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

34

DOWNLOADS
Rank 1,467

SSRN RANKINGS

Top 1,467

in Total Papers Downloads

27,729

SSRN CITATIONS
Rank 5,369

SSRN RANKINGS

Top 5,369

in Total Papers Citations

148

CROSSREF CITATIONS

100

Scholarly Papers (34)

1.
Downloads 5,574 ( 1,889)

Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, The University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,574 (1,960)

Abstract:

Loading...

non-standard errors, multi-analyst approach, liquidity

2.

Stock Price Clustering on Option Expiration Dates

Number of pages: 53 Posted: 22 Mar 2004
Sophie Xiaoyan Ni, Neil D. Pearson and Allen M. Poteshman
Hong Kong Baptist University (HKBU), University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 5,105 (2,320)
Citation 19

Abstract:

Loading...

Stock price clustering, Option expiration, Hedging, Manipulation

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 1,638 (15,064)
Citation 12

Abstract:

Loading...

options, stock price paths, impact, trading, hedging

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

Number of pages: 25 Posted: 10 Nov 2016 Last Revised: 26 May 2020
Hong Kong Baptist University (HKBU), 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 1,124 (26,461)
Citation 2

Abstract:

Loading...

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

4.

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 1,628 (15,461)
Citation 12

Abstract:

Loading...

structured products, valuation errors, cognitive biases, individual investor

5.

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 1,606 (15,800)
Citation 13

Abstract:

Loading...

Option trading volume, stock return predictability, information, leverage

6.

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 1,550 (16,649)
Citation 6

Abstract:

Loading...

Structured Products, Behavioral Finance, Derivative Pricing

7.
Downloads 1,182 ( 24,965)
Citation 24

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
Michigan State University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Oklahoma
Downloads 870 (38,109)
Citation 2

Abstract:

Loading...

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
Michigan State University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Oklahoma
Downloads 312 (134,558)
Citation 25

Abstract:

Loading...

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

8.

Why Does Options Market Information Predict Stock Returns?

Number of pages: 59 Posted: 13 Oct 2016 Last Revised: 26 May 2022
Michigan State University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,144 (26,183)
Citation 5

Abstract:

Loading...

equity options, put-call parity, implied volatility spread, implied volatility skew, stock borrowing fee, stock lending fee

9.

Option Trading Costs Are Lower than You Think

Number of pages: 87 Posted: 20 Mar 2015 Last Revised: 07 Oct 2019
Dmitriy Muravyev and Neil D. Pearson
Michigan State University - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,003 (31,637)
Citation 29

Abstract:

Loading...

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

10.

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 941 (34,615)
Citation 9

Abstract:

Loading...

option pricing models, performance comparison, implied skew

11.

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 782 (44,660)
Citation 62

Abstract:

Loading...

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

12.

Profitability of Hedge Fund Short Sales: Evidence from Opening and Closing Transactions

HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 72 Posted: 24 Jun 2016 Last Revised: 21 Sep 2020
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 742 (47,956)
Citation 10

Abstract:

Loading...

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

13.

Pre-Trade Hedging: Evidence from the Issuance of Retail Structured Products

Number of pages: 66 Posted: 10 Nov 2017 Last Revised: 08 Feb 2019
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 439 (92,502)
Citation 6

Abstract:

Loading...

Market manipulation, structured equity products, equity-linked securities, delta hedging, pre-trade hedging, price impact

14.

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

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 23 Jun 2016 Last Revised: 15 May 2021
Michigan State University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 424 (96,336)
Citation 3

Abstract:

Loading...

Short sales, stock borrowing fee, risk premium, equity options

15.

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 356 (117,531)
Citation 1

Abstract:

Loading...

16.

