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Doran, James S.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
15,371 |
Total
Citations
108 |
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1.
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Doran, James S.
Florida State University - Department of Finance Ronn, Ehud I.
University of Texas at Austin - Department of Finance
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10 Dec 04
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Last Revised:
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26 Feb 09
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1,726
(3,616)
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9
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Derivatives, volatility, energy, options
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2.
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Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University
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04 Jan 06
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Last Revised:
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16 Jul 08
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1,432
(5,065)
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1
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Portfolio Returns, Option Strategies, Option Pricing, Sharpe Ratios, S&P 500
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3.
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Doran, James S.
Florida State University - Department of Finance Banerjee, Prithviraj
Florida State University - Department of Finance Peterson, David R.
Florida State University - Department of Finance
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21 Apr 06
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Last Revised:
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26 Feb 09
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1,363
(5,521)
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15
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Risk Premium, Implied Volatility, VIX Index, Portfolio Returns
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4.
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Doran, James S.
Florida State University - Department of Finance Ronn, Ehud I.
University of Texas at Austin - Department of Finance
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08 Dec 04
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Last Revised:
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16 Jul 08
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1,153
(7,292)
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10
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Option pricing, volatility, energy, derivatives
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5.
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Doran, James S.
Florida State University - Department of Finance Tarrant, Brian C.
Central Michigan University Peterson, David R.
Florida State University - Department of Finance
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17 Jan 06
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Last Revised:
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05 Jun 09
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1,132
(7,539)
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11
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Volatility Skew, Option Pricing, S&P 100, Market Crashes, OEX
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6.
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Doran, James S.
Florida State University - Department of Finance Diavatopoulos, Dean
Villanova University - Department of Finance Peterson, David R.
Florida State University - Department of Finance
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30 Dec 06
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Last Revised:
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03 Aug 10
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942
(10,170)
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15
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implied volatility, idiosyncratic volatility, portfolio returns
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7.
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Doran, James S.
Florida State University - Department of Finance Boney, Vaneesha
University of Denver Peterson, David R.
Florida State University - Department of Finance
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668
(17,095)
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5
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Mutual Funds, Index Funds, ETF, SPY, Flow of Funds
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8.
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A Simple Model for Time - Varying Expected Returns on the S&P 500 Index
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Doran, James S.
Florida State University - Department of Finance Ronn, Ehud I.
University of Texas at Austin - Department of Finance Goldberg, Robert S.
Adelphi University - School of Business
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Posted:
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29 Aug 05
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Last Revised:
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11 Nov 09
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592
(20,305)
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4
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Doran, James S.
Florida State University - Department of Finance Ronn, Ehud I.
University of Texas at Austin - Department of Finance Goldberg, Robert S.
Adelphi University - School of Business
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0
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Equity risk-premium, time-varying expected returns, conditional volatility
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Doran, James S.
Florida State University - Department of Finance Ronn, Ehud I.
University of Texas at Austin - Department of Finance Goldberg, Robert S.
Adelphi University - School of Business
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29 Aug 05
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Last Revised:
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26 Feb 09
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592
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4
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Risk Premium, Time-Series, Growth-Rates, S&P 500, VIX Index
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9.
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Clark, Jeffrey A.
Florida State University - College of Business Doran, James S.
Florida State University - Department of Finance DeLisle, Jared
Washington State University - Department of Finance, Insurance and Real Estate
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| Posted: |
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22 Jan 08
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Last Revised:
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17 Jul 08
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543
(22,796)
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1
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Implied Volatility, Bank Risk, Derivative Use
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10.
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Doran, James S.
Florida State University - Department of Finance
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535
(23,269)
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1
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Risk Premium, Option Pricing, Simulated Method of Moments, Natural Gas
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11.
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Diavatopoulos, Dean
Villanova University - Department of Finance Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University Peterson, David R.
Florida State University - Department of Finance
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523
(24,026)
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6
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Earnings announcements, Option Prices, Higher-Order Moments
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12.
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Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University
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29 Sep 07
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Last Revised:
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03 Aug 10
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466
(27,926)
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5
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Option Prices, Idiosyncratic Volatility Risk, Portfolio Returns
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13.
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Doran, James S.
Florida State University - Department of Finance Carson, James M.
University of Georgia Peterson, David R.
