Scott Murray

Georgia State University

35 Broad Street

Atlanta, GA 30303-3083

United States

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 4,639

SSRN RANKINGS

Top 4,639

in Total Papers Downloads

10,971

SSRN CITATIONS
Rank 7,799

SSRN RANKINGS

Top 7,799

in Total Papers Citations

119

CROSSREF CITATIONS

50

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 - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 3,001 (4,902)
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
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 2,800 (5,507)
Citation 39

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 - Robert Emmett McDonough School of Business and Georgia State University
Downloads 1,416 (16,189)
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 - Robert Emmett McDonough School of Business and Georgia State University
Downloads 416 (85,909)
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 724 (43,249)
Citation 17

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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 483 (72,559)

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 325 (114,698)
Citation 1

Abstract:

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

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 323 (115,494)
Citation 5

Abstract:

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

8.

In Search of a Factor Model for Optionable Stocks

Georgetown McDonough School of Business Research Paper No. 3487947
Number of pages: 150 Posted: 01 Dec 2019 Last Revised: 06 Feb 2021
Turan G. Bali and Scott Murray
Georgetown University - Robert Emmett McDonough School of Business and Georgia State University
Downloads 272 (138,402)
Citation 1

Abstract:

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Optionable stocks, factor model, cross section of stock returns

9.

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 263 (143,245)

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Margin Requirements, Short Option Returns, Volatility Risk Premium

10.

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 242 (155,460)

Abstract:

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

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 - Robert Emmett McDonough School of Business, Fordham University, University of Massachusetts Amherst - Isenberg School of Management and Georgia State University
Downloads 237 (158,636)
Citation 1

Abstract:

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Risk-Neutral Distribution, Option Returns

12.

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 196 (189,763)
Citation 8

Abstract:

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

13.

Charting By Machines

Number of pages: 95 Posted: 26 May 2021 Last Revised: 15 Jun 2021
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 154 (233,639)

Abstract:

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

14.

Betting Against Other Betas

Number of pages: 85 Posted: 10 Mar 2020
Scott Murray
Georgia State University
Downloads 119 (285,468)

Abstract:

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