Scott Murray

Georgia State University

35 Broad Street

Atlanta, GA 30303-3083

United States

SCHOLARLY PAPERS

10

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CITATIONS
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SSRN RANKINGS

Top 36,289

in Total Papers Citations

5

Scholarly Papers (10)

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 Georgia State University
Downloads 1,058 (16,050)
Citation 5

Abstract:

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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 Georgia State University
Downloads 359 (68,891)
Citation 5

Abstract:

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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, Georgia State University and Fordham University - Gabelli School of Business
Downloads 907 (5,690)

Abstract:

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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: 82 Posted: 09 Sep 2013 Last Revised: 14 Aug 2017
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 Georgia State University
Downloads 905 (7,427)

Abstract:

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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
Georgia State University
Downloads 331 (52,602)

Abstract:

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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 Georgia State University
Downloads 204 (91,125)

Abstract:

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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
Georgia State University
Downloads 184 (116,676)

Abstract:

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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 Georgia State University
Downloads 113 (136,608)

Abstract:

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

8.

The Bond Pricing Implications of Rating-Based Capital Requirements

Number of pages: 46 Posted: 28 Jun 2017 Last Revised: 29 Oct 2017
Scott Murray and Stanislava Nikolova
Georgia State University and University of Nebraska - Lincoln
Downloads 0 (375,121)

Abstract:

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Corporate bonds, asset pricing, systematic risk, risk-based capital, credit ratings, insurance companies, regulatory arbitrage

9.

The Risk-Neutral Distribution of Option Returns

Georgetown McDonough School of Business Research Paper No. 2902209
Number of pages: 59 Posted: 22 Jan 2017 Last Revised: 26 Feb 2017
Georgetown University - Robert Emmett McDonough School of Business, Fordham University, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 0 (237,923)

Abstract:

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Risk-Neutral Distribution, Option Returns

10.

Bear Beta

Number of pages: 113 Posted: 20 Nov 2016 Last Revised: 28 Sep 2017
Zhongjin Lu and Scott Murray
University of Georgia - Department of Banking and Finance and Georgia State University
Downloads 0 (72,363)

Abstract:

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