Chris T. Stivers

University of Louisville

Associate Professor of Finance

Finance Dept., College of Business

University of Louisville

Louisville, KY 40292

United States

SCHOLARLY PAPERS

25

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SSRN CITATIONS

1

CROSSREF CITATIONS

2

Scholarly Papers (25)

1.

Beta and Size Equity Premia following a High-VIX Threshold

Journal of Futures Markets, forthcoming.
Number of pages: 47 Posted: 30 Sep 2016 Last Revised: 19 May 2022
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, University of Florida and University of Louisville
Downloads 388 (116,442)

Abstract:

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factor risk premia, nonlinear risk-return relation, stock-market volatility, intermediary asset pricing, illiquidity risk

2.

The 52-week Price High and Past-Winner Performance in Short-Run Relative-Strength Strategies

Number of pages: 85 Posted: 08 Jun 2022 Last Revised: 17 Jan 2023
Chen Chen, Chris T. Stivers and Licheng Sun
Old Dominion University - Strome College of Business, University of Louisville and Old Dominion University
Downloads 336 (136,707)

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Short-Term stock momentum and reversals, price to 52-week-high ratio, share turnover, price anchors

3.

Re-examining Reversals in Monthly Stock Returns: Post-Discovery, Size-based, and Time-Variation Evidence

Number of pages: 43 Posted: 18 Aug 2011 Last Revised: 03 Jun 2013
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University
Downloads 326 (141,171)
Citation 1

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contrarian strategies, monthly stock returns, January seasonality

4.

Stock Implied Volatility, Stock Turnover, and the Stock-Bond Return Relation

FRB Atlanta Working Paper Series No. 2002-3a
Number of pages: 54 Posted: 26 Jan 2015
Chris T. Stivers, Licheng Sun and Robert A. Connolly
University of Louisville, Old Dominion University and University of Florida
Downloads 160 (277,939)
Citation 3

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stock and bond market return linkages, stock implied volatility, stock turnover

5.

Bond Risk’s Role in the Equity Risk-Return Tradeoff

Journal of Financial Markets, forthcoming
Number of pages: 46 Posted: 01 Sep 2020 Last Revised: 13 Jan 2022
Naresh Bansal and Chris T. Stivers
Saint Louis University - Department of Finance and University of Louisville
Downloads 108 (374,688)

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Stock Returns, Equity Premium, Intertemporal Risk and Return Tradeoff, Equity and Treasury Bond Risk

6.

REIT Returns and Inflation Shocks with Economic State Dependencies

Number of pages: 60 Posted: 09 Aug 2022 Last Revised: 22 Dec 2022
Robert A. Connolly and Chris T. Stivers
University of Florida and University of Louisville
Downloads 85 (437,723)

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REIT returns, inflation shocks, economic states

7.

When Do Investors Know? Securities Class Action Lawsuits, Short Selling, and Pre-filing News Releases

Number of pages: 49 Posted: 29 Jun 2021 Last Revised: 30 Jan 2023
Chris T. Stivers, Licheng Sun and Sounak Saha
University of Louisville, Old Dominion University and Old Dominion University
Downloads 77 (467,074)

Abstract:

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Short selling, informed trading, securities class-action lawsuits

8.

Stock Returns and Inflation Shocks in Weaker Economic Times

Financial Management, Forthcoming.
Posted: 15 Jun 2019 Last Revised: 28 Dec 2021
Chris T. Stivers, Licheng Sun and Robert A. Connolly
University of Louisville, Old Dominion University and University of Florida

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Stock Returns, Inflation Shocks, Inflation Expectations, Uncertain Economic States, Economic Growth, the Equity Premium, Forward Equity Yields

9.

Economic-state Variation in Uncertainty-Yield Dynamics

The Review of Asset Pricing Studies, Volume 11, March 2021, pp. 60-104.
Posted: 13 Aug 2018 Last Revised: 12 Jun 2021
Robert A. Connolly, David A. Dubofsky and Chris T. Stivers
University of Florida, University of Louisville - Department of Finance and University of Louisville

Abstract:

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Treasury yields, economic uncertainty, precautionary savings, consumption smoothing, risk aversion

10.

Price Anchors and Short-Term Reversals

Financial Management, Volume 50, Summer 2021, pp. 425-454.
Posted: 28 Dec 2017 Last Revised: 14 Jun 2021
Zhaobo Zhu, Licheng Sun and Chris T. Stivers
Shenzhen University, Old Dominion University and University of Louisville

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Short-run Stock Reversals, 52-Week Price-to-High, Capital Gains Overhang, Disposition Effect, Liquidity Provision

11.

Macroeconomic Uncertainty and the Distant Forward-Rate Slope

Journal of Empirical Finance, Vol. 48, pp. 140-161, 2018
Posted: 14 Mar 2014 Last Revised: 26 Jul 2018
Robert A. Connolly, David A. Dubofsky and Chris T. Stivers
University of Florida, University of Louisville - Department of Finance and University of Louisville

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Term Structure, Forward Interest Rates, Macroeconomic Risk, Term Risk Premia

12.

