Scott Murray

Georgia State University

35 Broad Street

Atlanta, GA 30303-3083

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 4,562

SSRN RANKINGS

Top 4,562

in Total Papers Downloads

12,588

SSRN CITATIONS
Rank 7,647

SSRN RANKINGS

Top 7,647

in Total Papers Citations

122

CROSSREF CITATIONS

48

Scholarly Papers (14)

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 3,457 (4,632)
Citation 37

Abstract:

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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
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 2,994 (5,925)
Citation 40

Abstract:

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

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 1,553 (16,534)
Citation 8

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 - McDonough School of Business and Georgia State University
Downloads 425 (96,302)
Citation 20

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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: 05 Feb 2021
Zhongjin Lu and Scott Murray
University of Georgia - Department of Finance and Georgia State University
Downloads 778 (45,468)
Citation 19

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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 499 (80,372)

Abstract:

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Implied Volatility, Serial Correlation

6.

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 491 (81,944)
Citation 1

Abstract:

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Factor model, option prices, cross section of stock returns

7.

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 396 (105,355)
Citation 5

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

8.

Betting Against Beta or Demand for Lottery

Number of pages: 79 Posted: 17 Aug 2014
Georgetown University - McDonough School of Business, New York University - Stern School of Business, Georgia State University and Fordham University - Gabelli School of Business
Downloads 336 (126,543)
Citation 8

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

9.

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 330 (129,016)
Citation 1

Abstract:

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

10.

Charting By Machines

Number of pages: 117 Posted: 26 May 2021 Last Revised: 27 May 2022
Scott Murray, Houping Xiao and Yusen Xia
Georgia State University, Georgia State University - J. Mack Robinson College of Business and Georgia State University - Robinson College of Business
Downloads 321 (132,780)

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

11.

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 - McDonough School of Business, Fordham university, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 316 (134,943)
Citation 1

Abstract:

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Risk-Neutral Distribution, Option Returns

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 287 (149,313)

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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 251 (170,728)

Abstract:

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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
Scott Murray
Georgia State University
Downloads 154 (264,314)

Abstract:

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