Scott Murray

J. Mack Robinson College of Business - Georgia State University

Assistant Professor of Finance

35 Broad St. NW

Atlanta, GA 30303

United States

SCHOLARLY PAPERS

9

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CITATIONS
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6

Scholarly Papers (9)

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Number of pages: 71 Posted: 22 Mar 2010 Last Revised: 09 Jul 2013
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and J. Mack Robinson College of Business - Georgia State University
Downloads 975 (16,503)
Citation 6

Abstract:

Cross-Section of Expected Returns, Risk-Neutral Skewness

Does Risk-Neutral Skewness Predict the Cross-Section of Equity Option Portfolio Returns?

Number of pages: 72 Posted: 30 Jan 2012 Last Revised: 25 Apr 2012
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and J. Mack Robinson College of Business - Georgia State University
Downloads 340 (67,742)
Citation 6

Abstract:

Cross-Section of Expected Returns, Risk-Neutral Skewness

2.

A Lottery Demand-Based Explanation of the Beta Anomaly

Georgetown McDonough School of Business Research Paper No. 2408146
Number of pages: 104 Posted: 13 Mar 2014 Last Revised: 03 Dec 2016
Turan G. Bali, Stephen Brown, Scott Murray and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business, J. Mack Robinson College of Business - Georgia State University and Fordham University - Gabelli School of Business
Downloads 907 (6,735)

Abstract:

Beta, Beta Anomaly, Lottery Demand, Stock Returns, Institutional Ownership

3.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 75 Posted: 09 Sep 2013 Last Revised: 13 Jan 2016
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and J. Mack Robinson College of Business - Georgia State University
Downloads 905 (9,337)

Abstract:

Risk-Neutral Moments, Option-Implied Risk, Ex-Ante Expected Stock Returns, Price Targets

4.

The Information Content of Option Prices Regarding Future Stock Return Serial Correlation

Number of pages: 61 Posted: 27 Jan 2014
Scott Murray
J. Mack Robinson College of Business - Georgia State University
Downloads 331 (50,307)

Abstract:

Implied Volatility, Serial Correlation

5.

Systematic and Idiosyncratic Risk in the Cross-Section of Price Target Expected Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 49 Posted: 14 Nov 2012 Last Revised: 04 Jun 2013
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and J. Mack Robinson College of Business - Georgia State University
Downloads 204 (88,015)

Abstract:

Expected Stock Returns, Price Targets, Systematic Risk, Idiosyncratic Risk, Co-Skewness

6.

A Margin Requirement Based Return Calculation for Portfolios of Short Option Positions

Number of pages: 80 Posted: 17 Jun 2011 Last Revised: 12 Mar 2013
Scott Murray
J. Mack Robinson College of Business - Georgia State University
Downloads 184 (112,867)

Abstract:

Margin Requirements, Short Option Returns, Volatility Risk Premium

7.

Analyst Price Target Expected Returns and Option Implied Risk

Georgetown McDonough School of Business Research Paper No. 2516937
Number of pages: 71 Posted: 01 Nov 2014 Last Revised: 07 Jan 2015
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and J. Mack Robinson College of Business - Georgia State University
Downloads 113 (140,796)

Abstract:

Risk-Neutral Moments, Option-Implied Risk, Ex-Ante Expected Stock Returns, Price Targets

8.

The Risk-Neutral Distribution of Option Returns

Number of pages: 59 Posted: 22 Jan 2017 Last Revised: 25 Jan 2017
Georgetown University - Robert Emmett McDonough School of Business, Fordham University, University of Massachusetts Amherst - Isenberg School of Management and J. Mack Robinson College of Business - Georgia State University
Downloads 0 (312,150)

Abstract:

Risk-Neutral Distribution, Option Returns

9.

Bear Beta

Number of pages: 54 Posted: 20 Nov 2016
Zhongjin Lu and Scott Murray
University of Georgia - Department of Banking and Finance and J. Mack Robinson College of Business - Georgia State University
Downloads 0 (143,763)

Abstract:

Arrow-Debreu State Prices, Bear Beta, Bear Market Risk, Downside Risk, Factor Models