Sanjay Ramchander

Colorado State University, Fort Collins - Department of Finance & Real Estate

Associate Professor of Finance

Fort Collins, CO 80523

United States

SCHOLARLY PAPERS

16

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CITATIONS
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11

Scholarly Papers (16)

Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Futures

Number of pages: 51 Posted: 01 Sep 2011 Last Revised: 18 Jan 2012
Hong Miao, Sanjay Ramchander and J. Kenton Zumwalt
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 342 (71,690)
Citation 1

Abstract:

Macroeconomic News, Jumps, Index Futures, Trading Strategy

Information Driven Price Jumps and Trading Strategy: Evidence from Stock Index Futures

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 15 Sep 2011
Hong Miao, Sanjay Ramchander and J. Kenton Zumwalt
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 196 (129,701)
Citation 1

Abstract:

Macroeconomic News, Jumps, Index Futures, Trading Strategy

2.

The Informational Relevance of Strategic Corporate Social Responsibility

Number of pages: 28 Posted: 02 Oct 2010
Sanjay Ramchander, Robert G. Schwebach and Kim B. Staking
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - College of Business and Colorado State University - School of Business
Downloads 166 (141,248)

Abstract:

Corporate Social Responsibility, Financial Performance, Event Study, Stakeholder Theory, Industry Response, Competitive Effects, Domini Social 400 Index, Resource-Based View Theory

3.

Jumps in Oil Prices: The Role of Economic News

Energy Journal, 2013
Number of pages: 32 Posted: 23 Aug 2012 Last Revised: 18 Feb 2013
John Elder, Hong Miao and Sanjay Ramchander
Colorado State University, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 117 (140,612)

Abstract:

oil, jumps, macroeconomic announcements

4.

The Informational Relevance of Forward-Looking Measures of Returns and Volatility in Forecasting Defaults

Number of pages: 38 Posted: 30 Jul 2014
Hong Miao, Sanjay Ramchander, Patricia A Ryan and Tianyang Wang
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 71 (244,458)

Abstract:

Distance to Default, Default Prediction

5.

Price Discovery in Crude Oil Futures

Energy Economics, Forthcoming
Number of pages: 34 Posted: 18 Sep 2014
John Elder, Hong Miao and Sanjay Ramchander
Colorado State University, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 47 (237,550)

Abstract:

Crude Oil Futures, WTI, Brent, Information Sharing, Inventory Level, Spread

6.

Price Responsiveness and Stock - Flow Distinctions in Commodities

Number of pages: 43 Posted: 27 Jul 2011
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, University of Southern Mississippi - College of Business Administration, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 45 (331,435)

Abstract:

Stock-Flow, Macroeconomic News, Metal Futures

7.

Public Information, REIT Responses, Size, Leverage, and Focus

Journal of Real Estate Research, Vol. 34, No. 4, 2012
Number of pages: 52 Posted: 22 Jan 2013
Arjun Chatrath, Rohan Christie-David and Sanjay Ramchander
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Independent and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 37 (346,551)

Abstract:

REIT, macroeconomic, news, public information

8.

Examination on the Flow Characteristic of Crude Oil: Evidence from the Risk-Neutral Moments

Number of pages: 38 Posted: 14 Feb 2015 Last Revised: 09 May 2015
Arjun Chatrath, Hong Miao, Sanjay Ramchander and Tianyang Wang
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 34 (322,637)

Abstract:

Risk-Neutral Moments, Crude Oil Futures, Returns, Volatility

9.

