Author Page for Nikunj Kapadia

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

Number of pages: 49 Posted: 20 Sep 2001

Gurdip Bakshi, Nikunj Kapadia and Dilip B. Madan

Temple University-Fox School of Business, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business

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Citation 175

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

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Citation 92

2

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Number of pages: 48 Posted: 17 Apr 2001

Nikunj Kapadia and Gurdip Bakshi

University of Massachusetts Amherst - Department of Finance and Temple University-Fox School of Business

Downloads 1,787 (20,171)

Citation 92

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Posted: 10 Jan 2002

Nikunj Kapadia and Gurdip Bakshi

University of Massachusetts Amherst - Department of Finance and Temple University-Fox School of Business

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3.

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

Number of pages: 51 Posted: 10 Oct 2000

Nikunj Kapadia, Gurdip Bakshi and Dilip B. Madan

University of Massachusetts Amherst - Department of Finance, Temple University-Fox School of Business and University of Maryland - Robert H. Smith School of Business

Downloads 1,629 (23,628)

Citation 65

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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 1,247 (35,111)

Citation 2

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5.

Correlated Default Risk

EFA 2003 Annual Conference Paper No. 928; AFA 2003 Washington, DC Meetings

Number of pages: 45 Posted: 23 Sep 2002

Sanjiv Ranjan Das, Laurence Freed, Gary Geng and Nikunj Kapadia

Santa Clara University - Leavey School of Business, Moody's Investors Service, Amaranth Advisors llc and University of Massachusetts Amherst - Department of Finance

Downloads 1,021 (46,908)

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 925 (53,778)

Citation 2

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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

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Citation 30

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8.

Common Failings: How Corporate Defaults are Correlated

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Citation 20

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Common Failings: How Corporate Defaults are Correlated

Journal of Finance, Forthcoming

Number of pages: 36 Posted: 02 Jan 2006

Sanjiv Ranjan Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita

Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent

Downloads 474 (125,439)

Citation 1

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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

Sanjiv Ranjan Das, Darrell Duffie, Nikunj Kapadia and Leandro Saita

Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent

Downloads 80 (646,476)

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 318 (199,266)

Citation 6

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10.

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 314 (201,970)

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11.

Write on the Money?

Number of pages: 35 Posted: 12 Jul 2016 Last Revised: 20 Jul 2016

Lew Burton, Nikunj Kapadia, Brandon Sneider and Brandon Sneider

University of Massachusetts Amherst, University of Massachusetts Amherst - Department of Finance and Dimensional Fund AdvisorsUniversity of Massachusetts Amherst - Department of Finance

Downloads 280 (227,906)

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12.

The Conservative Issuer Bias of Corporate Ratings

Number of pages: 45 Posted: 04 May 2014

Mohammad Nazmul Hasan, Nikunj Kapadia and Akhtar R. Siddique

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 79 (642,152)

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13.

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

Posted: 09 Sep 2003

Nikunj Kapadia and Gurdip Bakshi

University of Massachusetts Amherst - Department of Finance and Temple University-Fox School of Business

Nikunj Kapadia

University of Massachusetts Amherst - Department of Finance

Associate Professor

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Scholarly Papers (13)

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