Florida State University - Department of Finance
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456
(28,766)
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1
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Market crash risk, Implied volatility skew, Investments, Dynamic Hedging, Insurer financial strength
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14.
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Doran, James S.
Florida State University - Department of Finance Jiang, Danling
Florida State University - The College of Business Peterson, David R.
Florida State University - Department of Finance
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24 Sep 07
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Last Revised:
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01 Feb 12
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400
(34,034)
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3
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Idiosyncratic Volatility, Short-Sale Constraints, IPO Lockup, Option Introduction, Short-Sale Ban
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15.
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The Influence of Tracking Error on Volatility Premium Estimation
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Versions (2)
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hide multiple versions |
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Doran, James S.
Florida State University - Department of Finance
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Posted:
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22 Feb 05
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Last Revised:
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16 Jul 08
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399
(34,127)
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4
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Doran, James S.
Florida State University - Department of Finance
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86
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4
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Volatility, risk premium, option pricing, nonparametric estimation, energy markets
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Doran, James S.
Florida State University - Department of Finance
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313
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4
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Volatility, risk premium, option pricing, nonparametric estimation, energy markets
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16.
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Price, S. McKay
Lehigh University - Perella Department of Finance Doran, James S.
Florida State University - Department of Finance Peterson, David R.
Florida State University - Department of Finance Bliss, Barbara A.
Florida State University
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| Posted: |
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18 Jun 10
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Last Revised:
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25 Feb 12
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397
(34,317)
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3
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Conference calls, Disclosure, Content analysis, Textual analysis, Stock returns, Post-earnings-announcement drift
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17.
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Do Option Open-Interest Changes Foreshadow Future Equity Returns?
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Versions (2)
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hide multiple versions |
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Fodor, Andy
Ohio University Krieger, Kevin
Ohio University Doran, James S.
Florida State University - Department of Finance
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Posted:
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04 Jul 10
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Last Revised:
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29 Aug 11
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283
(51,541)
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Fodor, Andy
Ohio University Krieger, Kevin
Ohio University Doran, James S.
Florida State University - Department of Finance
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0
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options, open interest, market efficiency, investor sentiment
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Fodor, Andy
Ohio University Krieger, Kevin
Ohio University Doran, James S.
Florida State University - Department of Finance
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| Posted: |
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04 Jul 10
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Last Revised:
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15 Jul 10
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283
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18.
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Doran, James S.
Florida State University - Department of Finance Doran, David R.
Chicago Mercantile Exchange
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281
(51,937)
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Wage Inequality, Discrimination, NFL
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19.
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Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University Jiang, Danling
Florida State University - The College of Business
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| Posted: |
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15 Jul 10
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Last Revised:
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27 Feb 13
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259
(56,916)
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Implied Volatility Spread, Stock Returns, Option Returns, Option Demand
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20.
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Doran, James S.
Florida State University - Department of Finance Wright, Colbrin
Brigham Young University
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252
(58,704)
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Market Anomalies, Market Efficiency, Metafinance, Behavioral Finance
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21.
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Option Market Efficiency and Analyst Recommendations
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Versions (2)
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hide multiple versions |
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Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University Krieger, Kevin
Ohio University
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Posted:
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11 Sep 08
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Last Revised:
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13 Jul 10
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241
(61,490)
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2
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Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University Krieger, Kevin
Ohio University
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1
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2
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Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University Krieger, Kevin
Ohio University
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240
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2
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Analyst Recommendations, Market Efficiency, Option Returns
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22.
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Fodor, Andy
Ohio University Doran, James S.
Florida State University - Department of Finance Carson, James M.
University of Georgia Kirch, David
University of Georgia
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| Posted: |
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09 Jul 10
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Last Revised:
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08 Oct 12
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241
(61,490)
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Portfolio Insurance, Hedging, Volatility, VIX
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23.
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Doran, James S.
Florida State University - Department of Finance Jiang, Danling
Florida State University - The College of Business Peterson, David R.
Florida State University - Department of Finance
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| Posted: |
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04 Feb 08
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Last Revised:
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26 Nov 12
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205
(73,288)
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5
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January effect, Gambling, Preference for skewness, Out-of-the-money options, China
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24.
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Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University Stowe, David L.
University of Missouri at Columbia - Department of Finance Stowe, John D.
