David R. Peterson

Florida State University - Department of Finance

Professor

Tallahassee, FL 32306-1042

United States

  • Florida State University - Department of Finance

    • Email
    • Tel: 850-644-8200
    • Fax: 850-644-4225
SCHOLARLY PAPERS

22

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13,150

SSRN CITATIONS
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in Total Papers Citations

151

CROSSREF CITATIONS

133

Scholarly Papers (22)

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1.

Implied Volatility and Future Portfolio Returns

Journal of Banking and Finance, Vol. 31, October 2007
Number of pages: 28 Posted: 21 Apr 2006 Last Revised: 26 Feb 2009
James Doran, Prithviraj Banerjee and David R. Peterson
University of New South Wales, Florida State University - Department of Finance and Florida State University - Department of Finance
Downloads 2,022 (13,921)
Citation 5

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Risk Premium, Implied Volatility, VIX Index, Portfolio Returns

2.

Is There Information in the Volatility Skew?

Journal of Futures Markets, Vol. 27, pp.921-960, October 2007
Number of pages: 43 Posted: 17 Jan 2006 Last Revised: 05 Jun 2009
James Doran, Brian C. Tarrant, Brian C. Tarrant and David R. Peterson
University of New South Wales, Florida State University - Department of FinanceCentral Michigan University and Florida State University - Department of Finance
Downloads 1,908 (15,244)
Citation 7

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Volatility Skew, Option Pricing, S&P 100, Market Crashes, OEX

3.

Earnings Conference Calls and Stock Returns: The Incremental Informativeness of Textual Tone

Journal of Banking and Finance, Vol. 36, No. 4, pp. 992-1011, 2012
Number of pages: 66 Posted: 18 Jun 2010 Last Revised: 25 Feb 2012
S. McKay Price, James Doran, David R. Peterson and Barbara A. Bliss
Lehigh University - Perella Department of Finance, University of New South Wales, Florida State University - Department of Finance and University of San Diego
Downloads 1,640 (19,301)
Citation 71

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Conference calls, Disclosure, Content analysis, Textual analysis, Stock returns, Post-earnings-announcement drift

4.

The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option Markets

Journal of Futures Markets Vol. 28, pp.1013-1039, October 2008
Number of pages: 33 Posted: 30 Dec 2006 Last Revised: 15 Dec 2014
Dean Diavatopoulos, James Doran and David R. Peterson
Seattle University, University of New South Wales and Florida State University - Department of Finance
Downloads 1,272 (28,257)
Citation 3

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implied volatility, idiosyncratic volatility, portfolio returns

5.

Do Hedge Funds Arbitrage Market Anomalies?

Number of pages: 41 Posted: 09 Jan 2008 Last Revised: 26 Oct 2009
Andy Fodor, Dan Lawson and David R. Peterson
Ohio University, Gonzaga University and Florida State University - Department of Finance
Downloads 1,024 (38,563)
Citation 2

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hedge funds, market anomalies, arbitrage, asset growth, earnings momentum

6.

The Effect of the Spider Exchange Traded Fund on the Cash Flow of Funds of S&P Index Mutual Funds

Number of pages: 32 Posted: 31 Jan 2006
James Doran, Vaneesha Boney and David R. Peterson
University of New South Wales, University of Denver and Florida State University - Department of Finance
Downloads 874 (48,040)
Citation 6

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Mutual Funds, Index Funds, ETF, SPY, Flow of Funds

7.

The Information Content of Implied Skewness and Kurtosis Changes Prior to Earnings Announcements for Stock and Option Returns

Number of pages: 36 Posted: 02 Dec 2008
Dean Diavatopoulos, James Doran, Andy Fodor and David R. Peterson
Seattle University, University of New South Wales, Ohio University and Florida State University - Department of Finance
Downloads 828 (51,827)
Citation 9

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Earnings announcements, Option Prices, Higher-Order Moments

8.

Market Crash Risk and Implied Volatility Skewness: Evidence and Implications for Insurer Investments

Number of pages: 27 Posted: 22 Apr 2006
James Doran, James M. Carson and David R. Peterson
University of New South Wales, University of Georgia and Florida State University - Department of Finance
Downloads 622 (75,277)
Citation 1

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Market crash risk, Implied volatility skew, Investments, Dynamic Hedging, Insurer financial strength

9.

Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach

Journal of Empirical Finance, 2014 (28): 36-59
Number of pages: 56 Posted: 24 Sep 2007 Last Revised: 16 Jul 2014
Danling Jiang, David R. Peterson and James Doran
College of Business, Stony Brook University, Florida State University - Department of Finance and University of New South Wales
Downloads 556 (86,589)
Citation 7

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Idiosyncratic Volatility, Short-Sale Constraints, IPO Lockup, Option Introduction, Short-Sale Ban

10.

Gambling Preference and the New Year Effect of Assets with Lottery Features

Review of Finance, 2012, 16(3), 685-731.
Number of pages: 63 Posted: 04 Feb 2008 Last Revised: 26 Nov 2012
James Doran, Danling Jiang and David R. Peterson
University of New South Wales, College of Business, Stony Brook University and Florida State University - Department of Finance
Downloads 416 (122,726)
Citation 8

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January effect, Gambling, Preference for skewness, Out-of-the-money options, China

11.

