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Allen M. Poteshman

University of Illinois at Urbana-Champaign - Department of Finance

Assistant Professor of Finance

340 Wohlers Hall

1206 South Sixth Street

Champaign, IL 61820

United States

http://www.business.uiuc.edu/poteshma

  • University of Illinois at Urbana-Champaign - Department of Finance

    • Email
    • Tel: 217-265-0565
    • Fax: 217-244-3102
SCHOLARLY PAPERS

17

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CITATIONS
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Top 747

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688

Scholarly Papers (17)

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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 (1,412)
Citation 22

Abstract:

Stock price clustering, Option expiration, Hedging, Manipulation

2.

Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market

Downloads 1,361 ( 10,731)
Citation 45

Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market

Number of pages: 42 Posted: 15 Aug 2000
Allen M. Poteshman
University of Illinois at Urbana-Champaign - Department of Finance
Downloads 855 (21,588)
Citation 45

Abstract:

Underreaction, Overreaction, Behavioral Finance, Option Pricing, Stochastic Variance

Underreaction, Overreaction, and Increasing Misreaction to Information in the Options Market

Journal of Finance, Vol. 56, No. 3, June 2001
Number of pages: 48 Posted: 25 Mar 2001
Allen M. Poteshman
University of Illinois at Urbana-Champaign - Department of Finance
Downloads 506 (44,301)
Citation 45

Abstract:

Misreaction, Behavioral Finance, Option Pricing, Stochastic Variance

3.

The Information in Option Volume for Stock Prices

MIT Sloan Working Paper No. 4275-03
Number of pages: 28 Posted: 14 Jan 2003
Allen M. Poteshman and Jun Pan
University of Illinois at Urbana-Champaign - Department of Finance and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 1,250 (11,318)
Citation 113

Abstract:

options, information, volume, derivatives

4.

Horses and Rabbits? Optimal Dynamic Capital Structure from Shareholder and Manager Perspectives

Downloads 1,134 ( 14,349)
Citation 20

Horses and Rabbits? Optimal Dynamic Capital Structure from Shareholder and Manager Perspectives

Number of pages: 45 Posted: 16 Jun 2003
Nengjiu Ju, Robert Parrino, Michael S. Weisbach and Allen M. Poteshman
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,069 (15,452)
Citation 17

Abstract:

optimal capital structure, taxes, bankruptcy costs, calibration

Horses and Rabbits? Optimal Dynamic Capital Structure from Shareholder and Manager Perspectives

NBER Working Paper No. w9327
Number of pages: 45 Posted: 16 Nov 2002
Nengjiu Ju, Robert Parrino, Michael S. Weisbach and Allen M. Poteshman
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), University of Texas at Austin - Department of Finance, Ohio State University (OSU) - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 65 (294,854)
Citation 20

Abstract:

5.

Forecasting Future Volatility from Option Prices

AFA 2001 New Orleans
Number of pages: 75 Posted: 31 Dec 2000
Allen M. Poteshman
University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,065 (13,893)
Citation 27

Abstract:

6.

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

Downloads 959 ( 18,521)
Citation 4

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 844 (21,983)
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
Sophie X. Ni, Neil D. Pearson, Allen M. Poteshman and Joshua S. White
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 115 (204,043)
Citation 4

Abstract:

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

7.

Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options

Downloads 781 ( 25,016)
Citation 54

Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options

Number of pages: 61 Posted: 21 Aug 2001
Allen M. Poteshman and Vitaly Serbin
University of Illinois at Urbana-Champaign - Department of Finance and affiliation not provided to SSRN
Downloads 781 (24,620)
Citation 54

Abstract:

Market Efficiency, Behavioral Finance, Early Exercise, Irrational Behavior, Prospect Theory

Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options

The Journal of Finance, Vol. 58, pp. 37-70, 2003
Posted: 25 Jul 2003
Allen M. Poteshman and Vitaly Serbin
University of Illinois at Urbana-Champaign - Department of Finance and affiliation not provided to SSRN

Abstract:

8.

Measuring Investment Distortions when Risk-Averse Managers Decide Whether to Undertake Risky Projects

Downloads 773 ( 25,434)
Citation 33

Measuring Investment Distortions when Risk-Averse Managers Decide Whether to Undertake Risky Projects

Number of pages: 56 Posted: 25 Jan 2002
Robert Parrino, Allen M. Poteshman and Michael S. Weisbach
University of Texas at Austin - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Ohio State University (OSU) - Department of Finance
Downloads 706 (28,436)
Citation 33

Abstract:

Agency Costs, Capital Structure, Calibration

Measuring Investment Distortions When Risk-Averse Managers Decide Whether to Undertake Risky Projects

NBER Working Paper No. w8763
Number of pages: 56 Posted: 02 Feb 2002
Robert Parrino, Allen M. Poteshman and Michael S. Weisbach
University of Texas at Austin - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Ohio State University (OSU) - Department of Finance
Downloads 54 (324,192)
Citation 33

Abstract:

Measuring Investment Distortions when Risk-Averse Managers Decide Whether to Undertake Risky Projects

Financial Management, Vol. 34, No. 1, Spring 2005
Number of pages: 40 Posted: 24 Apr 2005
Robert Parrino, Allen M. Poteshman and Michael S. Weisbach
University of Texas at Austin - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Ohio State University (OSU) - Department of Finance
Downloads 13 (505,301)
Citation 33
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Abstract:

9.

