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

13

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CITATIONS
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663

Scholarly Papers (13)

1.

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

EFA 0162
Number of pages: 51 Posted: 10 Oct 2000
Nikunj Kapadia, Gurdip Bakshi and Dilip B. Madan
University of Massachusetts Amherst - Department of Finance, Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,457 (11,782)
Citation 175

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risk neutral skews, option pricing, individual stock options

2.

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 1,017 (20,517)
Citation 4

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options buy-write strategy covered call russell

3.

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 906 (24,323)
Citation 41

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

AFA 2001 New Orleans Meetings
Number of pages: 48 Posted: 17 Apr 2001
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Fox School of Business
Downloads 889 (24,621)
Citation 157

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Review of Financial Studies, Forthcoming
Posted: 10 Jan 2002
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Fox School of Business

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

5.

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

Review of Financial Studies, Forthcoming
Number of pages: 49 Posted: 20 Sep 2001
Gurdip Bakshi, Nikunj Kapadia and Dilip B. Madan
Fox School of Business, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 780 (30,027)
Citation 178

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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 593 (43,444)

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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 508 (52,939)
Citation 11

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limited arbitrage, credit default swap

8.
Downloads 475 ( 57,676)
Citation 96

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 433 (63,922)
Citation 96

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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 2010
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 42 (415,578)
Citation 96

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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 215 (138,581)
Citation 1

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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
Lew Burton, Nikunj Kapadia and Brandon Sneider
University of Massachusetts Amherst, University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst - Department of Finance
Downloads 148 (193,326)

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

11.

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 - Risk Analysis Division
Downloads 44 (400,185)

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Credit ratings, issuer bias, default risk, financing constraints

12.

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 - Risk Analysis Division
Downloads 1 (633,452)
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credit ratings, issuer bias, financial constraints, feedback effect, default risk

13.

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

Journal of Derivatives, Fall 2003, pp. 45-54
Posted: 09 Sep 2003
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Fox School of Business

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