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James S. Doran

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Doran, James S. & Peterson, David R. & Wright, Colby, 2010. "Confidence, opinions of market efficiency, and investment behavior of finance professors," Journal of Financial Markets, Elsevier, vol. 13(1), pages 174-195, February.

    Mentioned in:

    1. Links (18-25/02)
      by Roberto Ushisima in Empresas e Mercados on 2011-02-26 03:10:00
    2. Opiniões sobre eficiência de mercado e comportamento como investidor
      by Roberto Ushisima in Empresas e Mercados on 2011-02-28 07:03:00

Working papers

  1. Doran, James & Jiang, Danling & Peterson, David, 2008. "Gambling Preference and the New Year Effect of Assets with Lottery Features," MPRA Paper 15463, University Library of Munich, Germany, revised 10 Mar 2009.

    Cited by:

    1. Hur, Jungshik & Pettengill, Glenn & Singh, Vivek, 2014. "Market states and the risk-based explanation of the size premium," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 139-150.
    2. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, vol. 233(3), pages 613-624.
    3. Jiang, Danling & Peterson, David R. & Doran, James S., 2014. "Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 36-59.
    4. Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
    5. Al-Awadhi, Abdullah M., 2019. "Deviation from religious trading norms," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 22-30.
    6. Marshall, Ben R. & Visaltanachoti, Nuttawat, 2010. "The Other January Effect: Evidence against market efficiency?," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2413-2424, October.
    7. Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "Investor propensity to speculate and price delay in emerging markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    8. Gan, Christopher & Nartea, Gilbert V. & Wu, Ji (George), 2018. "Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets," Finance Research Letters, Elsevier, vol. 26(C), pages 40-46.
    9. Li, Xindan & Subrahmanyam, Avanidhar & Yang, Xuewei, 2018. "Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market," Journal of Financial Economics, Elsevier, vol. 128(1), pages 38-65.
    10. Nguyen, Hung T. & Truong, Cameron, 2018. "When are extreme daily returns not lottery? At earnings announcements!," Journal of Financial Markets, Elsevier, vol. 41(C), pages 92-116.
    11. Clark, Gordon L. & Fiaschetti, Maurizio & Tufano, Peter & Viehs, Michael, 2018. "Playing with your future: Who gambles in defined-contribution pension plans?," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 213-225.
    12. Meng, Yun & Pantzalis, Christos, 2018. "Monthly cyclicality in retail Investors’ liquidity and lottery-type stocks at the turn of the month," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 176-191.
    13. Justin Cox & Adam Schwartz & Robert Ness, 2020. "Does what happen in Vegas stay in Vegas? Football gambling and stock market activity," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 724-748, October.
    14. Cookson, J. Anthony, 2018. "When saving is gambling," Journal of Financial Economics, Elsevier, vol. 129(1), pages 24-45.
    15. Stephan Meyer & Sebastian Schroff & Christof Weinhardt, 2014. "(Un)skilled leveraged trading of retail investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 111-138, May.
    16. Chan, Yue-Cheong & Chui, Andy C.W., 2016. "Gambling in the Hong Kong stock market," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 204-218.
    17. Haotian Xu & Wei Wei, 2020. "The Market Reaction of Bonus Shares Issuing and the Lottery-like Stock Preference: Evidence from Chinese Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(1), pages 1-5.
    18. Yu Liang & Weiqiang Zhang, 2016. "Do Investors Buy Lotteries in China’s Stock Market?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(5), pages 1-5.
    19. Grace Lepone & Joakim Westerholm & Danika Wright, 2023. "Speculative trading preferences of retail investor birth cohorts," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 555-574, March.
    20. Chen, Zhongdong & Daves, Phillip R., 2018. "The January sentiment effect in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 94-104.
    21. Kelley Bergsma & Danling Jiang, 2016. "Cultural New Year Holidays and Stock Returns around the World," Financial Management, Financial Management Association International, vol. 45(1), pages 3-35, March.
    22. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.
    23. Chang, Eric C. & Luo, Yan & Ren, Jinjuan, 2013. "Pricing deviation, misvaluation comovement, and macroeconomic conditions," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5285-5299.

  2. Doran, James & Jiang, Danling & Peterson, David, 2007. "Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle," MPRA Paper 4995, University Library of Munich, Germany.

    Cited by:

    1. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, vol. 233(3), pages 613-624.
    2. Boehme, Rodney & Çolak, Gönül, 2012. "Primary market characteristics and secondary market frictions of stocks," Journal of Financial Markets, Elsevier, vol. 15(2), pages 286-327.

Articles

  1. Jiang, Danling & Peterson, David R. & Doran, James S., 2014. "Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 36-59.

    Cited by:

    1. Shi, Yanlin & Liu, Wai-Man & Ho, Kin-Yip, 2016. "Public news arrival and the idiosyncratic volatility puzzle," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 159-172.

  2. Andy Fodor & James S. Doran & James M. Carson & David P. Kirch, 2013. "On the Demand for Portfolio Insurance," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(2), pages 167-193, September.

    Cited by:

    1. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    2. Arjun Chatrath & Rohan A. Christie‐David & Hong Miao & Sanjay Ramchander, 2019. "Losers and prospectors in the short‐term options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 721-743, June.

  3. Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012. "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 786-802.

    Cited by:

    1. Yu, Xisheng & Xie, Xiaoke, 2015. "Pricing American options: RNMs-constrained entropic least-squares approach," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 155-173.
    2. Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2015. "Volatility spillovers and macroeconomic announcements: evidence from crude oil markets," Applied Economics, Taylor & Francis Journals, vol. 47(28), pages 2974-2984, June.
    3. Liu, Mengxi (Maggie) & Chan, Kam Fong & Faff, Robert, 2022. "What can we learn from firm-level jump-induced tail risk around earnings announcements?," Journal of Banking & Finance, Elsevier, vol. 138(C).
    4. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2015. "Towards a skewness index for the Italian stock market," Department of Economics 0064, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    5. Seraina C. Anagnostopoulou & Aikaterini C. Ferentinou & Panagiotis A. Tsaousis & Andrianos E. Tsekrekos, 2018. "The Options Market Reaction to Bank Loan Announcements," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(1), pages 99-139, February.
    6. Atilgan, Yigit, 2014. "Volatility spreads and earnings announcement returns," Journal of Banking & Finance, Elsevier, vol. 38(C), pages 205-215.
    7. Chin‐Ho Chen, 2021. "Investor sentiment, misreaction, and the skewness‐return relationship," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1427-1455, September.
    8. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
    9. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    10. Farzad Alavi Fard & Firmin Doko Tchatoka & Sivagowry Sriananthakumar, 2021. "Maximum Entropy Evaluation of Asymptotic Hedging Error under a Generalised Jump-Diffusion Model," JRFM, MDPI, vol. 14(3), pages 1-19, February.
    11. S. P. Kothari & Charles Wasley, 2019. "Commemorating the 50‐Year Anniversary of Ball and Brown (1968): The Evolution of Capital Market Research over the Past 50 Years," Journal of Accounting Research, Wiley Blackwell, vol. 57(5), pages 1117-1159, December.
    12. Wang, Qingxia & Faff, Robert & Zhu, Min, 2022. "Realized moments and the cross-sectional stock returns around earnings announcements," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 408-427.
    13. Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018. "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche 1807, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    14. Anagnostopoulou, Seraina C. & Tsekrekos, Andrianos E., 2015. "Accounting quality, information risk and implied volatility around earnings announcements," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 188-207.
    15. Aymen Belgacem & Amine Lahiani, 2012. "More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility," Economics Bulletin, AccessEcon, vol. 32(2), pages 1509-1526.