The Chinese Warrants Bubble: Evidence from Brokerage Account Records

7th Miami Behavioral Finance Conference 2016, Review of Financial Studies (Forthcoming)
Number of pages: 68 Posted: 23 Aug 2016 Last Revised: 07 Jan 2020
Neil D. Pearson, Zhishu Yang and Qi Zhang
University of Illinois at Urbana-Champaign - Department of Finance, Tsinghua University - School of Economics & Management and Shanghai Jiao Tong University (SJTU)
Downloads 353 (118,645)
Citation 4

Abstract:

Loading...

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

17.

Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options

Number of pages: 59 Posted: 16 May 2018 Last Revised: 19 May 2021
Jie Cao, Yong Jin, Neil D. Pearson and Dragon Yongjun Tang
The Chinese University of Hong Kong (CUHK) - CUHK Business School, The Hong Kong Polytechnic University, University of Illinois at Urbana-Champaign - Department of Finance and The University of Hong Kong - Faculty of Business and Economics
Downloads 311 (135,791)
Citation 3

Abstract:

Loading...

Credit default swap, delta-hedged option return, demand-based option pricing, financial intermediation capacity, intermediary-based asset pricing

18.

Conditional Estimation of Diffusion Processes

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 307 (137,774)
Citation 5

Abstract:

Loading...

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 Park and Neil D. Pearson
KAIST College of Business, Hallym University and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 240 (176,435)
Citation 1

Abstract:

Loading...

Share Repurchases, Payout Policies

20.

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 238 (177,878)
Citation 9

Abstract:

Loading...

21.

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 207 (202,850)

Abstract:

Loading...

CDS, liquidity, index inclusion, inventory

22.

Retail Derivatives and Sentiment: A Sentiment Measure Constructed from Issuances of Retail Structured Equity Products

Number of pages: 112 Posted: 29 Jul 2020 Last Revised: 18 Mar 2022
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 203 (206,569)
Citation 5

Abstract:

Loading...

Structured equity products, sentiment, cross-section of returns, predictability

23.

Bond Lending and Bond Returns

George Mason University School of Business Research Paper No. 18-12
Number of pages: 58 Posted: 04 Feb 2018 Last Revised: 21 Sep 2018
Mike Anderson, Brian J. Henderson and Neil D. Pearson
Mike Anderson, George Washington University - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 196 (213,208)
Citation 4

Abstract:

Loading...

Securities Lending, Short Sales, Short Selling, Bond Lending, Informed Trading

24.

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 192 (217,091)
Citation 1

Abstract:

Loading...

25.

Impact of Demand Shocks on the Stock Market: Evidence from Chinese IPOs

Number of pages: 53 Posted: 29 Dec 2020 Last Revised: 20 Dec 2021
Jennifer (Jie) LI, Neil D. Pearson and Qi Zhang
INSEAD, University of Illinois at Urbana-Champaign - Department of Finance and Shanghai Jiao Tong University (SJTU)
Downloads 140 (282,337)
Citation 2

Abstract:

Loading...

Inelastic markets hypothesis, demand shocks, Chinese stock market, initial public offering

26.

Response to 'Order Flows and Financial Investor Impacts in Commodity Futures Markets'

Number of pages: 35 Posted: 04 Nov 2019
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 104 (349,797)

Abstract:

Loading...

Commodities, Futures, Order flow, Financialization

27.

Recent Advances in Estimating Term-Structure Models

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:

Loading...

Short-rate models, term structure of interest rates

28.

An Efficient Approach for Pricing Spread Options

Posted: 25 Oct 1999
Neil D. Pearson
University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

Loading...

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

Posted: 08 May 1999
David A. Chapman, John B. Long 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:

Loading...

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

Posted: 22 Oct 1998
David A. Chapman, John B. Long 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:

Loading...

30.

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:

Loading...

31.

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:

Loading...

32.

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:

Loading...

33.

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:

Loading...

34.

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:

Loading...

Other Papers (1)

Total Downloads: 686
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 686

Abstract:

Loading...

Implied volatility, volatility skew, index options