Volatility Information Trading in the Option Market

Downloads 629 ( 33,781)
Citation 23

Volatility Information Trading in the Option Market

Number of pages: 36 Posted: 06 Oct 2005
Sophie X. Ni, Jun Pan and Allen M. Poteshman
Hong Kong University of Science and Technology, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 629 (33,289)
Citation 23

Abstract:

options, derivatives, information, volatility

Volatility Information Trading in the Option Market

Journal of Finance, 2008
Posted: 28 Aug 2008
Sophie X. Ni, Jun Pan and Allen M. Poteshman
Hong Kong University of Science and Technology, Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA) and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

Volatility, Stock Options, Deriviatives, Information

10.

Demand-Based Option Pricing

Downloads 495 ( 46,078)
Citation 107

Demand-Based Option Pricing

EFA 2005 Moscow Meetings Paper
Number of pages: 48 Posted: 05 Mar 2005
Nicolae Garleanu, Lasse Heje Pedersen and Allen M. Poteshman
University of California, Berkeley - Haas School of Business, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 416 (56,645)
Citation 107

Abstract:

Options, demand pressure, price pressure, frictions, liquidity

Demand-Based Option Pricing

NBER Working Paper No. w11843
Number of pages: 49 Posted: 29 Mar 2006
Nicolae Garleanu, Lasse Heje Pedersen and Allen M. Poteshman
University of California, Berkeley - Haas School of Business, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 48 (342,709)
Citation 107

Abstract:

Demand-Based Option Pricing

CEPR Discussion Paper No. 5420
Number of pages: 51 Posted: 27 Mar 2006
Nicolae Garleanu, Lasse Heje Pedersen and Allen M. Poteshman
University of California, Berkeley - Haas School of Business, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 31 (406,054)
Citation 107
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Abstract:

Option, demand, valuation, intermediation, market makers, implied volatility, hedging, price pressure, risk, dealers

11.

Unusual Options Market Activity with an Application to the Terrorist Attacks of September 11, 2001

Number of pages: 47 Posted: 19 Feb 2003
Allen M. Poteshman
University of Illinois at Urbana-Champaign - Department of Finance
Downloads 446 (44,725)
Citation 3

Abstract:

terrorism, options, unusual trading

12.

Overreaction to Stock Market News and Misevaluation of Stock Prices by Unsophisticated Investors: Evidence from the Option Market

Number of pages: 39 Posted: 07 Jul 2004
Allen M. Poteshman and Reza S. Mahani
University of Illinois at Urbana-Champaign - Department of Finance and Georgia State University - Department of Finance
Downloads 356 (65,180)
Citation 11

Abstract:

overreaction, value versus growth, option market, unsophisticated investors

13.

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 (89,664)
Citation 9

Abstract:

14.

Investor Behavior in the Option Market

NBER Working Paper No. w10264
Number of pages: 54 Posted: 31 Jan 2004 Last Revised: 20 Jul 2010
Josef Lakonishok, Inmoo Lee and Allen M. Poteshman
University of Illinois at Urbana-Champaign, KAIST College of Business and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 129 (185,993)
Citation 6

Abstract:

15.

Demand-Based Option Pricing

Downloads 117 (200,478)
Citation 106

Demand-Based Option Pricing

NYU Working Paper No. S-DRP-06-01
Number of pages: 48 Posted: 05 Nov 2008
Nicolae Gârleanu, Lasse Heje Pedersen and Allen M. Poteshman
affiliation not provided to SSRN, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 117 (201,362)
Citation 106

Abstract:

Demand-Based Option Pricing

The Review of Financial Studies, Vol. 22, Issue 10, pp. 4259-4299, 2009
Posted: 28 Sep 2009
Nicolae Gârleanu, Lasse Heje Pedersen and Allen M. Poteshman
affiliation not provided to SSRN, AQR Capital Management, LLC and University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

16.

The Information of Option Volume for Future Stock Prices

NBER Working Paper No. w10925
Number of pages: 37 Posted: 13 Dec 2004
Allen M. Poteshman and Jun Pan
University of Illinois at Urbana-Champaign - Department of Finance and Massachusetts Institute of Technology (MIT) - Economics, Finance, Accounting (EFA)
Downloads 108 (184,872)
Citation 105

Abstract:

17.

The Information in Option Volume for Future Stock Prices

The Review of Financial Studies, Vol. 19, Issue 3, pp. 871-908, 2006
Posted: 29 Feb 2008
Allen M. Poteshman
University of Illinois at Urbana-Champaign - Department of Finance

Abstract:

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