  4. James Doran & David Peterson & S. Price, 2012. "Earnings Conference Call Content and Stock Price: The Case of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 402-434, August.

    Cited by:

    1. Bask, Mikael & Forsberg, Lars & Östling, Andreas, 2024. "Media sentiment and stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 303-311.
    2. Yan Luo & Linying Zhou, 2020. "Textual tone in corporate financial disclosures: a survey of the literature," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 17(2), pages 101-110, September.
    3. Frömel, Pascal & Kolmeder, Severin & Wagner, Dominik, 2023. "Where prices are not lazy: Evidence from REITs and the financial sector," Finance Research Letters, Elsevier, vol. 53(C).
    4. Azam Pouryousof & Farzaneh Nassirzadeh & Reza Hesarzadeh & Davood Askarany, 2022. "The Relationship between Managers’ Disclosure Tone and the Trading Volume of Investors," JRFM, MDPI, vol. 15(12), pages 1-16, December.
    5. S. Price & Jesus Salas & C. Sirmans, 2015. "Governance, Conference Calls and CEO Compensation," The Journal of Real Estate Finance and Economics, Springer, vol. 50(2), pages 181-206, February.
    6. Christina Bannier & Thomas Pauls & Andreas Walter, 2019. "Content analysis of business communication: introducing a German dictionary," Journal of Business Economics, Springer, vol. 89(1), pages 79-123, February.
    7. Enwei Zhu & Jing Wu & Hongyu Liu & Keyang Li, 2023. "A Sentiment Index of the Housing Market in China: Text Mining of Narratives on Social Media," The Journal of Real Estate Finance and Economics, Springer, vol. 66(1), pages 77-118, January.
    8. Maciej Wujec, 2021. "Analysis of the Financial Information Contained in the Texts of Current Reports: A Deep Learning Approach," JRFM, MDPI, vol. 14(12), pages 1-17, December.
    9. Bannier, Christina E. & Pauls, Thomas & Walter, Andreas, 2017. "CEO-speeches and stock returns," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168192, Verein für Socialpolitik / German Economic Association.
    10. Zhang, Shengpeng & Li, Yaokuang & Liang, Ruixin & He, Yu, 2024. "Does management tone matter in information disclosure? Evidence from IPO online roadshows in the SSE STAR market," International Review of Financial Analysis, Elsevier, vol. 94(C).
    11. Kearney, Colm & Liu, Sha, 2014. "Textual sentiment in finance: A survey of methods and models," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 171-185.
    12. Boudt, Kris & Thewissen, James & Torsin, Wouter, 2018. "When does the tone of earnings press releases matter?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 231-245.
    13. Katsafados, Apostolos G. & Leledakis, George N. & Panagiotou, Nikolaos P. & Pyrgiotakis, Emmanouil G., 2024. "Can central bankers’ talk predict bank stock returns? A machine learning approach," MPRA Paper 122899, University Library of Munich, Germany.
    14. Andrew Todd & James Bowden & Yashar Moshfeghi, 2024. "Text‐based sentiment analysis in finance: Synthesising the existing literature and exploring future directions," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 31(1), March.
    15. Ryan G. Chacon & Dan W. French & Kuntara Pukthuanthong, 2021. "The Information Content of NAV Estimates," The Journal of Real Estate Finance and Economics, Springer, vol. 63(4), pages 598-629, November.
    16. Ahmad, Khurshid & Han, JingGuang & Hutson, Elaine & Kearney, Colm & Liu, Sha, 2016. "Media-expressed negative tone and firm-level stock returns," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 152-172.
    17. Bassyouny, Hesham & Abdelfattah, Tarek & Tao, Lei, 2022. "Narrative disclosure tone: A review and areas for future research," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 49(C).
    18. Sadique, Shibley & In, Francis & Veeraraghavan, Madhu & Wachtel, Paul, 2013. "Soft information and economic activity: Evidence from the Beige Book," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 81-92.
    19. S. P. Kothari & Charles Wasley, 2019. "Commemorating the 50‐Year Anniversary of Ball and Brown (1968): The Evolution of Capital Market Research over the Past 50 Years," Journal of Accounting Research, Wiley Blackwell, vol. 57(5), pages 1117-1159, December.
    20. S. McKay Price & Michael J. Seiler & Jiancheng Shen, 2017. "Do Investors Infer Vocal Cues from CEOs During Quarterly REIT Conference Calls?," The Journal of Real Estate Finance and Economics, Springer, vol. 54(4), pages 515-557, May.
    21. Bian, Shibo & Jia, Dekui & Li, Ruihai & Sun, Wujun & Yan, Zhipeng & Zheng, Yingfei, 2021. "Can management tone predict IPO performance? – Evidence from mandatory online roadshows in China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    22. Renáta Myšková & Petr Hájek, 2018. "Sustainability and Corporate Social Responsibility in the Text of Annual Reports—The Case of the IT Services Industry," Sustainability, MDPI, vol. 10(11), pages 1-18, November.
    23. Elizabeth Devos & Erik Devos & Seow Eng Ong & Andrew C. Spieler, 2019. "Information Asymmetry and REIT Capital Market Access," The Journal of Real Estate Finance and Economics, Springer, vol. 59(1), pages 90-110, July.
    24. Cao, Jie & Han, Bing & Song, Linjia & Zhan, Xintong, 2023. "Option price implied information and REIT returns," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 13-28.
    25. Benjamin Blau & Jared Egginton & Matthew Hill, 2016. "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 1-24, January.
    26. Francois Brochet & Kalin Kolev & Alina Lerman, 2018. "Information transfer and conference calls," Review of Accounting Studies, Springer, vol. 23(3), pages 907-957, September.
    27. Yekini, Liafisu Sina & Wisniewski, Tomasz Piotr & Millo, Yuval, 2016. "Market reaction to the positiveness of annual report narratives," The British Accounting Review, Elsevier, vol. 48(4), pages 415-430.
    28. Senave, Elseline & Jans, Mieke J. & Srivastava, Rajendra P., 2023. "The application of text mining in accounting," International Journal of Accounting Information Systems, Elsevier, vol. 50(C).
    29. Tim Loughran & Bill Mcdonald, 2016. "Textual Analysis in Accounting and Finance: A Survey," Journal of Accounting Research, Wiley Blackwell, vol. 54(4), pages 1187-1230, September.

  5. Price, S. McKay & Doran, James S. & Peterson, David R. & Bliss, Barbara A., 2012. "Earnings conference calls and stock returns: The incremental informativeness of textual tone," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 992-1011.