The Asymmetric Impact of Monetary Policy on Currency Markets

Financial Review, Vol. 41, No. 2, pp. 289-303, May 2006
Number of pages: 15 Posted: 20 Nov 2006
Bento J. Lobo, Ali F. Darrat and Sanjay Ramchander
University of Tennessee, Chattanooga - Department of Accounting, Louisiana Tech University - College of Business and Colorado State University, Fort Collins - Department of Finance & Real Estate
Downloads 21 (444,455)
Citation 7
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Abstract:

Return and Volatility Transmission in U.S. Housing Markets

Real Estate Economics, Vol. 39, Issue 4, pp. 701-741, 2011
Number of pages: 41 Posted: 16 Nov 2011
Hong Miao, Sanjay Ramchander and Marc William Simpson
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and The John B. and Lillian E. Neff Department of Finance, University of Toledo
Downloads 2 (568,721)
Citation 3
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Abstract:

Return and Volatility Transmission in U.S. Housing Markets

Real Estate Economics, Forthcoming
Posted: 31 Aug 2010 Last Revised: 15 Sep 2011
Hong Miao, Sanjay Ramchander and Marc William Simpson
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and The John B. and Lillian E. Neff Department of Finance, University of Toledo

Abstract:

return tranmsission, volatility transmission, Case-Shiller, residential markets, spatial dependencies

11.

Market Implications of Default Prediction

Number of pages: 40 Posted: 30 May 2017
Hong Miao, Sanjay Ramchander, Patricia A Ryan and Tianyang Wang
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate
Downloads 0 (377,214)

Abstract:

Default Prediction, Distance to Default, Implied Cost of Capital, Implied Volatility

12.

The Response of Bond Prices to Insurer Ratings Changes

Miao, H., Ramchander, S., & Wang, T. (2014). The Response of Bond Prices to Insurer Ratings Changes. The Geneva Papers on Risk and Insurance-Issues and Practice, 39(2), 389-413.
Posted: 20 Apr 2015 Last Revised: 20 Oct 2015
Hong Miao, Sanjay Ramchander and Tianyang Wang
Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate

Abstract:

insurer ratings changes; ratings agency; bond price impact; event study

13.

The Forecasting Efficacy of Risk-Neutral Moments for Crude Oil Volatility

Chatrath, A., Miao, H., Ramchander, S., & Wang, T. (2015). The Forecasting Efficacy of Risk‚ÄźNeutral Moments for Crude Oil Volatility. Journal of Forecasting, 34(3), 177-190.,
Posted: 20 Apr 2015
Arjun Chatrath, Hong Miao, Sanjay Ramchander and Tianyang Wang
University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration, Colorado State University, Fort Collins - Department of Finance & Real Estate, Colorado State University, Fort Collins - Department of Finance & Real Estate and Colorado State University - Department of Finance & Real Estate

Abstract:

risk-neutral moments; crude oil futures options; implied volatility

14.

The Asymmetric Response of Equity REIT Returns to Inflation

Journal of Real Estate Finance and Economics, Vol. 34, No. 4, 2007
Posted: 11 Jan 2007
Marc William Simpson, Sanjay Ramchander and James R. Webb
The John B. and Lillian E. Neff Department of Finance, University of Toledo, Colorado State University, Fort Collins - Department of Finance & Real Estate and Cleveland State University

Abstract:

REITs, inflation, asymmetry, pooled estimation

15.

Macroeconomic News and Mortgage Rates

Journal of Real Estate Finance and Economics, Vol. 27, No. 3
Posted: 19 Jun 2003
Sanjay Ramchander, Marc William Simpson and James R. Webb
Colorado State University, Fort Collins - Department of Finance & Real Estate, The John B. and Lillian E. Neff Department of Finance, University of Toledo and Cleveland State University

Abstract:

Macroeconomic Announcements, Mortgage Rates, Mortgage Spreads

16.

The Roles of Futures Trading in Exchange Rate Volatility

Posted: 16 Sep 1999
Frank M. Song, Arjun Chatrath and Sanjay Ramchander
The University of Hong Kong - School of Economics and Finance, University of Portland - Dr. Robert B. Pamplin, Jr. School of Business Administration and Colorado State University, Fort Collins - Department of Finance & Real Estate

Abstract: