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

27

DOWNLOADS
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2,669

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (27)

1.

Short-term Momentum, Turnover, and a Stock's 52-week Price High

Number of pages: 55 Posted: 08 Jun 2022 Last Revised: 19 May 2023
Chen Chen, Chris T. Stivers and Licheng Sun
Old Dominion University - Strome College of Business, University of Louisville and Old Dominion University
Downloads 510 (104,245)

Abstract:

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Short-term stock momentum, price to 52-week-high ratio, share turnover, price anchors

2.

Predicting the Equity Premium with a High-Threshold Risk Level and the Price of Risk

Number of pages: 75 Posted: 18 Jun 2023 Last Revised: 28 Feb 2024
Naresh Bansal and Chris T. Stivers
Saint Louis University - Department of Finance and University of Louisville
Downloads 495 (108,128)

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Stock market risk, nonlinear threshold risk-return relation, investor sentiment.

3.

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 450 (121,034)

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

4.

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 350 (160,936)
Citation 1

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contrarian strategies, monthly stock returns, January seasonality

5.

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 219 (258,980)
Citation 2

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

6.

Predicting Cross-Sectional Return Variation in Past-Winner Stocks and Past-Loser Bonds with a Stock’s 52-week Price Anchor

Number of pages: 73 Posted: 24 Aug 2023 Last Revised: 24 May 2024
Old Dominion University - Strome College of Business, Old Dominion University, Old Dominion University, University of Louisville and Old Dominion University
Downloads 200 (281,543)

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Short-Term Stock and Corporate Bond Returns, Past Stock Winners and Losers, 52-Week Stock Price Anchors

7.

Public Real Estate Returns and Inflation Shocks: The Central Role of Inflation Non-Neutrality

Number of pages: 70 Posted: 09 Aug 2022 Last Revised: 21 Mar 2024
Robert A. Connolly and Chris T. Stivers
University of Florida and University of Louisville
Downloads 183 (304,842)
Citation 1

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REIT returns, inflation expectations, Inflation Non-Neutrality, Comovement, Economic States

8.

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 144 (373,664)

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

9.

Understanding Stock Returns and Shorting around Securities Class Action Lawsuits: The Role of Pre-filing News Releases

Number of pages: 48 Posted: 29 Jun 2021 Last Revised: 12 May 2023
Chris T. Stivers, Licheng Sun and Sounak Saha
University of Louisville, Old Dominion University and Old Dominion University
Downloads 118 (435,381)

Abstract:

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Securities class-action lawsuits, short selling, informed trading,

10.

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

11.

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

12.

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

13.

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

14.

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

15.

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

16.

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

17.

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

18.

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

19.

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

20.

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

21.

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

22.

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

23.

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

Abstract:

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Return comovements, implied volatility

24.

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

25.

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

26.

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

27.

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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