    Cited by:

    1. Bask, Mikael & Forsberg, Lars & Östling, Andreas, 2024. "Media sentiment and stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 303-311.
    2. Ardia, David & Bluteau, Keven & Boudt, Kris, 2022. "Media abnormal tone, earnings announcements, and the stock market," Journal of Financial Markets, Elsevier, vol. 61(C).
    3. Baochen Yang & Yifang Liu & Yunpeng Su, 2023. "Earnings communication conferences and post‐earnings‐announcement drift: Evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2145-2185, June.
    4. Xiaoying Liang & Hongjun Wu, 2022. "Does the Tone in Corporate Social Responsibility Reports Misdirect Analysts’ Forecasts in China?," Sustainability, MDPI, vol. 14(24), pages 1-18, December.
    5. Yan Luo & Linying Zhou, 2020. "Textual tone in corporate financial disclosures: a survey of the literature," International Journal of Disclosure and Governance, Palgrave Macmillan, vol. 17(2), pages 101-110, September.
    6. Eryka Probierz & Adam Galuszka & Katarzyna Klimczak & Karol Jedrasiak & Tomasz Wisniewski & Tomasz Dzida, 2021. "Financial Sentiment on Twitter's Community and it's Connection to Polish Stock Market Movements in Context of Behavior Modelling," European Research Studies Journal, European Research Studies Journal, vol. 0(4B), pages 56-65.
    7. Kristian D. Allee & Matthew D. Deangelis, 2015. "The Structure of Voluntary Disclosure Narratives: Evidence from Tone Dispersion," Journal of Accounting Research, Wiley Blackwell, vol. 53(2), pages 241-274, May.
    8. Wolfgang Breuer & Andreas Knetsch & Astrid Juliane Salzmann, 2020. "What Does It Mean When Managers Talk About Trust?," Journal of Business Ethics, Springer, vol. 166(3), pages 473-488, October.
    9. Maria-Silvia Sandulescu & Catalin-Nicolae Albu, 2018. "Impression Management in The Letters to Shareholders of Listed Entities: A Romanian Case Study," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 17(3), pages 353-373, September.
    10. S. Price & Jesus Salas & C. Sirmans, 2015. "Governance, Conference Calls and CEO Compensation," The Journal of Real Estate Finance and Economics, Springer, vol. 50(2), pages 181-206, February.
    11. Anand, Vic & Bochkay, Khrystyna & Chychyla, Roman & Leone, Andrew, 2020. "Using Python for Text Analysis in Accounting Research," Foundations and Trends(R) in Accounting, now publishers, vol. 14(3-4), pages 128-359, December.
    12. Blau, Benjamin M. & DeLisle, Jared R. & Price, S. McKay, 2015. "Do sophisticated investors interpret earnings conference call tone differently than investors at large? Evidence from short sales," Journal of Corporate Finance, Elsevier, vol. 31(C), pages 203-219.
    13. Christina Bannier & Thomas Pauls & Andreas Walter, 2019. "Content analysis of business communication: introducing a German dictionary," Journal of Business Economics, Springer, vol. 89(1), pages 79-123, February.
    14. Jason V. Chen & Itay Kama & Reuven Lehavy, 2019. "A contextual analysis of the impact of managerial expectations on asymmetric cost behavior," Review of Accounting Studies, Springer, vol. 24(2), pages 665-693, June.
    15. Jun Qi & Qinwei Chi & Ni Yang & Junyan Ouyang, 2023. "The Impact of the Tone of a Prospectus on IPO Underpricing: Evidence from China," Australian Accounting Review, CPA Australia, vol. 33(4), pages 375-390, December.
    16. Xi Fu & Xiaoxi Wu & Zhifang Zhang, 2021. "The Information Role of Earnings Conference Call Tone: Evidence from Stock Price Crash Risk," Journal of Business Ethics, Springer, vol. 173(3), pages 643-660, October.
    17. Ge, S., 2020. "Text-Based Linkages and Local Risk Spillovers in the Equity Market," Cambridge Working Papers in Economics 20115, Faculty of Economics, University of Cambridge.
    18. Bergsma, Kelley & Tayal, Jitendra, 2020. "Quarterly earnings announcements and intra-industry information transfer from the Pacific to the Atlantic," International Review of Financial Analysis, Elsevier, vol. 70(C).
    19. John Donovan & Jared Jennings & Kevin Koharki & Joshua Lee, 2021. "Measuring credit risk using qualitative disclosure," Review of Accounting Studies, Springer, vol. 26(2), pages 815-863, June.
    20. Enwei Zhu & Jing Wu & Hongyu Liu & Keyang Li, 2023. "A Sentiment Index of the Housing Market in China: Text Mining of Narratives on Social Media," The Journal of Real Estate Finance and Economics, Springer, vol. 66(1), pages 77-118, January.
    21. Mathur, Aakriti & Sengupta, Rajeswari & Pratap, Bhanu, 2024. "Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty," Journal of Asian Economics, Elsevier, vol. 91(C).
    22. Maciej Wujec, 2021. "Analysis of the Financial Information Contained in the Texts of Current Reports: A Deep Learning Approach," JRFM, MDPI, vol. 14(12), pages 1-17, December.
    23. Borochin, Paul A. & Cicon, James E. & DeLisle, R. Jared & Price, S. McKay, 2018. "The effects of conference call tones on market perceptions of value uncertainty," Journal of Financial Markets, Elsevier, vol. 40(C), pages 75-91.
    24. Ali Ataullah & Andrew Vivian & Bin Xu, 2018. "Optimistic Disclosure Tone and Conservative Debt Policy," Abacus, Accounting Foundation, University of Sydney, vol. 54(4), pages 445-484, December.
    25. Zhang, Shengpeng & Li, Yaokuang & Liang, Ruixin & He, Yu, 2024. "Does management tone matter in information disclosure? Evidence from IPO online roadshows in the SSE STAR market," International Review of Financial Analysis, Elsevier, vol. 94(C).
    26. Huang, Pingping & Jiao, Yuehua & Li, Sihai, 2022. "Impact of internal control quality on the information content of social responsibility reports: A study based on text similarity—Evidence from China," International Journal of Accounting Information Systems, Elsevier, vol. 45(C).
    27. Tri Minh Phan, 2024. "Sentiment-semantic word vectors: A new method to estimate management sentiment," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 160(1), pages 1-22, December.
    28. Kearney, Colm & Liu, Sha, 2014. "Textual sentiment in finance: A survey of methods and models," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 171-185.
    29. Paul E. Soto, 2021. "Breaking the Word Bank: Measurement and Effects of Bank Level Uncertainty," Journal of Financial Services Research, Springer;Western Finance Association, vol. 59(1), pages 1-45, April.
    30. Wang, Jiaxin & Huang, Hongyan & Huang, Xiang & Sun, Di & Song, Zilong, 2024. "Returning from overseas: STEMs migration and corporate digitalization," International Review of Financial Analysis, Elsevier, vol. 91(C).
    31. Boudt, Kris & Thewissen, James & Torsin, Wouter, 2018. "When does the tone of earnings press releases matter?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 231-245.
    32. Katsafados, Apostolos G. & Leledakis, George N. & Panagiotou, Nikolaos P. & Pyrgiotakis, Emmanouil G., 2024. "Can central bankers’ talk predict bank stock returns? A machine learning approach," MPRA Paper 122899, University Library of Munich, Germany.
    33. Gilberto Marquez-Illescas & Allan A. Zebedee & Linying Zhou, 2019. "Hear Me Write: Does CEO Narcissism Affect Disclosure?," Journal of Business Ethics, Springer, vol. 159(2), pages 401-417, October.
    34. Shuangyan Li & Guangrui Wang & Yongli Luo, 2022. "Tone of language, financial disclosure, and earnings management: a textual analysis of form 20-F," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-24, December.
    35. Karel Hrazdil & Fereshteh Mahmoudian & Jamal A. Nazari, 2021. "Executive personality and sustainability: Do extraverted chief executive officers improve corporate social responsibility?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 28(6), pages 1564-1578, November.
    36. Frankel, Richard & Jennings, Jared & Lee, Joshua, 2016. "Using unstructured and qualitative disclosures to explain accruals," Journal of Accounting and Economics, Elsevier, vol. 62(2), pages 209-227.
    37. Fink, Josef, 2021. "A review of the Post-Earnings-Announcement Drift," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    38. Sun, Yuan & Wen, YouYun & Jiang, Senyang & Zhang, Haoxiang, 2024. "The ripple effect of environmental shareholder activism and corporate green innovation: Evidence from Chinese listed companies," International Review of Financial Analysis, Elsevier, vol. 93(C).
    39. Andrew Todd & James Bowden & Yashar Moshfeghi, 2024. "Text‐based sentiment analysis in finance: Synthesising the existing literature and exploring future directions," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 31(1), March.
    40. Beattie, Vivien, 2014. "Accounting narratives and the narrative turn in accounting research: Issues, theory, methodology, methods and a research framework," The British Accounting Review, Elsevier, vol. 46(2), pages 111-134.
    41. Carlo D'Augusta & Matthew D. DeAngelis, 2020. "Does Accounting Conservatism Discipline Qualitative Disclosure? Evidence From Tone Management in the MD&A," Contemporary Accounting Research, John Wiley & Sons, vol. 37(4), pages 2287-2318, December.
    42. Aakriti Mathur & Rajeswari Sengupta & Bhanu Pratap, 2022. "Saved by the bell? Equity market responses to surprise Covid-19 lockdowns and central bank interventions," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2022-001, Indira Gandhi Institute of Development Research, Mumbai, India.
    43. Kate Suslava, 2021. "“Stiff Business Headwinds and Uncharted Economic Waters”: The Use of Euphemisms in Earnings Conference Calls," Management Science, INFORMS, vol. 67(11), pages 7184-7213, November.
    44. Rahman, Dewan & Oliver, Barry & Faff, Robert, 2020. "Evidence of strategic information uncertainty around opportunistic insider purchases," Journal of Banking & Finance, Elsevier, vol. 117(C).
    45. Bassyouny, Hesham & Abdelfattah, Tarek & Tao, Lei, 2020. "Beyond narrative disclosure tone: The upper echelons theory perspective," International Review of Financial Analysis, Elsevier, vol. 70(C).
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  6. James S. Doran & Danling Jiang & David R. Peterson, 2011. "Gambling Preference and the New Year Effect of Assets with Lottery Features," Review of Finance, European Finance Association, vol. 16(3), pages 685-731.
    See citations under working paper version above.
  7. R. Jared Delisle & James S. Doran & David R. Peterson, 2011. "Asymmetric pricing of implied systematic volatility in the cross‐section of expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(1), pages 34-54, January.

    Cited by:

    1. Pati, Pratap Chandra & Rajib, Prabina & Barai, Parama, 2019. "The role of the volatility index in asset pricing: The case of the Indian stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 336-346.
    2. Stanley Peterburgsky, 2021. "Is aggregate volatility a priced risk factor?," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 843-864, September.
    3. R. Jared DeLisle & Bong Soo Lee & Nathan Mauck, 2016. "The dynamic relation between options trading, short selling, and aggregate stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 47(3), pages 645-671, October.
    4. Labidi, Chiraz & Yaakoubi, Soumaya, 2016. "Investor sentiment and aggregate volatility pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 53-63.
    5. Long, Wen & Zhao, Manyi & Tang, Yeran, 2021. "Can the Chinese volatility index reflect investor sentiment?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    6. Mai, Van Anh (Vivian) & Ang, Tze Chuan ‘Chewie’ & Fang, Victor, 2016. "Aggregate volatility risk and the cross-section of stock returns: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 36(C), pages 134-149.
    7. Chira, Inga & Madura, Jeff & Viale, Ariel M., 2013. "Bank exposure to market fear," Journal of Financial Stability, Elsevier, vol. 9(4), pages 451-459.
    8. Sunil K. Mohanty & Stein Frydenberg & Petter Osmundsen & Sjur Westgaard & Christian Skjøld, 2023. "Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 715-746, February.
    9. James S. Doran, 2020. "Volatility as an asset class: Holding VIX in a portfolio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 841-859, June.
    10. Harshit Mishra & Parama Barai, 2024. "Entropy Augmented Asset Pricing Model: Study on Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(1), pages 81-99, March.
    11. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    12. Andy Fodor & James S. Doran & James M. Carson & David P. Kirch, 2013. "On the Demand for Portfolio Insurance," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(2), pages 167-193, September.
    13. Atanasov, Victoria, 2016. "Conditional interest rate risk and the cross-section of excess stock returns," Review of Financial Economics, Elsevier, vol. 30(C), pages 23-32.

  8. James M. Carson & James S. Doran & Randy E. Dumm, 2011. "Market Discipline in the Individual Annuity Market," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 14(1), pages 27-47, March.

    Cited by:

    1. Maria Alexandrova & Nadine Gatzert, 2019. "What Do We Know About Annuitization Decisions?," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 22(1), pages 57-100, March.
    2. Altuntas, Muhammed & Berry-Stölzle, Thomas R. & Wende, Sabine, 2015. "Does one size fit all? Determinants of insurer capital structure around the globe," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 251-271.

  9. Andy Fodor & Kevin Krieger & James Doran, 2011. "Do option open-interest changes foreshadow future equity returns?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 265-280, September.

    Cited by:

    1. Sangram Keshari Jena & Aviral Kumar Tiwari & Amarnath Mitra, 2019. "Put–Call Ratio Volume vs. Open Interest in Predicting Market Return: A Frequency Domain Rolling Causality Analysis," Economies, MDPI, vol. 7(1), pages 1-10, March.
    2. Paulo Pereira da Silva, 2016. "Did Investors Seeking Short Exposure Move to the CDS Market after the 2011 Short-Sale Bans in European Financial Stocks?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 322-353, August.
    3. Paulo Silva, 2015. "The information content of the open interest of credit default swaps," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 381-427, November.
    4. Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015. "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, vol. 21(C), pages 95-109.
    5. Antonio Figueiredo & Shahid S. Hamid & Richard Holowczak, 2021. "Stock market signals and consequences of securities class actions lawsuits: a microstructure perspective," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 629-655, August.
    6. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
    7. Sung Won Seo & Suk Joon Byun & Jun Sik Kim, 2020. "Index options open interest and stock market returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 989-1010, June.
    8. Mousumi Bhattacharya & Sharad Nath Bhattacharya & Sumit Kumar Jha, 2022. "Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data," Australian Journal of Management, Australian School of Business, vol. 47(2), pages 251-272, May.
    9. Blau, Benjamin M. & Nguyen, Nga & Whitby, Ryan J., 2014. "The information content of option ratios," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 179-187.

