Scott Murray

Georgia State University

35 Broad Street

Atlanta, GA 30303-3083

United States

  • Georgia State University

SCHOLARLY PAPERS

14

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Top 4,757

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16,736

TOTAL CITATIONS
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SSRN RANKINGS

Top 4,866

in Total Papers Citations

237

Scholarly Papers (14)

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1.

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

Georgetown McDonough School of Business Research Paper
Number of pages: 67 Posted: 09 Sep 2013 Last Revised: 23 Jan 2019
Turan G. Bali, Jianfeng Hu and Scott Murray
Georgetown University - McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 4,304 (4,795)
Citation 37

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

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 J. Brown, Scott Murray and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 3,406 (7,059)
Citation 121

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

3.

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

Downloads 2,412 (12,195)
Citation 28

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 - McDonough School of Business and Georgia State University
Downloads 1,936 (16,971)
Citation 8

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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 - McDonough School of Business and Georgia State University
Downloads 476 (119,596)
Citation 20

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Cross-Section of Expected Returns, Risk-Neutral Skewness

4.

Charting By Machines

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 168 Posted: 26 May 2021 Last Revised: 25 Oct 2023
Scott Murray, Yusen Xia and Houping Xiao
Georgia State University, Georgia State University - Robinson College of Business and Georgia State University - J. Mack Robinson College of Business
Downloads 1,403 (28,269)
Citation 9

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Efficient market hypothesis, machine learning, deep learning, charting, technical analysis, cross section of stock returns

5.

A Factor Model for Stock Returns Based on Option Prices

Number of pages: 68 Posted: 01 Dec 2019 Last Revised: 13 May 2022
Turan G. Bali, Fousseni Chabi-Yo and Scott Murray
Georgetown University - McDonough School of Business, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 954 (49,314)
Citation 1

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Factor model, option prices, cross section of stock returns

6.

Bear Beta

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 127 Posted: 20 Nov 2016 Last Revised: 05 Feb 2021
Zhongjin Lu and Scott Murray
University of Georgia - C. Herman and Mary Virginia Terry College of Business and Georgia State University
Downloads 945 (49,973)
Citation 24

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

7.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Turan G. Bali, Stephen J. Brown, Scott Murray and Yi Tang
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 563 (98,423)
Citation 7

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Beta, Betting Against Beta, Lottery Demand, Stock Returns, Funding Liquidity

8.

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 553 (100,618)

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Implied Volatility, Serial Correlation

9.

The Bond Pricing Implications of Rating-Based Capital Requirements

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 133 Posted: 28 Jun 2017 Last Revised: 25 Jan 2021
Scott Murray and Stanislava (Stas) Nikolova
Georgia State University and University of Nebraska-Lincoln
Downloads 501 (113,559)
Citation 5

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

10.

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
Turan G. Bali, Nusret Cakici, Fousseni Chabi-Yo and Scott Murray
Georgetown University - McDonough School of Business, Fordham university, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 420 (140,014)
Citation 1

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Risk-Neutral Distribution, Option Returns

11.

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 - McDonough School of Business and Georgia State University
Downloads 368 (162,436)
Citation 1

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

12.

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 340 (177,067)

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Margin Requirements, Short Option Returns, Volatility Risk Premium

13.

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 - McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 306 (199,572)

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

14.

Betting Against Other Betas

Number of pages: 85 Posted: 10 Mar 2020 Last Revised: 25 Apr 2023
Scott Murray
Georgia State University
Downloads 261 (233,350)
Citation 3

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Betting Against Beta, Security Market Line, Security Market Plane, Arbitrage Portfolios, Factor Models, Arbitrage Pricing Theory