans are in the areas of liquidity and the coronavirus and on the association between liquidity and asset pricing.
Scholarly biography
I joined Brighton Business School in 2014 as a Professor of Finance. I have held senior academic positions at various universities including the University of Hull, Brunel University and the University of East Anglia. A world leading authority in finance, I have published extensively in leading finance journals, have generated a vast mount of research income and supervised numerous PhD students to completion.