  10. Doran, James S. & Peterson, David R. & Wright, Colby, 2010. "Confidence, opinions of market efficiency, and investment behavior of finance professors," Journal of Financial Markets, Elsevier, vol. 13(1), pages 174-195, February.

    Cited by:

    1. Kim, Jae & Doucouliagos, Hristos & Stanley, T. D., 2014. "Market efficiency in Asian and Australasian stock markets: a fresh look at the evidence," Working Papers eco_2014_9, Deakin University, Department of Economics.
    2. Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
    3. Kim, Jae H. & Shamsuddin, Abul & Lim, Kian-Ping, 2011. "Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 868-879.
    4. Ben Moews & J. Michael Herrmann & Gbenga Ibikunle, 2018. "Lagged correlation-based deep learning for directional trend change prediction in financial time series," Papers 1811.11287, arXiv.org, revised Nov 2018.
    5. Jamal Bouoiyour & Refk Selmi, 2016. "Are UK industries resilient in dealing with uncertainty? The case of Brexit," Working Papers hal-01880322, HAL.
    6. Zhang, Mingshan, 2022. "Warren Buffett Anomaly," Finance Research Letters, Elsevier, vol. 46(PB).
    7. Sepehr Ghazinoory & Amir Khorasani & Ali Asghar Anvari Rostamy & Ghazaleh Taheriattar & Mona Rashidirad, 2016. "Performance appraisals of ICT companies in the Tehran stock market: contradiction with the global trend," Economic Research-Ekonomska Istraživanja, Taylor & Francis Journals, vol. 29(1), pages 529-544, January.
    8. Makovsek, Dejan & Moszoro, Marian W., 2017. "Risk pricing inefficiency in public-private partnerships," MPRA Paper 101574, University Library of Munich, Germany.
    9. Philip Maymin, 2010. "Markets are efficient if and only if P = NP," Papers 1002.2284, arXiv.org, revised May 2010.
    10. Michael Insler & Pamela Schmitt & Jake Compton, 2013. "Does everyone accept a free lunch? Decision making under (almost) zero cost borrowing," Departmental Working Papers 42, United States Naval Academy Department of Economics.
    11. Pawan Jain & Wen-Jun Xue, 2017. "Global Investigation of Return Autocorrelation and its Determinants," Working Papers 1704, Florida International University, Department of Economics.
    12. Alda, Mercedes, 2017. "The relationship between pension funds and the stock market: Does the aging population of Europe affect it?," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 83-97.
    13. Mirzaee Ghazani, Majid & Khalili Araghi, Mansour, 2014. "Evaluation of the adaptive market hypothesis as an evolutionary perspective on market efficiency: Evidence from the Tehran stock exchange," Research in International Business and Finance, Elsevier, vol. 32(C), pages 50-59.
    14. Han‐Sheng Chen & Sanjiv Sabherwal, 2019. "Overconfidence among option traders," Review of Financial Economics, John Wiley & Sons, vol. 37(1), pages 61-91, January.
    15. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  11. Dean Diavatopoulos & James S. Doran & David R. Peterson, 2008. "The information content in implied idiosyncratic volatility and the cross‐section of stock returns: Evidence from the option markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(11), pages 1013-1039, November.

    Cited by:

    1. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
    2. Doran, James & Jiang, Danling & Peterson, David, 2008. "Gambling Preference and the New Year Effect of Assets with Lottery Features," MPRA Paper 15463, University Library of Munich, Germany, revised 10 Mar 2009.
    3. Pedro Serrano & Antoni Vaello‐Sebastià & M. Magdalena Vich Llompart, 2024. "International evidence of the forecasting ability of option‐implied distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1447-1464, August.
    4. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
    5. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
    6. Jun-Biao Lina & Ping-Yeh Su, 2017. "Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 7(1), pages 1-2.
    7. Barbara A. Bliss & Jeffrey A. Clark & R. Jared DeLisle, 2018. "Bank risk, financial stress, and bank derivative use," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 804-821, July.
    8. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    9. Stephan Süss, 2012. "The pricing of idiosyncratic risk: evidence from the implied volatility distribution," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(2), pages 247-267, June.
    10. Kevin Aretz & Ming-Tsung Lin & Ser-Huang Poon, 2023. "Moneyness, Underlying Asset Volatility, and the Cross-Section of Option Returns," Review of Finance, European Finance Association, vol. 27(1), pages 289-323.
    11. DeLisle, R. Jared & Diavatopoulos, Dean & Fodor, Andy & Kassa, Haimanot, 2022. "Variation in option implied volatility spread and future stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 152-160.
    12. Do, Viet & Truong, Cameron & Vu, Tram, 2022. "Options listings and loan contract terms: Information versus risk-shifting," Journal of Financial Markets, Elsevier, vol. 58(C).
    13. Borochin, Paul & Zhao, Yanhui, 2019. "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    14. James S. Doran & Andy Fodor & Kevin Krieger, 2010. "Option Market Efficiency and Analyst Recommendations," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 560-590, June.
    15. Chen, Yi-Ling & Wang, Ming-Chun & Lin, Jun-Biao & Huang, Ming-Chih, 2022. "How financial crises affect the relationship between idiosyncratic volatility and stock returns," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 96-113.
    16. Chris Brooks & Xiafei Li & Joelle Miffre, 2009. "Time Varying Volatility and the Cross-Section of Equity Returns Â," ICMA Centre Discussion Papers in Finance icma-dp2009-01, Henley Business School, University of Reading.
    17. Qadan, Mahmoud & Kliger, Doron & Chen, Nir, 2019. "Idiosyncratic volatility, the VIX and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 431-441.
    18. Po-Chin Wu & Sheng-Chieh Pan & Xue-Ling Tai, 2015. "Non-linearity, persistence and spillover effects in stock returns: the role of the volatility index," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 597-613, August.
    19. Wu, Po-Chin & Liu, Shiao-Yen & Chen, Che-Ying, 2016. "Re-examining risk premiums in the Fama–French model: The role of investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 154-171.
    20. Zhi Dong & Tien Foo Sing, 2021. "Do Investors Overreact for Property and Financial Service Sectors?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(1), pages 79-123, April.
    21. Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor, 2020. "Show me the money: Option moneyness concentration and future stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 761-775, May.
    22. Moll, Cliff R. & Huffman, Stephen P., 2016. "The incremental information content of innovations in implied idiosyncratic volatility," Review of Financial Economics, Elsevier, vol. 30(C), pages 33-44.

