Neil D. Pearson

University of Illinois at Urbana-Champaign - Department of Finance

Associate Professor

1206 South Sixth Street

Champaign, IL 61820

United States

SCHOLARLY PAPERS

27

DOWNLOADS
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13,895

CITATIONS
Rank 3,711

SSRN RANKINGS

Top 3,711

in Total Papers Citations

146

Scholarly Papers (27)

1.

Stock Price Clustering on Option Expiration Dates

AFA 2005 Philadelphia Meetings
Number of pages: 53 Posted: 22 Mar 2004
Sophie X. Ni, Neil D. Pearson and Allen M. Poteshman
Hong Kong University of Science and Technology, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 4,042 (1,391)
Citation 22

Abstract:

Stock price clustering, Option expiration, Hedging, Manipulation

2.

Patterns in the Payoffs of Structured Equity Derivatives

AFA 2008 New Orleans Meetings Paper
Number of pages: 51 Posted: 20 Mar 2007 Last Revised: 13 Dec 2007
Brian J. Henderson and Neil D. Pearson
George Washington University - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,268 (10,450)
Citation 3

Abstract:

Structured Products, Behavioral Finance, Derivative Pricing

3.

The Dark Side of Financial Innovation

EFA 2009 Bergen Meetings Paper
Number of pages: 39 Posted: 16 Feb 2009 Last Revised: 14 Feb 2010
Brian J. Henderson and Neil D. Pearson
George Washington University - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,164 (10,782)
Citation 20

Abstract:

structured products, valuation errors, cognitive biases, individual investor

4.
Downloads 945 ( 18,460)
Citation 13

Is There Price Discovery in Equity Options?

Number of pages: 59 Posted: 28 Sep 2010 Last Revised: 01 Sep 2012
Dmitriy Muravyev, Neil D. Pearson and John Paul Broussard
Boston College, University of Illinois at Urbana-Champaign - Department of Finance and Rutgers School of Business - Camden
Downloads 665 (30,158)
Citation 13

Abstract:

Price discovery, equity options, market microstructure, high frequency data, put-call parity

Is There Price Discovery in Equity Options?

Number of pages: 57 Posted: 22 Jan 2011 Last Revised: 21 Aug 2011
Dmitriy Muravyev, Neil D. Pearson and John Paul Broussard
Boston College, University of Illinois at Urbana-Champaign - Department of Finance and Rutgers School of Business - Camden
Downloads 280 (87,945)
Citation 13

Abstract:

Price Discovery, Equity Options, Market Microstructure, High Frequency Data, Put-Call Parity

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

AFA 2008 New Orleans Meetings Paper
Number of pages: 47 Posted: 16 Mar 2007
Neil D. Pearson, Allen M. Poteshman and Joshua S. White
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 834 (21,819)
Citation 4

Abstract:

options, stock price paths, impact, trading, hedging

Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

Number of pages: 52 Posted: 10 Nov 2016
Hong Kong University of Science and Technology, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 102 (218,297)
Citation 4

Abstract:

option trading, option open interest, delta-hedging, pinning, stock return volatility

6.

A 'Horse Race' Among Competing Option Pricing Models Using S&P 500 Index Options

Number of pages: 34 Posted: 24 Mar 2008
Minqiang Li and Neil D. Pearson
Bloomberg LP and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 843 (20,818)
Citation 7

Abstract:

option pricing models, performance comparison, implied skew

7.

New Evidence on the Financialization of Commodity Markets

Number of pages: 44 Posted: 25 Jan 2012 Last Revised: 19 Nov 2014
Brian J. Henderson, Neil D. Pearson and Li Wang
George Washington University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Case Western Reserve University
Downloads 554 (31,201)
Citation 6

Abstract:

financialization, commodity-linked notes, commodity structured products, commodity index investors, commodity futures

8.

Why Does the Option to Stock Volume Ratio Predict Stock Returns?

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 59 Posted: 22 Jul 2014 Last Revised: 17 Aug 2015
Li Ge, Tse-Chun Lin and Neil D. Pearson
Monash University - Monash Business School, The University of Hong Kong - Faculty of Business and Economics and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 417 (17,228)

Abstract:

Option trading volume, stock return predictability, information, leverage

9.

A Nonparametric Analysis of the Forward Rate Volatilities

Office for Futures and Options Research Working Paper No. 99-05
Number of pages: 42 Posted: 12 Dec 1999
Neil D. Pearson and Anjun Zhou
University of Illinois at Urbana-Champaign - Department of Finance and State Street Corporate - ARC
Downloads 331 (70,381)
Citation 2

Abstract:

10.

Conditional Estimation of Diffusion Processes

EFMA 2003 Helinski Meetings
Number of pages: 47 Posted: 24 Jun 2003
Minqiang Li, Neil D. Pearson and Allen M. Poteshman
Bloomberg LP, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 264 (89,879)
Citation 9

Abstract:

11.

Is the Short Rate Drift Actually Nonlinear?

Number of pages: 45 Posted: 30 Nov 1998
David A. Chapman and Neil D. Pearson
McIntire School, University of Virginia and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 219 (111,237)
Citation 59

Abstract:

12.

