Dimitris Papanikolaou
Dimitris Papanikolaou

Associate Professor of Finance

Print Overview

Professor Papanikolaou joined the faculty at the Kellogg School of Management in 2007, after completing his Ph.D. in Finance at the MIT Sloan School of Management. His research interests include theoretical and empirical asset pricing, macroeconomics and contract theory. Professor Papanikolaou is currently working on the effects of technological shocks on the cross-section of risk-premia and firms' investment decisions. Professor Papanikolaou is a Zell Center Faculty Fellow. Trained in finance and economics, he also holds a B.A. from University of Piraeus (Greece), and an M.Sc. from the London School of Economics (UK).

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Print Vita
PhD, 2007, Financial Economics, Massachusetts Institute of Technology
MS, 2001, Finance, Economics, London School of Economics
BA, 2000, Economics, Finance, University of Piraeus

Academic Positions
Assistant Professor of Finance, Kellogg School of Management, Northwestern University, 2007-present

Honors and Awards
Amundi Smith Breeden Prize, American Finance Association, 2014
Amundi Smith Breeden Prize, American Finance Association, 2013
Crowell Memorial Prize, Panagora Asset Management
Roger F. Murray Prize (second place), The Q Group, 2011

Editorial Positions
Associate Editor, Management Science, 2014

Print Research
Research Interests
Asset pricing, macroeconomics

Papanikolaou, Dimitris and Leonid Kogan. 2010. Growth Opportunities and Technology Shocks. American Economic Review, Papers and Proceedings. 100(2)
Papanikolaou, Dimitris. 2011. Investment Shocks and Asset Prices. Journal of Political Economy. 119(4): 639-685.
Papanikolaou, Dimitris and Leonid Kogan. 2012. Economic Activity of Firms and Asset Prices. Annual Review of Financial Economics. 4
Panousi, Vasia and Dimitris Papanikolaou. 2012. Investment, Idiocyncratic Risk, and Ownership. Journal of Finance. 67(3): 1113-1148.
Kogan, Leonid and Dimitris Papanikolaou. 2013. Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks. Review of Financial Studies. 26(11)
Eisfeldt, Andrea and Dimitris Papanikolaou. 2013. Organization Capital and the Cross-Section of Expected Returns. Journal of Finance. 68(4): 1365-1406.
Ang, Andrew, Dimitris Papanikolaou and Mark Westerfield. 2014. Portfolio Choice with Illiquid Assets. Management Science. 60(11)
Papanikolaou, Dimitris and Andrea Eisfeldt. 2014. The Value and Ownership of Intangible Capital. American Economic Review, Papers & Proceedings. 104(5)
Kogan, Leonid and Dimitris Papanikolaou. 2014. Growth Opportunities, Technology Shocks and Asset Prices. Journal of Finance. 69(2)
Rebelo, Sergio, Martin S. Eichenbaum, Dimitris Papanikolaou and Rui Albuquerque. Forthcoming. Long-run Bulls and Bears. Journal of Monetary Economics.
Kondo, Jiro E. and Dimitris Papanikolaou. 2015. Financial Relationship and the Limits to Arbitrage. Review of Finance. 19(6)
Fuchs, William, Brett Green and Dimitris Papanikolaou. Forthcoming. Adverse Selection, Slow Moving Capital and Misallocation. Journal of Financial Economics.
Working Papers
Kogan, Leonid, Dimitris Papanikolaou, Amit Seru and Noah Stoffman. 2015. Winners and Losers: Creative Destruction and the Stock Market.
Kogan, Leonid, Dimitris Papanikolaou, Amit Seru and Noah Stoffman. 2015. Technological Innovation, Resource Allocation and Growth.
Papanikolaou, Dimitris and Jiro Kondo. 2015. Cooperation Cycles.
Papanikolaou, Dimitris and Carola Frydman. 2015. In Search of Ideas: Technological Innovation and Executive Pay Inequality.