  12. Doran, James S. & Ronn, Ehud I., 2008. "Computing the market price of volatility risk in the energy commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2541-2552, December.

    Cited by:

    1. Fearghal Kearney & Han Lin Shang & Lisa Sheenan, 2019. "Implied volatility surface predictability: the case of commodity markets," Papers 1909.11009, arXiv.org.
    2. Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
    3. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
    4. Brix, Anne Floor & Lunde, Asger & Wei, Wei, 2018. "A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method," Energy Economics, Elsevier, vol. 72(C), pages 560-582.
    5. Naeem, Muhammad Abubakr & Karim, Sitara & Hasan, Mudassar & Lucey, Brian M. & Kang, Sang Hoon, 2022. "Nexus between oil shocks and agriculture commodities: Evidence from time and frequency domain," Energy Economics, Elsevier, vol. 112(C).
    6. Magkonis, Georgios & Tsouknidis, Dimitris A., 2017. "Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 104-118.
    7. Albulescu, Claudiu Tiberiu & Tiwari, Aviral Kumar & Ji, Qiang, 2020. "Copula-based local dependence among energy, agriculture and metal commodities markets," Energy, Elsevier, vol. 202(C).
    8. Shah, Adil Ahmad & Dar, Arif Billah, 2021. "Exploring diversification opportunities across commodities and financial markets: Evidence from time-frequency based spillovers," Resources Policy, Elsevier, vol. 74(C).
    9. Naser, Hanan & Ahmed, Abdul Rashid, 2016. "Oil Price Shocks and Stock Market Performance in Emerging Economies: Some Evidence using FAVAR Models," MPRA Paper 77868, University Library of Munich, Germany.
    10. Proelss, Juliane & Schweizer, Denis & Seiler, Volker, 2020. "The economic importance of rare earth elements volatility forecasts," International Review of Financial Analysis, Elsevier, vol. 71(C).
    11. Chien‐Chiang Lee & Chi‐Chuan Lee & Donald Lien, 2019. "Do country risk and financial uncertainty matter for energy commodity futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 366-383, March.
    12. Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020. "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers 2003.04007, arXiv.org.
    13. Qian Han, 2013. "A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    14. Bartosz Jaroszkowski & Max Jensen, 2021. "Valuation of European Options under an Uncertain Market Price of Volatility Risk," Papers 2105.09581, arXiv.org.
    15. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Oil Volatility Risk and Expected Stock Returns," CREATES Research Papers 2015-06, Department of Economics and Business Economics, Aarhus University.
    16. Atle Oglend & Vesa-Heikki Soini, 2020. "Equilibrium Working Curves with Heterogeneous Agents," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 355-372, August.
    17. Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
    18. Anders B. Trolle & Eduardo S. Schwartz, 2009. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4423-4461, November.
    19. Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
    20. Qian Han & Calum G. Turvey, 2013. "A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    21. Hilliard, Jimmy E. & Hilliard, Jitka, 2019. "A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 137-155.
    22. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.
    23. Janis Back & Marcel Prokopczuk & Markus Rudolf, 2011. "Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2011-16, Henley Business School, University of Reading.
    24. Kellard, Neil M. & Jiang, Ying & Wohar, Mark, 2015. "Spurious long memory, uncommon breaks and the implied–realized volatility puzzle," Journal of International Money and Finance, Elsevier, vol. 56(C), pages 36-54.
    25. Pal, Debdatta & Mitra, Subrata K., 2017. "Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis," Energy Economics, Elsevier, vol. 62(C), pages 230-239.
    26. Max F. Schöne & Stefan Spinler, 2017. "A four-factor stochastic volatility model of commodity prices," Review of Derivatives Research, Springer, vol. 20(2), pages 135-165, July.
    27. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013. "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series 336, Quantitative Finance Research Centre, University of Technology, Sydney.
    28. Wu, Feng & Myers, Robert J. & Guan, Zhengfei & Wang, Zhiguang, 2015. "Risk-adjusted implied volatility and its performance in forecasting realized volatility in corn futures prices," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 260-274.
    29. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018. "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 148-166.
    30. Jing Ao & Jihui Chen, 2020. "Price Volatility, the Maturity Effect, and Global Oil Prices: Evidence from Chinese Commodity Futures Markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 627-654, October.
    31. Ramos, Sofia B. & Veiga, Helena, 2009. "Risk factors in oil and gas industry returns: international evidence," DES - Working Papers. Statistics and Econometrics. WS ws096920, Universidad Carlos III de Madrid. Departamento de Estadística.
    32. Back, Janis & Prokopczuk, Marcel & Rudolf, Markus, 2013. "Seasonality and the valuation of commodity options," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 273-290.
    33. Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019. "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series 401, Quantitative Finance Research Centre, University of Technology, Sydney.
    34. Cheong, Chin Wen, 2009. "Modeling and forecasting crude oil markets using ARCH-type models," Energy Policy, Elsevier, vol. 37(6), pages 2346-2355, June.
    35. Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012. "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 315-326.
    36. Halkos, George & Tzirivis, Apostolos, 2018. "Effective energy commodities’ risk management: Econometric modeling of price volatility," MPRA Paper 90781, University Library of Munich, Germany.
    37. Chatterjee, Snehamoy & Sethi, Manas Ranjan & Asad, Mohammad Waqar Ali, 2016. "Production phase and ultimate pit limit design under commodity price uncertainty," European Journal of Operational Research, Elsevier, vol. 248(2), pages 658-667.
    38. Lorenz Schneider & Bertrand Tavin, 2018. "Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets," Papers 1802.01393, arXiv.org, revised Nov 2018.
    39. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc.
    40. Wang, Zhiguang & Fausti, Scott W. & Qasmi, Bashir A., 2010. "Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market," Economics Staff Papers 61683, South Dakota State University, Department of Economics.
    41. Bisht Deepak & Laha, A. K., 2017. "Assessment of Density Forecast for Energy Commodities in Post-Financialization Era," IIMA Working Papers WP 2017-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    42. Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
    43. Kang, Sang Hoon & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2019. "Exploring the time-frequency connectedness and network among crude oil and agriculture commodities V1," Energy Economics, Elsevier, vol. 84(C).
    44. Paschke, Raphael & Prokopczuk, Marcel, 2010. "Commodity derivatives valuation with autoregressive and moving average components in the price dynamics," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2742-2752, November.
    45. Cameron, Ken & Schnusenberg, Oliver, 2009. "Oil prices, SUVs, and Iraq: An investigation of automobile manufacturer oil price sensitivity," Energy Economics, Elsevier, vol. 31(3), pages 375-381, May.
    46. Tore S. Kleppe & Atle Oglend, 2019. "Can limits‐to‐arbitrage from bounded storage improve commodity term‐structure modeling?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 865-889, July.
    47. Reinhard Ellwanger, 2017. "On the Tail Risk Premium in the Oil Market," Staff Working Papers 17-46, Bank of Canada.
    48. Roncoroni, Andrea & Prokopczuk, Marcel & Ronn, Ehud I., 2018. "Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 1-4.
    49. James Doran & Ehud Ronn, 2005. "The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets," Review of Derivatives Research, Springer, vol. 8(3), pages 177-198, December.
    50. Asad Dossani & John Elder, 2024. "Uncertainty and investment: Evidence from domestic oil rigs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(2), pages 323-340, February.

