Red McCombs School of Business
Austin, TX 78712
The University of Texas at Austin - Department of Finance
in Total Papers Downloads
in Total Papers Citations
VIX, variance risk, term structure, expectations hypothesis, variance swaps, VIX futures, straddles
Anomaly, returns, earnings announcements, strategic reporting, timing
Options, Volume, Microstructure, Short Sale Costs
Information asymmetry, PIN, informed trade, options, microstructure, bid-ask spreads, volatility
Earnings announcements, announcement premia, liquidity, market making, intermediaries
Reputation, investor activism, governance, hedge funds, proxy fights
Return predictability, weighted least squares, volatility, out-of-sample predictability, variance risk premium
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