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

20

DOWNLOADS
Rank 38,046

SSRN RANKINGS

Top 38,046

in Total Papers Downloads

922

CITATIONS

1

Scholarly Papers (20)

1.

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

Abstract:

Option Expiration, Stock Returns, Option Delta Hedging

2.

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 258 (92,351)

Abstract:

contrarian strategies, monthly stock returns, January seasonality

Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification

Number of pages: 46 Posted: 12 Nov 2015
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University
Downloads 192 (133,181)

Abstract:

Portfolio Optimization, Naive Diversification, Idiosyncratic Volatility, Covariance Matrix

Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification

Financial Review, Vol. 51, Issue 3, pp. 403-433, 2016
Number of pages: 31 Posted: 15 Jul 2016
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University
Downloads 1 (583,631)
  • Add to Cart

Abstract:

portfolio optimization, naïve diversification, idiosyncratic volatility

4.

Hedging Influences in T-Bond Pricing: Risk-Return Evidence with Equity and T-Bond Implied Volatilities

Number of pages: 70 Posted: 20 Nov 2014 Last Revised: 04 Jul 2017
Robert A. Connolly, David A. Dubofsky and Chris T. Stivers
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Louisville - Department of Finance and University of Louisville
Downloads 153 (163,217)

Abstract:

Treasury Bond Risk Premia, Equity and Bond risk, Risk Aversion, Treasury bond futures returns, Economic states

5.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

Equity Risk, Term Structure, Bond Volatility

6.

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 North Carolina (UNC) at Chapel Hill - Finance Area
Downloads 38 (303,236)
Citation 1

Abstract:

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

7.

Macroeconomic Uncertainty and the Distant Forward-Rate Slope

Number of pages: 58 Posted: 14 Mar 2014 Last Revised: 01 Oct 2017
Robert A. Connolly, David A. Dubofsky and Chris T. Stivers
University of North Carolina (UNC) at Chapel Hill - Finance Area, University of Louisville - Department of Finance and University of Louisville
Downloads 21 (300,707)

Abstract:

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

8.

Intermediary Asset Pricing and the Nonlinear Relation between Volatility and the Equity Size Premium

Number of pages: 79 Posted: 30 Sep 2016 Last Revised: 17 Aug 2017
Naresh Bansal, Robert A. Connolly and Chris T. Stivers
Saint Louis University - Department of Finance, University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville
Downloads 0 (144,441)

Abstract:

Equity Size Premium, SMB factor, Intermediary Asset Pricing, Volatility Risk, Illiquidity Risk

9.

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

Abstract:

January Barometer, yield curve, trading strategies

10.

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

Abstract:

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

11.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

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

12.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

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

13.

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

Abstract:

Return Predictability

14.

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

Abstract:

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

15.

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

Abstract:

Equity market volatility, return dispersion

16.

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 North Carolina (UNC) at Chapel Hill - Finance Area and Old Dominion University

Abstract:

Return comovements, implied volatility

17.

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

Abstract:

Implied Volatility, Asymmetric Volatility Phenomenon

18.

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 North Carolina (UNC) at Chapel Hill - Finance Area, University of Louisville and Old Dominion University

Abstract:

Stock-bond return correlations, stock market uncertainty, turnover

19.

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 North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract:

Macroeconomic news, volatility custering

20.

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

Journal of Finance, Vol. 58, pp. 1521-1556, August 2003
Posted: 28 Nov 2003
Robert A. Connolly and Chris T. Stivers
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of Louisville

Abstract: