Nikunj Kapadia

University of Massachusetts Amherst - Department of Finance

Associate Professor

Amherst, MA 01003

United States

http://www-unix.oit.umass.edu/~nkapadia/

SCHOLARLY PAPERS

14

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SSRN CITATIONS
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Top 2,079

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531

CROSSREF CITATIONS

289

Scholarly Papers (14)

1.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Number of pages: 49 Posted: 20 Sep 2001
Temple University - Fox School of Business and ManagementFox School of Business, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 1,746 (18,655)
Citation 175

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2.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Number of pages: 51 Posted: 10 Oct 2000
University of Massachusetts Amherst - Department of Finance, Temple University - Fox School of Business and ManagementFox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,585 (21,599)
Citation 65

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risk neutral skews, option pricing, individual stock options

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Number of pages: 48 Posted: 17 Apr 2001
Nikunj Kapadia, Gurdip Bakshi and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and ManagementFox School of Business
Downloads 1,564 (21,743)
Citation 92

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Posted: 10 Jan 2002
Nikunj Kapadia, Gurdip Bakshi and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and ManagementFox School of Business

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Option pricing, stochastic volatility, volatility risk premium, delta-hedged gains

4.

The Risk and Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index

Journal of Alternative Investments, Spring 2007
Number of pages: 30 Posted: 01 Mar 2007
Nikunj Kapadia and Edward Szado
University of Massachusetts Amherst - Department of Finance and Providence College
Downloads 1,175 (33,745)
Citation 1

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options buy-write strategy covered call russell

5.

Correlated Default Risk

EFA 2003 Annual Conference Paper No. 928; AFA 2003 Washington, DC Meetings
Number of pages: 45 Posted: 23 Sep 2002
Santa Clara University - Leavey School of Business, Moody's Investors Service, Amaranth Advisors llc and University of Massachusetts Amherst - Department of Finance
Downloads 975 (43,952)
Citation 53

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6.

15 Years of the Russell 2000 Buy-Write

Number of pages: 34 Posted: 17 Sep 2011
Nikunj Kapadia and Edward Szado
University of Massachusetts Amherst - Department of Finance and Providence College
Downloads 860 (52,403)
Citation 2

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Russell, Buy, Write, Covered Call Options, Trading Strategy, Risk Management, Capital Protection

7.

Limited Arbitrage between Equity and Credit Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 17 Mar 2009 Last Revised: 22 Feb 2012
Nikunj Kapadia and Xiaoling Pu
University of Massachusetts Amherst - Department of Finance and Kent State University - Department of Finance
Downloads 615 (81,013)
Citation 26

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limited arbitrage, credit default swap

8.
Downloads 543 (94,781)
Citation 168

Common Failings: How Corporate Defaults are Correlated

Journal of Finance, Forthcoming
Number of pages: 36 Posted: 02 Jan 2006
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 469 (112,037)
Citation 1

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Correlated default, doubly stochastic, contagion, frailty

Common Failings: How Corporate Defaults are Correlated

NBER Working Paper No. w11961
Number of pages: 29 Posted: 23 Jan 2006 Last Revised: 08 Sep 2022
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 74 (588,795)
Citation 19

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9.

Flows: The ‘Invisible Hands’ on Hedge Fund Management

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 49 Posted: 19 Sep 2011 Last Revised: 04 Jan 2012
Shuang Feng, Mila Getmansky Sherman and Nikunj Kapadia
Edinboro University of Pennsylvania, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and University of Massachusetts Amherst - Department of Finance
Downloads 303 (184,518)
Citation 6

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Hedge Fund, Fund Flow, Fee Structure, Managerial Incentives, Gross Return

10.

Write on the Money?

Number of pages: 35 Posted: 12 Jul 2016 Last Revised: 20 Jul 2016
University of Massachusetts Amherst, University of Massachusetts Amherst - Department of Finance and Dimensional Fund AdvisorsUniversity of Massachusetts Amherst - Department of Finance
Downloads 264 (212,529)

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Variance Risk Premium, Buy-Write, Covered Call, Market Anomalies

11.

What's Gone Wrong with Option Liquidity: Evidence from the Knight Capital's Trading Glitch

Number of pages: 56 Posted: 02 Mar 2020 Last Revised: 14 Jul 2020
Nikunj Kapadia and Matthew Linn
University of Massachusetts Amherst - Department of Finance and Isenberg School of Management, University of Massachusetts
Downloads 230 (243,244)

Abstract:

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Liquidity, High-Frequency Trading, Options

12.

The Conservative Issuer Bias of Corporate Ratings

Number of pages: 45 Posted: 04 May 2014
Office of the Comptroller of the Currency - Risk Analysis Division, University of Massachusetts Amherst - Department of Finance and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 73 (585,302)

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Credit ratings, issuer bias, default risk, financing constraints

13.

Issuer Bias in Corporate Ratings Toward Financially Constrained Firms

Journal of Credit Risk, Forthcoming
Number of pages: 35 Posted: 19 Dec 2017
Office of the Comptroller of the Currency - Risk Analysis Division, University of Massachusetts Amherst - Department of Finance and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 2 (1,104,579)
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credit ratings, issuer bias, financial constraints, feedback effect, default risk

14.

Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights

Posted: 09 Sep 2003
Nikunj Kapadia, Gurdip Bakshi and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and ManagementFox School of Business

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