  13. Banerjee, Prithviraj S. & Doran, James S. & Peterson, David R., 2007. "Implied volatility and future portfolio returns," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3183-3199, October.

    Cited by:

    1. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
    2. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
    3. Thomas Chiang & Jiandong Li & Sheng-Yung Yang, 2015. "Dynamic stock–bond return correlations and financial market uncertainty," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 59-88, July.
    4. Li, Chenchen & Wang, Yudong & Wu, Chongfeng, 2022. "Oil implied volatility and expected stock returns along the worldwide supply chain," Energy Economics, Elsevier, vol. 114(C).
    5. Eduard Baitinger & Samuel Flegel, 2021. "The better turbulence index? Forecasting adverse financial markets regimes with persistent homology," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(3), pages 277-308, September.
    6. Johannes Stübinger & Lucas Schneider, 2019. "Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500," JRFM, MDPI, vol. 12(2), pages 1-19, April.
    7. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
    8. Qadan, Mahmoud & David, Or & Snunu, Iyad & Shuval, Kerem, 2024. "The VIX's term structure of individual active stocks," Finance Research Letters, Elsevier, vol. 61(C).
    9. Demirer, Rıza & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2020. "Oil price shocks, global financial markets and their connectedness," Energy Economics, Elsevier, vol. 88(C).
    10. Poshakwale, Sunil S. & Chandorkar, Pankaj & Agarwal, Vineet, 2019. "Implied volatility and the cross section of stock returns in the UK," Research in International Business and Finance, Elsevier, vol. 48(C), pages 271-286.
    11. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
    12. Henriques, Irene & Sadorsky, Perry, 2023. "Forecasting rare earth stock prices with machine learning," Resources Policy, Elsevier, vol. 86(PA).
    13. Pati, Pratap Chandra & Rajib, Prabina & Barai, Parama, 2019. "The role of the volatility index in asset pricing: The case of the Indian stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 336-346.
    14. Libo Yin & Liyan Han, 2013. "Exogenous Shocks and Information Transmission in Global Copper Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(8), pages 724-751, August.
    15. Holger Fink & Yulia Klimova & Claudia Czado & Jakob Stober, 2016. "Regime switching vine copula models for global equity and volatility indices," Papers 1604.05598, arXiv.org.
    16. Bartosz Łamasz & Natalia Iwaszczuk, 2020. "The Impact of Implied Volatility Fluctuations on Vertical Spread Option Strategies: The Case of WTI Crude Oil Market," Energies, MDPI, vol. 13(20), pages 1-23, October.
    17. Sarwar, Ghulam, 2014. "U.S. stock market uncertainty and cross-market European stock returns," Journal of Multinational Financial Management, Elsevier, vol. 28(C), pages 1-14.
    18. Angelos Kanas, 2013. "The risk-return relation and VIX: evidence from the S&P 500," Empirical Economics, Springer, vol. 44(3), pages 1291-1314, June.
    19. Božović, Miloš, 2024. "VIX-managed portfolios," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    20. Manuela Pedio, 2021. "Option-Implied Network Measures of Tail Contagion and Stock Return Predictability," BAFFI CAREFIN Working Papers 21154, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    21. Lavín, Jaime F. & Valle, Mauricio A. & Magner, Nicolás S., 2024. "Stock market pattern recognition using symbol entropy analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    22. Just, Małgorzata & Echaust, Krzysztof, 2020. "Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach," Finance Research Letters, Elsevier, vol. 37(C).
    23. Yang, Heejin & Kutan, Ali M. & Ryu, Doojin, 2019. "Volatility information trading in the index options market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 412-426.
    24. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
    25. Ume Habibah & Suresh Rajput & Ranjeeta Sadhwani, 2017. "Stock market return predictability: Google pessimistic sentiments versus fear gauge," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1390897-139, January.
    26. Sarwar, Ghulam, 2012. "Is VIX an investor fear gauge in BRIC equity markets?," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 55-65.
    27. Fabio Bellini & Edit Rroji & Carlo Sala, 2022. "Implicit quantiles and expectiles," Annals of Operations Research, Springer, vol. 313(2), pages 733-753, June.
    28. Sinha, Pankaj & Mathur, Kritika, 2013. "A study on the Price Behavior of Base Metals traded in India," MPRA Paper 47028, University Library of Munich, Germany.
    29. Omar Esqueda & Yongli Luo & Dave Jackson, 2015. "The linkage between the U.S. “fear index” and ADR premiums under non-frictionless stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(3), pages 541-556, July.
    30. Azhgaliyeva, Dina & Mishra, Ranjeeta & Kapsalyamova, Zhanna, 2021. "Oil Price Shocks and Green Bonds: A Longitudinal Multilevel Model," ADBI Working Papers 1278, Asian Development Bank Institute.
    31. Athanasios P. Fassas & Nikolas Hourvouliades, 2019. "VIX Futures as a Market Timing Indicator," JRFM, MDPI, vol. 12(3), pages 1-9, July.
    32. Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2015. "Equity market implied volatility and energy prices: A double threshold GARCH approach," Energy Economics, Elsevier, vol. 50(C), pages 264-272.
    33. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
    34. Bales, Stephan & Burghartz, Kaspar & Burghof, Hans-Peter & Hitz, Lukas, 2023. "Does the source of uncertainty matter? The impact of financial, newspaper and Twitter-based measures on U.S. banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    35. Angelos Kanas, 2014. "Uncovering a positive risk-return relation: the role of implied volatility index," Review of Quantitative Finance and Accounting, Springer, vol. 42(1), pages 159-170, January.
    36. Cochran, Steven J. & Mansur, Iqbal & Odusami, Babatunde, 2012. "Volatility persistence in metal returns: A FIGARCH approach," Journal of Economics and Business, Elsevier, vol. 64(4), pages 287-305.
    37. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
    38. Cliff R. Moll & Stephen P. Huffman, 2016. "The incremental information content of innovations in implied idiosyncratic volatility," Review of Financial Economics, John Wiley & Sons, vol. 30(1), pages 33-44, September.
    39. Kvam, Emilie & Molnar, Peter & Wankel, Ingvild & Odegaard, Bernt Arne, 2022. "Do sustainable company stock prices increase with ESG scrutiny? Evidence using social media," UiS Working Papers in Economics and Finance 2022/1, University of Stavanger.
    40. Kemper, Kris & Lee, Allissa & Simkins, Betty J., 2012. "Diversification revisited," Research in International Business and Finance, Elsevier, vol. 26(2), pages 304-316.
    41. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Effects of the US stock market return and volatility on the VKOSPI," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-34.
    42. Barbara A. Bliss & Jeffrey A. Clark & R. Jared DeLisle, 2018. "Bank risk, financial stress, and bank derivative use," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(7), pages 804-821, July.
    43. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    44. Han, Heejoon & Kutan, Ali M. & Ryu, Doojin, 2015. "Modeling and predicting the market volatility index: The case of VKOSPI," Economics Discussion Papers 2015-7, Kiel Institute for the World Economy (IfW Kiel).
    45. Julián Andrada-Félix & Adrian Fernandez-Perez & Simón Sosvilla-Rivero, 2018. "Fear connectedness among asset classes," Applied Economics, Taylor & Francis Journals, vol. 50(39), pages 4234-4249, August.
    46. Raj Aggarwal & Brian M. Lucey & Fergal A. O'Connor, 2014. "Rationality in Precious Metals Forward Markets: Evidence of Behavioural Deviations in the Gold Markets," The Institute for International Integration Studies Discussion Paper Series iiisdp462, IIIS.
    47. Ghulam Sarwar, 2012. "Intertemporal relations between the market volatility index and stock index returns," Applied Financial Economics, Taylor & Francis Journals, vol. 22(11), pages 899-909, June.
    48. Cheraghali, Hamid & Høydal, Hannah & Lysebo, Caroline & Molnár, Peter, 2023. "Consumer attention and company performance: Evidence from luxury companies," Finance Research Letters, Elsevier, vol. 58(PA).
    49. Jin E. Zhang & Eric C. Chang & Huimin Zhao, 2020. "Market Excess Returns, Variance and the Third Cumulant," International Review of Finance, International Review of Finance Ltd., vol. 20(3), pages 605-637, September.
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      • Julián Andrada-Félixa & Adrian Fernandez-Perez & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2018. "“Time connectedness of fear”," IREA Working Papers 201818, University of Barcelona, Research Institute of Applied Economics, revised Sep 2018.
    54. Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
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    58. Naresh Bansal & Robert A. Connolly & Chris Stivers, 2022. "Beta and size equity premia following a high‐VIX threshold," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1491-1517, August.
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  14. James S. Doran & David R. Peterson & Brian C. Tarrant, 2007. "Is there information in the volatility skew?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(10), pages 921-959, October.