Changes in Cash Holdings Around the S&P 500 Additions

Journal of Banking and Finance, Vol. 37, No. 5, 2013
Number of pages: 21 Posted: 24 Sep 2011 Last Revised: 26 Mar 2013
Eric R. Brisker, Gonul Colak and David R. Peterson
The University of Akron, University of Sussex and Florida State University - Department of Finance
Downloads 360 (144,421)
Citation 3

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cash holdings, corporate governance, liquidity policy, S&P 500 Index

12.

Earnings Conference Call Content and Stock Price: The Case of REITs

Downloads 316 (166,130)
Citation 1

Earnings Conference Call Content and Stock Price: The Case of REITs

Journal of Real Estate Finance and Economics, Vol. 45, No. 2, pp. 402-434, 2012
Number of pages: 58 Posted: 16 Jun 2010 Last Revised: 08 Aug 2012
James Doran, David R. Peterson and S. McKay Price
University of New South Wales, Florida State University - Department of Finance and Lehigh University - Perella Department of Finance
Downloads 316 (165,041)
Citation 1

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REITs, Conference Calls, Content Analysis, Tone

Earnings Conference Call Content and Stock Price: The Case of REITs

Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012
Posted: 28 Aug 2012
James Doran, David R. Peterson and S. McKay Price
University of New South Wales, Florida State University - Department of Finance and Lehigh University - Perella Department of Finance

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REITs, Conference calls, Content analysis, Tone

13.

Insiders versus Outsiders with Employee Stock Options: Who Knows Best About Future Firm Risk and Implications for Stock Returns

Number of pages: 26 Posted: 19 Feb 2007
James Doran, Andy Fodor and David R. Peterson
University of New South Wales, Ohio University and Florida State University - Department of Finance
Downloads 249 (211,840)
Citation 2

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Employee Stock Options, Black-Scholes, Volatility, Firm Risk

14.

Predicting Stock Splits with the Help of Prior Firm-Specific Experiences

Number of pages: 29 Posted: 25 Oct 2007
Kevin Krieger and David R. Peterson
University of West Florida and Florida State University - Department of Finance
Downloads 225 (233,679)

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Stock splits, prediction model, market efficiency

15.

Asymmetric Pricing of Implied Systematic Volatility in the Cross-Section of Expected Returns

Journal of Futures Markets 31 (January 2011), pp. 34-54
Number of pages: 32 Posted: 04 Aug 2010 Last Revised: 15 Nov 2012
Jared DeLisle, James Doran and David R. Peterson
Utah State University, University of New South Wales and Florida State University - Department of Finance
Downloads 218 (240,761)
Citation 6

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Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing

16.

The Effect of Securities Litigation on External Financing

Journal of Corporate Finance, Vol. 27, 2014
Number of pages: 45 Posted: 08 Jul 2013 Last Revised: 09 May 2015
Don M. Autore, Irena Hutton, David R. Peterson, Aimee Hoffmann Smith and Aimee Hoffmann Smith
Florida State University - College of Business, Florida State University - College of Business, Florida State University - Department of Finance and Boston CollegeBentley University - Department of Finance
Downloads 181 (284,798)
Citation 16

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Securities Litigation, External Financing, Information Asymmetry, Investment

17.

The Pricing of Risk-Neutral Systematic Moments in the Cross-Section of Expected Returns

Number of pages: 57 Posted: 04 Jan 2011 Last Revised: 02 Apr 2011
Jared DeLisle, James Doran and David R. Peterson
Utah State University, University of New South Wales and Florida State University - Department of Finance
Downloads 181 (284,798)
Citation 1

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asset pricing, risk-neutral moments, systematic volatility, systematic skewness, systematic kurtosis, expected returns

18.

Implied Systematic Moments and the Cross-Section of Stock Returns

Number of pages: 34 Posted: 10 Nov 2010
Jared DeLisle, James Doran and David R. Peterson
Utah State University, University of New South Wales and Florida State University - Department of Finance
Downloads 132 (369,526)
Citation 2

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Asset Pricing, Implied Market Skewness, Implied Market Volatility, Risk Neutral Market Moments, Portfolio Selection

19.

Executive Compensation Structure and the Motivations for Seasoned Equity Offerings

Journal of Banking and Finance 40, 330-345.
Number of pages: 45 Posted: 09 Jan 2014 Last Revised: 05 Feb 2014
Eric R. Brisker, Don M. Autore, Gonul Colak and David R. Peterson
The University of Akron, Florida State University - College of Business, University of Sussex and Florida State University - Department of Finance
Downloads 126 (382,806)
Citation 1

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Seasoned equity offerings; Executive compensation; Equity-based compensation

20.

Day-of-The-Week Autocorrelations, Cross-Autocorrelations, and the Weekend Phenomon

Posted: 16 Nov 1999
Eric James Higgins and David R. Peterson
Kansas State University - College of Business Administration and Florida State University - Department of Finance

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21.

The Cross-Autocorrelation of Size-Based Portfolio Returns is Not an Artifact of Portfolio Autocorrelation

Posted: 14 Sep 1998
Terry Richardson and David R. Peterson
Bowling Green State University - Department of Finance and Florida State University - Department of Finance

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22.

An Examination of Cross-Sectional Realized Stock Returns Using a Varying-Risk Beta Model

Posted: 14 Aug 1998
Shelly Howton and David R. Peterson
Villanova University - School of Business and Florida State University - Department of Finance

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