Option Trading Costs Are Lower than You Think

Number of pages: 62 Posted: 20 Mar 2015 Last Revised: 30 Sep 2016
Dmitriy Muravyev and Neil D. Pearson
Boston College and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 196 (55,809)
Citation 1

Abstract:

Execution timing, trading costs, effective spread, liquidity, equity options, algorithmic trading

13.

Inferring Asset Correlations from CDS Spreads: A Structural Model Approach

The Review of Asset Pricing Studies, Forthcoming, Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 30 Posted: 30 Aug 2012 Last Revised: 04 Dec 2014
Chanatip Kitwiwattanachai and Neil D. Pearson
University of Connecticut and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 110 (161,427)

Abstract:

14.

Pre-Trade Hedging

Number of pages: 51 Posted: 18 Mar 2010 Last Revised: 15 Feb 2017
Brian J. Henderson, Neil D. Pearson and Li Wang
George Washington University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Case Western Reserve University
Downloads 96 (176,946)

Abstract:

Structured equity products, equity-linked securities, delta hedging, pre-trade hedging, price impact

15.

The Illiquidity of CDS Market: Evidence From Index Inclusion

Number of pages: 34 Posted: 28 Jun 2013 Last Revised: 15 Nov 2014
Chanatip Kitwiwattanachai and Neil D. Pearson
University of Connecticut and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 92 (179,132)

Abstract:

CDS, liquidity, index inclusion, inventory

16.

Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options

Number of pages: 43 Posted: 13 Oct 2016
Boston College, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 0 (195,399)

Abstract:

stock lending, short sales, lending fee, equity options

17.

Evidence About Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion

7th Miami Behavioral Finance Conference 2016
Number of pages: 52 Posted: 23 Aug 2016 Last Revised: 19 Jun 2017
Neil D. Pearson, Zhishu Yang and Qi Zhang
University of Illinois at Urbana-Champaign - Department of Finance, Tsinghua University - School of Economics & Management and Durham University
Downloads 0 (184,658)

Abstract:

Speculative bubble, feedback loop, precipitating event, feedback trading, social contagion

18.

A First Glimpse into the Short Side of Hedge Funds

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 65 Posted: 24 Jun 2016 Last Revised: 20 Mar 2017
Jaewon Choi, Ji Min Park, Neil D. Pearson and Shastri Sandy
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and The Brattle Group
Downloads 0 (66,749)

Abstract:

Hedge funds, short sale profitability, short sales, institutional investors

19.

Repurchases Have Changed

KAIST College of Business Working Paper Series No. 2015-022
Number of pages: 81 Posted: 24 Nov 2015
Inmoo Lee, Yuen Jung Park and Neil D. Pearson
KAIST College of Business, Hallym University and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 0 (151,053)

Abstract:

Share Repurchases, Payout Policies

20.

Recent Advances in Estimating Term-Structure Models

Financial Analysts Journal, Vol. 57, No. 3, July/August 2001
Posted: 04 May 2001
David A. Chapman and Neil D. Pearson
McIntire School, University of Virginia and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

Short-rate models, term structure of interest rates

21.

An Efficient Approach for Pricing Spread Options

THE J. OF DERIVATIVES, Fall 1995
Posted: 25 Oct 1999
Neil D. Pearson
University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

Using Proxies for the Short Rate: When are Three Months Like an Instant?

Review of Financial Studies, Vol 12, Issue 3
Posted: 08 May 1999
David A. Chapman, John B. Long Jr. and Neil D. Pearson
McIntire School, University of Virginia, Simon Graduate School of Business, University of Rochester and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

Using Proxies for the Short Rate: When are Three Months Like an Instant?

Posted: 22 Oct 1998
David A. Chapman, John B. Long Jr. and Neil D. Pearson
McIntire School, University of Virginia, Simon Graduate School of Business, University of Rochester and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

23.

The Value of Flexibility in the Labor Market

Bradley Policy Research Center Working Paper, FR-95-04
Posted: 10 Oct 1998
Eugene Kandel and Neil D. Pearson
Hebrew University of Jerusalem - Department of Economics and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

24.

Open-End Mutual Funds and Capital-Gains Taxes

Working Paper FR 95-25
Posted: 13 Jun 1998
University of Rochester - Simon School (Deceased), University of Illinois at Urbana-Champaign - Department of Finance and Ohio State University (OSU) - Department of Finance

Abstract:

25.

Differential Interpretation of Information and Trade in Speculative Markets

JOURNAL OF POLITICAL ECONOMY, 1995
Posted: 14 May 1998
Eugene Kandel and Neil D. Pearson
Hebrew University of Jerusalem - Department of Economics and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

26.

Risk Measurement: An Introduction to Value at Risk

Working Paper 96-04
Posted: 06 Nov 1996
Thomas J. Linsmeier and Neil D. Pearson
Financial Accounting Standards Board and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

27.

A Dynamic Model of the Value of Labor Force Flexibility

Simon School of Business Working Paper FR 95-04
Posted: 15 May 1996
Eugene Kandel and Neil D. Pearson
Hebrew University of Jerusalem - Department of Economics and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

Other Papers (1)

Total Downloads: 644    Citations: 5
1.

Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern

AFA 2006 Boston Meetings Paper
Number of pages: 55 Posted: 21 Mar 2005 Last Revised: 06 Oct 2009
Minqiang Li and Neil D. Pearson
Bloomberg LP and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 629
Citation 5

Abstract:

Implied volatility, volatility skew, index options