    Cited by:

    1. Byun, Suk Joon & Kim, Jun Sik, 2013. "The information content of risk-neutral skewness for volatility forecasting," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 142-161.
    2. Pan, Ging-Ginq & Shiu, Yung-Ming & Wu, Tu-Cheng, 2024. "Extrapolation and option-implied kurtosis in volatility forecasting," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    3. Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012. "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 786-802.
    4. Massimo Guidolin & Giulia F. Panzeri, 2024. "Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models," Forecasting, MDPI, vol. 6(3), pages 1-33, September.
    5. Vilkovz, Grigory & Xiaox, Yan, 2013. "Option-implied information and predictability of extreme returns," SAFE Working Paper Series 5, Leibniz Institute for Financial Research SAFE.
    6. Jungmu Kim & Yuen Jung Park, 2020. "Predictability of OTC Option Volatility for Future Stock Volatility," Sustainability, MDPI, vol. 12(12), pages 1-23, June.
    7. Wong, Alfred, 2019. "Currency jumps, Euribor-OIS spreads and the volatility skew: A study on the dollar-euro crash risk of 2007–2015," Finance Research Letters, Elsevier, vol. 29(C), pages 7-16.
    8. Shu-Fang Yuan, 2024. "Realized higher moments and trading activity," Review of Quantitative Finance and Accounting, Springer, vol. 62(3), pages 971-1005, April.
    9. Alexandridis, Antonios K. & Apergis, Iraklis & Panopoulou, Ekaterini & Voukelatos, Nikolaos, 2023. "Equity premium prediction: The role of information from the options market," Journal of Financial Markets, Elsevier, vol. 64(C).
    10. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    11. José Afonso Faias & Tiago Castel-Branco, 2018. "Out-Of-Sample Stock Return Prediction Using Higher-Order Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-27, September.
    12. Wen Jin & Joshua Livnat & Yuan Zhang, 2012. "Option Prices Leading Equity Prices: Do Option Traders Have an Information Advantage?," Journal of Accounting Research, Wiley Blackwell, vol. 50(2), pages 401-432, May.
    13. Chen, Chen & Lee, Hsiu-Chuan & Liao, Tzu-Hsiang, 2016. "Risk-neutral skewness and market returns: The role of institutional investor sentiment in the futures market," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 203-225.
    14. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
    15. Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald, 2009. "Risk minimization in stochastic volatility models: model risk and empirical performance," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 693-704.
    16. Luiz Félix & Roman Kräussl & Philip Stork, 2020. "Implied volatility sentiment: a tale of two tails," Quantitative Finance, Taylor & Francis Journals, vol. 20(5), pages 823-849, May.
    17. Chen, Steven Shu-Hsiu, 2024. "International crash risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 94(C).
    18. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2021. "Realized skewness and the short-term predictability for aggregate stock market volatility," Economic Modelling, Elsevier, vol. 103(C).
    19. Doran, James S. & Ronn, Ehud I., 2008. "Computing the market price of volatility risk in the energy commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2541-2552, December.

  15. James Doran & Ehud Ronn, 2005. "The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets," Review of Derivatives Research, Springer, vol. 8(3), pages 177-198, December.

    Cited by:

    1. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, October.
    2. Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
    3. Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
    4. Luo, Xingguo & Ye, Zinan, 2015. "Predicting volatility of the Shanghai silver futures market: What is the role of the U.S. options market?," Finance Research Letters, Elsevier, vol. 15(C), pages 68-77.
    5. Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(2), October.
    6. Haugom, Erik & Langeland, Henrik & Molnár, Peter & Westgaard, Sjur, 2014. "Forecasting volatility of the U.S. oil market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 1-14.
    7. Janis Back & Marcel Prokopczuk & Markus Rudolf, 2011. "Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options," ICMA Centre Discussion Papers in Finance icma-dp2011-16, Henley Business School, University of Reading.
    8. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay, 2014. "Crude oil moments and PNG stock returns," Energy Economics, Elsevier, vol. 44(C), pages 222-235.
    9. Libo Yin, 2022. "The role of intermediary capital risk in predicting oil volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 401-416, January.
    10. Banerjee, Prithviraj S. & Doran, James S. & Peterson, David R., 2007. "Implied volatility and future portfolio returns," Journal of Banking & Finance, Elsevier, vol. 31(10), pages 3183-3199, October.
    11. Liu, Zhichao & Ma, Feng & Long, Yujia, 2015. "High and low or close to close prices? Evidence from the multifractal volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 427(C), pages 50-61.
    12. Roncoroni, Andrea & Prokopczuk, Marcel & Ronn, Ehud I., 2018. "Introduction—special issue on commodity and energy markets in the Journal of Banking and Finance," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 1-4.
    13. Andy Fodor & James S. Doran & James M. Carson & David P. Kirch, 2013. "On the Demand for Portfolio Insurance," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(2), pages 167-193, September.
    14. Doran, James S. & Ronn, Ehud I., 2008. "Computing the market price of volatility risk in the energy commodity markets," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2541-2552, December.
    15. Slim, Skander & Dahmene, Meriam & Boughrara, Adel, 2020. "How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 22-37.
    16. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.

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