Print Teaching
Teaching Interests
Full-Time / Part-Time MBA
Investments (FINC-460-0)

This course aims at developing key concepts in investment theory from the perspective of a portfolio manager rather than an individual investor. The goal of this class is to provide students with a structure for thinking about investment theory and show how to address practical investment problems in a systematic manner. Instead of focusing on pure theoretical models, the emphasis is given on the empirical facts observed in asset prices in worldwide capital markets, understanding whether they manifest new dimension of systematic risk, and how to design smart portfolios to take advantage of multiple sources of systematic risk.

Topics Include:

- Capital allocation and optimal portfolio selection
- Diversification, risk, and various models linking risks with returns (such as: the CAPM, the Fama-French 3-Factor Model ("value" and "size" investing), "momentum investing" and the Carhart's 4-Factor Model, and Ross' multifactor APT to account for multiple sources of systematic risk)
- Risk-adjusted returns, measures of fund performance, and various trading strategies used by Hedge Funds
- Market efficiency (including empirical anomalies and behavioral finance)

Other Topics (Time Permitting):

- Impact of borrowing constraint and transaction costs and illiquidity
- Risk management issues (such as portfolio insurance)
- Bond valuation and the term structure of interest rates
- The Black-Scholes/Merton option pricing model

Students interested in this course are expected to have sound knowledge of Statistics and Regression Analysis. This is a quantitative course in which we discuss many cases, but case studies will require ability to do statistical analysis similar to what might be applied in practice. The course develops an applied analytical framework of financial investments.

Empirical Methods in Finance (FINC-970-0)

This advanced course is designed for students with strong quantitative skill who want to learn modern disruptive discoveries in investments research and state-of-the-art statistical techniques of portfolio management. Students will learn cutting-edge econometric methods for analyzing financial markets and programming techniques to implement them. We will cover financial models from up-to-date research literature and examine "how" and "when" markets are beatable. Students who plan to work in financial industry under a technical capacity, such as, as a quantitative portfolio manager (or, as a risk manager) in hedge funds or investment banks, are expected to find this course immensely rewarding.

Topics Include (but are not limited to):

(1) Multi-factor models, such as the Fama-French factors, momentum strategies, and liquidity factors
(2) Return predictability
(3) Stochastic nature of volatility and structuring options portfolio to receive variance risk premium
(4) Term structure of riskfree rates, yield curve modeling and risk-factors in bond premium
(5) Effects of illiquidity or transaction costs

Necessary statistical methods such as the Fama-MacBeth regression, GRS test, GMM, factor extraction via principal component analysis, It¿'s lemma and stochastic calculus (including jumps), bootstrapping of yield curve, and the techniques of Monte Carlo simulation will be developed within the course. Course grade will be based on five bi-weekly assignments (these assignments will require extensive statistical analysis of investment models and financial data, either in MATLAB or in Excel or in your choice of software) and a final comprehensive take-home project. Students will have unrestricted access to the WRDS database of financial data for working on the assignments and test.

Course Requirements:

- MATLAB: Expertise in running regression and doing statistical analysis in Excel (or in another platform, such as, MATLAB) is required. Starting from the second week of the quarter, MATLAB tutorial sessions will meet throughout the quarter on Mondays 6:30PM - 8:00PM at Jacobs 4214. Attendance in the tutorial sessions is expected and very strongly recommended, especially as hedge funds seem highly impressed with MATLAB abilities.
- Skills: Students must be comfortable with handling statistics and algebra in paper-and-pencil at the level of hypotheses testing, linear regression analysis, elementary matrix algebra, and basic differential and integral calculus (including Taylor series expansion).
- Prerequisites: Finance/Economics at the level of FINC 460-0. Knowledge of the prerequisite courses is necessary to succeed in this class, but hard-working well-motivated students may request waiver from the prerequisite courses by contacting the instructor via e-mail.

Attendance by any student without proper course registration is strictly prohibited.

Asset Pricing III (FINC-485-3)
These courses cover major topics in the asset pricing literature with an emphasis on recent developments. The topics covered include: models of portfolio choice, the pricing of securities in capital markets, general equilibrium models, and the interrelationship between financial markets and the real economy.