Stock Strategies with the January Barometer and the Yield Curve

Journal of Investment Management (JOIM), First Quarter 2013
Posted: 20 May 2013
Licheng Sun, Chris T. Stivers and Ajay Kongera
Old Dominion University, University of Louisville and Independent

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January Barometer, yield curve, trading strategies

13.

Equity Volatility as a Determinant of Future Term-Structure Volatility

Journal of Financial Markets 25 (2015), 33-51.
Posted: 19 Nov 2012 Last Revised: 10 Oct 2016
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, University of Florida and University of Louisville

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Equity Risk, Term Structure, Bond Volatility

14.

Market Cycles and the Performance of Relative-Strength Strategies

Financial Management 2013, V42, Pages 263-290
Posted: 08 Oct 2011 Last Revised: 02 Jul 2013
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University

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Medium-Run Momentum, Long-Run Reversals, Mean Stock Returns

15.

Returns and Option Activity over the Option-Expiration Week for S&P 100 Stocks

Journal of Banking and Finance, Vol. 37, pp. 4226-4240, November 2013.
Posted: 24 Mar 2010 Last Revised: 11 Oct 2016
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University

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Option Expiration, Stock Returns, Option Delta Hedging

16.

Regime-Switching in Stock Index and Treasury Futures Returns and Measures of Stock Market Stress

The Journal of Futures Markets, Vol. 30, No. 8, pp. 753–779 (2010)
Posted: 19 Oct 2009 Last Revised: 02 Sep 2012
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, University of Florida and University of Louisville

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Regime-switching, Stock and Bond Return Correlations, Flight-to-Quality, Liquidity

17.

The Stock-Bond Return Relation, the Term-Structure's Slope, and Asset-Class Risk Dynamics

Journal of Financial and Quantitative Analysis, Vo. 49, pp. 699-724, June 2014.
Posted: 18 Sep 2009 Last Revised: 11 Dec 2014
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, University of Florida and University of Louisville

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Equity Risk, Treasury Bond Prices, Bond Risk Premia, Stochastic Volatility

18.

The Other January Effect: International, Style, and Subperiod Evidence

Journal of Financial Markets, Vol. 12, pp. 521-546, August 2009
Posted: 21 May 2008 Last Revised: 02 Jul 2012
Chris T. Stivers, Licheng Sun and Yong Sun
University of Louisville, Old Dominion University and affiliation not provided to SSRN

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Return Predictability

19.

Cross-sectional Return Dispersion and Time-Variation in Value and Momentum Premiums

Journal of Financial and Quantitative Analysis, Vol. 45, pp. 987-1014, August 2010.
Posted: 20 Mar 2008 Last Revised: 28 Jun 2012
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University

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Value Premium, Book-to-Market Equity Ratio, Momentum, Return Dispersion

20.

Firm-Level Return Dispersion and the Future Volatility of Aggregate Stock Market Returns

Journal of Financial Markets, Vol. 6, pp. 389-411, 2003
Posted: 13 Dec 2007 Last Revised: 19 Dec 2007
Chris T. Stivers
University of Louisville

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Equity market volatility, return dispersion

21.

Commonality in the Time-Variation of Stock-Stock and Stock-Bond Return Comovements

Journal of Financial Markets, Vol. 10, pp. 192-218, May 2007
Posted: 13 Mar 2007 Last Revised: 02 Sep 2012
Chris T. Stivers, Robert A. Connolly and Licheng Sun
University of Louisville, University of Florida and Old Dominion University

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Return comovements, implied volatility

22.

Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon

Journal of Financial and Quantitative Analysis, Vol. 41, pp. 381-406, June 2006
Posted: 06 Sep 2005
Chris T. Stivers, Patrick J. Dennis and Stewart Mayhew
University of Louisville, University of Virginia - McIntire School of Commerce and Cornerstone Research

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Implied Volatility, Asymmetric Volatility Phenomenon

23.

Stock Market Uncertainty and the Stock-Bond Return Relation

Journal of Financial and Quantitative Analysis, Vol. 40, pp. 161-194, March 2005
Posted: 06 Sep 2005
Robert A. Connolly, Chris T. Stivers and Licheng Sun
University of Florida, University of Louisville and Old Dominion University

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Stock-bond return correlations, stock market uncertainty, turnover

24.

Macroeconomic News, Stock Turnover, and Volatility Clustering in Daily Stock Returns

Journal of Financial Research, Vol. 28, pp. 235-259, June 2005
Posted: 27 May 2004
Robert A. Connolly and Chris T. Stivers
University of Florida and University of Louisville

Abstract:

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Macroeconomic news, volatility custering

25.

Momentum and Reversals in Equity-Index Returns During Periods of Abnormal Turnover and Return Dispersion

Posted: 28 Nov 2003
Robert A. Connolly and Chris T. Stivers
University of Florida and University of Louisville

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