Ohio University
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175
(84,984)
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Dividend Cuts, Dividend Omissions, Implied Dividends
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25.
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Doran, James S.
Florida State University - Department of Finance Fodor, Andy
Ohio University Peterson, David R.
Florida State University - Department of Finance
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146
(100,206)
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Employee Stock Options, Black-Scholes, Volatility, Firm Risk
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26.
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Earnings Conference Call Content and Stock Price: The Case of REITs
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Show Abstracts |
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Versions (2)
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hide multiple versions |
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Doran, James S.
Florida State University - Department of Finance Peterson, David R.
Florida State University - Department of Finance Price, S. McKay
Lehigh University - Perella Department of Finance
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Posted:
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16 Jun 10
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Last Revised:
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28 Aug 12
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139
(104,505)
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3
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Doran, James S.
Florida State University - Department of Finance Peterson, David R.
Florida State University - Department of Finance Price, S. McKay
Lehigh University - Perella Department of Finance
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0
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REITs, Conference calls, Content analysis, Tone
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Doran, James S.
Florida State University - Department of Finance Peterson, David R.
Florida State University - Department of Finance Price, S. McKay
Lehigh University - Perella Department of Finance
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| Posted: |
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16 Jun 10
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Last Revised:
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08 Aug 12
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139
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3
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REITs, Conference Calls, Content Analysis, Tone
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27.
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Market Discipline in the Individual Annuity Market
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Carson, James M.
University of Georgia Doran, James S.
Florida State University - Department of Finance Dumm, Randy E.
Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law
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Posted:
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02 Sep 05
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Last Revised:
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09 Apr 12
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125
(114,135)
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Carson, James M.
University of Georgia Doran, James S.
Florida State University - Department of Finance Dumm, Randy E.
Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law
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0
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Carson, James M.
University of Georgia Doran, James S.
Florida State University - Department of Finance Dumm, Randy E.
Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law
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02 Sep 05
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Last Revised:
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28 Jul 10
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125
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Market discipline, life annuities, guaranty fund, suitability
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28.
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DeLisle, Jared
Washington State University - Department of Finance, Insurance and Real Estate Doran, James S.
Florida State University - Department of Finance Peterson, David R.
Florida State University - Department of Finance
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| Posted: |
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04 Jan 11
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Last Revised:
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02 Apr 11
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103
(132,367)
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asset pricing, risk-neutral moments, systematic volatility, systematic skewness, systematic kurtosis, expected returns
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29.
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DeLisle, Jared
Washington State University - Department of Finance, Insurance and Real Estate Doran, James S.
Florida State University - Department of Finance Peterson, David R.
Florida State University - Department of Finance
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| Posted: |
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04 Aug 10
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Last Revised:
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15 Nov 12
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87
(148,295)
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3
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Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing
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30.
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DeLisle, Jared
Washington State University - Department of Finance, Insurance and Real Estate Doran, James S.
Florida State University - Department of Finance Peterson, David R.
Florida State University - Department of Finance
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63
(179,159)
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1
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Asset Pricing, Implied Market Skewness, Implied Market Volatility, Risk Neutral Market Moments, Portfolio Selection
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31.
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Davis, Justin L.
Ohio University Fodor, Andy
Ohio University Doran, James S.
Florida State University - Department of Finance
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44
(211,610)
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Status Anxiety, Investor Fear, Market Volatility, Agency Theory, Implied Volatility, SEC, Fraud, Accounting Fraud, Financial Fraud, Corporate Deviance, Enron, Arthur Andersen, Audit Quality, Auditor Quality
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32.
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Implications for Asset Returns in the Implied Volatility Skew
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Show Abstracts |
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Versions (2)
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hide multiple versions |
Export Bibliographic Info |
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Doran, James S.
Florida State University - Department of Finance Krieger, Kevin
Florida State University - Department of Finance
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Posted:
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09 Dec 09
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Last Revised:
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16 Feb 10
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Doran, James S.
Florida State University - Department of Finance Krieger, Kevin
Florida State University - Department of Finance
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0
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Equity Investments, Fundamental Analysis and Valuation Models, Research Sources, Portfolio Management, Equity Strategies
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Doran, James S.
Florida State University - Department of Finance Krieger, Kevin
Florida State University - Department of Finance
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0
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Option Prices, Implied Volatility Skew, Portfolio Returns
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