Scott Murray

Georgia State University

35 Broad Street

Atlanta, GA 30303-3083

United States

SCHOLARLY PAPERS

11

DOWNLOADS
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8,494

CITATIONS
Rank 6,128

SSRN RANKINGS

Top 6,128

in Total Papers Citations

91

Scholarly Papers (11)

1.

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 2,423 (5,118)
Citation 23

Abstract:

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

2.

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 - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 2,253 (5,791)
Citation 24

Abstract:

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

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 1,198 (15,944)
Citation 4

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 391 (73,067)
Citation 49

Abstract:

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Cross-Section of Expected Returns, Risk-Neutral Skewness

4.

Bear Beta

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 127 Posted: 20 Nov 2016 Last Revised: 26 Sep 2018
Zhongjin Lu and Scott Murray
University of Georgia - Department of Finance and Georgia State University
Downloads 617 (41,691)
Citation 7

Abstract:

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

5.

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 468 (59,373)

Abstract:

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Implied Volatility, Serial Correlation

6.

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 307 (97,069)

Abstract:

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

7.

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 238 (126,823)
Citation 2

Abstract:

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Margin Requirements, Short Option Returns, Volatility Risk Premium

8.

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 215 (140,042)

Abstract:

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

9.

The Bond Pricing Implications of Rating-Based Capital Requirements

14th Annual Mid-Atlantic Research Conference in Finance (MARC)
Number of pages: 126 Posted: 28 Jun 2017 Last Revised: 22 May 2019
Scott Murray and Stanislava Nikolova
Georgia State University and University of Nebraska - Lincoln
Downloads 198 (151,271)
Citation 3

Abstract:

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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
Georgetown University - Robert Emmett McDonough School of Business, Fordham University, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 145 (198,491)

Abstract:

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Risk-Neutral Distribution, Option Returns

11.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
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 41 (415,121)
Citation 3

Abstract:

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