Sophie X. Ni

Hong Kong University of Science and Technology

Assistant Professor

Clearwater Bay

Kowloon

Hong Kong

http://sophiexni.googlepages.com

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 2,937

SSRN RANKINGS

Top 2,937

in Total Papers Downloads

10,090

CITATIONS
Rank 6,068

SSRN RANKINGS

Top 6,068

in Total Papers Citations

84

Scholarly Papers (12)

1.

Stock Price Clustering on Option Expiration Dates

AFA 2005 Philadelphia Meetings
Number of pages: 53 Posted: 22 Mar 2004
Hong Kong University of Science and Technology, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 4,042 (1,392)
Citation 22

Abstract:

Stock price clustering, Option expiration, Hedging, Manipulation

2.
Downloads 2,040 ( 5,246)

Days to Cover and Stock Returns

29th Australasian Finance and Banking Conference 2016
Number of pages: 63 Posted: 26 Feb 2015 Last Revised: 11 Nov 2016
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Hong Kong University of Science and Technology - Department of Finance, Hong Kong University of Science and Technology, Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management
Downloads 2,022 (5,198)

Abstract:

Days to Cover, Crowded Trades, Stock Returns

Days to Cover and Stock Returns

NBER Working Paper No. w21166
Number of pages: 51 Posted: 18 May 2015
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Hong Kong University of Science and Technology - Department of Finance, Hong Kong University of Science and Technology, Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management
Downloads 18 (464,914)

Abstract:

3.
Downloads 1,230 ( 12,224)
Citation 14

Stock Option Returns: A Puzzle

Number of pages: 51 Posted: 24 Jan 2007
Sophie X. Ni
Hong Kong University of Science and Technology
Downloads 656 (30,500)
Citation 14

Abstract:

Stock Options, Derivatives, Skewness, Risk Seeking

Stock Option Returns: A Puzzle

Number of pages: 56 Posted: 27 Aug 2008
Sophie X. Ni
Hong Kong University of Science and Technology
Downloads 401 (57,612)
Citation 14

Abstract:

Stock Options, Skewness, Derivatives, Prospect Theory

Stock Option Returns: A Puzzle

Number of pages: 56 Posted: 19 Feb 2009
Sophie X. Ni
Hong Kong University of Science and Technology
Downloads 173 (141,610)
Citation 14

Abstract:

Options, Idiosyncratic skewness, Derivatives, Behavioral study

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

Number of pages: 52 Posted: 10 Nov 2016
Hong Kong University of Science and Technology, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 96 (226,333)
Citation 4

Abstract:

option trading, option open interest, delta-hedging, pinning, stock return volatility

5.
Downloads 624 ( 33,107)
Citation 23

Volatility Information Trading in the Option Market

Number of pages: 36 Posted: 06 Oct 2005
Sophie X. Ni, Jun Pan and Allen M. Poteshman
Hong Kong University of Science and Technology, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 624 (32,607)
Citation 23

Abstract:

options, derivatives, information, volatility

Volatility Information Trading in the Option Market

Journal of Finance, 2008
Posted: 28 Aug 2008
Sophie X. Ni, Jun Pan and Allen M. Poteshman
Hong Kong University of Science and Technology, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

Volatility, Stock Options, Deriviatives, Information

6.

Demand for Crash Insurance, Intermediary Constraints, and Risk Premia in Financial Markets

AFA 2013 San Diego Meetings Paper
Number of pages: 68 Posted: 19 Mar 2012 Last Revised: 20 Jan 2016
Hui Chen, Scott Joslin and Sophie X. Ni
Massachusetts Institute of Technology, University of Southern California and Hong Kong University of Science and Technology
Downloads 556 (18,972)

Abstract:

Intermediary constraint, tail risk, SPX option, return predictability, supply shocks, leverage

The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options

EFA 2009 Bergen Meetings Paper
Number of pages: 51 Posted: 12 Feb 2009 Last Revised: 09 May 2014
Michael L. Lemmon and Sophie X. Ni
University of Utah - Department of Finance and Hong Kong University of Science and Technology
Downloads 313 (77,068)
Citation 11

Abstract:

Options, Volatility Smile, Sentiment, Speculation, Hedging

The Effects of Investor Sentiment on Speculative Trading and Prices of Stock and Index Options

AFA 2011 Denver Meetings Paper
Posted: 18 Mar 2010 Last Revised: 09 May 2014
Michael L. Lemmon and Sophie X. Ni
University of Utah - Department of Finance and Hong Kong University of Science and Technology

Abstract:

Options, Volatility Smile, Sentiment, Speculation, Hedging

8.

Trading Puts and CDS on Stocks with Short Sale Ban

Number of pages: 30 Posted: 04 Aug 2010 Last Revised: 23 Oct 2016
Sophie X. Ni and Jun Pan
Hong Kong University of Science and Technology and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 139 (122,810)
Citation 10

Abstract:

Short Sale, Options, CDS, Derivatives, Infomation

9.

Differences in Trading and Pricing between Stock and Index Options

Number of pages: 32 Posted: 09 May 2014
Michael Lemmon and Sophie X. Ni
University of Utah - Department of Finance and Hong Kong University of Science and Technology
Downloads 88 (173,791)

Abstract:

Options, Volatility Smile, Sentiment, Speculation, Behavior

10.

Does Option Trading Affect the Return Predictability of Short Selling Activity?

Number of pages: 39 Posted: 09 May 2014 Last Revised: 01 Dec 2016
Kalok Chan, Hung Wan Kot and Sophie X. Ni
CUHK Business School, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Hong Kong University of Science and Technology
Downloads 86 (201,714)

Abstract:

Short Sale Constraints, Behavioral, Market Efficiency, Options

11.

All are Smart: Do Short Sellers Convey More Information than Option Investors?

Number of pages: 45 Posted: 18 Mar 2011
Kalok Chan, Hung Wan Kot and Sophie X. Ni
CUHK Business School, City University of Hong Kong (CityUHK) - Department of Economics & Finance and Hong Kong University of Science and Technology
Downloads 24 (340,454)

Abstract:

Short Sale Constraints, Price Discovery, Options, Derivatives

12.

Cost Reduction, Informational Efficiency, and Prices of Options

Number of pages: 56 Posted: 19 Jul 2016 Last Revised: 06 Aug 2016
Sophie X. Ni
Hong Kong University of Science and Technology
Downloads 0 (386,163)

Abstract:

Derivatives, Options, Information Efficiency, Transaction Costs