Sophie Xiaoyan Ni

Hong Kong Baptist University (HKBU)

SCHOLARLY PAPERS

13

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CITATIONS
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101

Scholarly Papers (13)

1.

Stock Price Clustering on Option Expiration Dates

AFA 2005 Philadelphia Meetings
Number of pages: 53 Posted: 22 Mar 2004
Sophie Xiaoyan Ni, Neil D. Pearson and Allen M. Poteshman
Hong Kong Baptist University (HKBU), University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 4,678 (1,654)
Citation 3

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Stock price clustering, Option expiration, Hedging, Manipulation

2.
Downloads 2,507 ( 4,870)
Citation 1

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, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management
Downloads 2,482 (4,847)

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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, Singapore Management University - Lee Kong Chian School of Business, Hong Kong Baptist University (HKBU), Columbia University and Quantitative Investment Strategies, Goldman Sachs Asset Management
Downloads 25 (504,989)
Citation 1

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3.
Downloads 1,335 ( 13,852)
Citation 20

Stock Option Returns: A Puzzle

Number of pages: 51 Posted: 24 Jan 2007
Sophie Xiaoyan Ni
Hong Kong Baptist University (HKBU)
Downloads 705 (34,558)
Citation 6

Abstract:

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Stock Options, Derivatives, Skewness, Risk Seeking

Stock Option Returns: A Puzzle

Number of pages: 56 Posted: 27 Aug 2008
Sophie Xiaoyan Ni
Hong Kong Baptist University (HKBU)
Downloads 434 (64,848)
Citation 5

Abstract:

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Stock Options, Skewness, Derivatives, Prospect Theory

Stock Option Returns: A Puzzle

Number of pages: 56 Posted: 19 Feb 2009
Sophie Xiaoyan Ni
Hong Kong Baptist University (HKBU)
Downloads 196 (153,541)
Citation 10

Abstract:

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Options, Idiosyncratic skewness, Derivatives, Behavioral study

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

Number of pages: 53 Posted: 10 Nov 2016 Last Revised: 21 Oct 2018
Hong Kong Baptist University (HKBU), 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 318 (93,356)

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

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: 24 Mar 2019
Hui Chen, Scott Joslin and Sophie Xiaoyan Ni
Massachusetts Institute of Technology, University of Southern California and Hong Kong Baptist University (HKBU)
Downloads 1,235 (15,304)
Citation 3

Abstract:

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

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

NBER Working Paper No. w25573
Number of pages: 49 Posted: 26 Feb 2019
Hui Chen, Scott Joslin and Sophie Xiaoyan Ni
Massachusetts Institute of Technology, University of Southern California and Hong Kong Baptist University (HKBU)
Downloads 4 (645,687)
Citation 1
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6.
Downloads 656 ( 38,618)
Citation 3

Volatility Information Trading in the Option Market

Number of pages: 36 Posted: 06 Oct 2005
Sophie Xiaoyan Ni, Jun Pan and Allen M. Poteshman
Hong Kong Baptist University (HKBU), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 656 (38,037)
Citation 3

Abstract:

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options, derivatives, information, volatility

Volatility Information Trading in the Option Market

Journal of Finance, 2008
Posted: 28 Aug 2008
Sophie Xiaoyan Ni, Jun Pan and Allen M. Poteshman
Hong Kong Baptist University (HKBU), Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and University of Illinois at Urbana-Champaign - Department of Finance

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Volatility, Stock Options, Deriviatives, Information

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 Xiaoyan Ni
University of Utah - Department of Finance and Hong Kong Baptist University (HKBU)
Downloads 341 (86,311)
Citation 5

Abstract:

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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 Xiaoyan Ni
University of Utah - Department of Finance and Hong Kong Baptist University (HKBU)

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Options, Volatility Smile, Sentiment, Speculation, Hedging

8.

Trading Options and CDS on Stocks under the Short Sale Ban

Number of pages: 32 Posted: 04 Aug 2010 Last Revised: 17 May 2019
Sophie Xiaoyan Ni and Jun Pan
Hong Kong Baptist University (HKBU) and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 256 (118,430)
Citation 18

Abstract:

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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 Xiaoyan Ni
University of Utah - Department of Finance and Hong Kong Baptist University (HKBU)
Downloads 174 (171,166)

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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 Xiaoyan Ni
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 145 (199,673)

Abstract:

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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 Xiaoyan Ni
CUHK Business School, University of Macau - Department of Finance and Business Economics and Hong Kong Baptist University (HKBU)
Downloads 67 (335,076)
Citation 1

Abstract:

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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: 20 Apr 2018
Sophie Xiaoyan Ni
Hong Kong Baptist University (HKBU)
Downloads 43 (410,477)

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Derivatives, Options, Information Efficiency, Transaction Costs

13.

Idiosyncratic Skewness Preference or Measurement Error? Evidence from the Options Market

Number of pages: 30 Posted: 12 May 2018
Kalok Chan and Sophie Xiaoyan Ni
CUHK Business School and Hong Kong Baptist University (HKBU)
Downloads 30 (464,518)

Abstract:

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Options, Skewness Seeking, Measure Error