Anthony Sanford

University of Maryland

4113AA Van Munching Hall

College Park, MD 20742

United States

http://www.terpconnect.umd.edu/~sanfoan/

SCHOLARLY PAPERS

6

DOWNLOADS

594

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (6)

1.

Does Perception Matter in Asset Pricing? Modeling Volatility Jumps and Returns Using Twitter-Based Sentiment Indices

Number of pages: 42 Posted: 29 May 2018 Last Revised: 20 Apr 2019
Anthony Sanford
University of Maryland
Downloads 227 (138,773)

Abstract:

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Behavioral Finance, Volatility Jumps, Twitter, Social Media, Stock Returns

2.

State Price Density Estimation with an Application to the Recovery Theorem

Number of pages: 28 Posted: 12 May 2018 Last Revised: 05 Dec 2019
Anthony Sanford
University of Maryland
Downloads 112 (252,424)
Citation 3

Abstract:

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Risk Neutral Density, Recovery Theorem, Implied Probabilities, Contingent Pricing, Information and Market Efficiency

3.

Recovery Theorem with a Multivariate Markov Chain

Number of pages: 40 Posted: 06 Oct 2018 Last Revised: 15 Feb 2019
Anthony Sanford
University of Maryland
Downloads 94 (284,340)
Citation 6

Abstract:

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Recovery theorem, contingent state prices, expected uncertainty, asset pricing theory, financial economics

4.

Optimized Portfolio Using a Forward-Looking Expected Tail Loss

Number of pages: 33 Posted: 31 Oct 2019
Anthony Sanford
University of Maryland
Downloads 67 (347,290)

Abstract:

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Recovery theorem, portfolio theory, expected shortfall

5.

Information Content of Option Prices: Comparing Analyst Forecasts to Option-Based Forecasts

Number of pages: 42 Posted: 27 Jun 2019
Anthony Sanford
University of Maryland
Downloads 54 (386,445)

Abstract:

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asset pricing, recovery theorem, analyst, forecast, financial economics

6.

Discrimination in the Stock Market: Board Gender and Stock Performance

Number of pages: 48 Posted: 19 Sep 2019
Anthony Sanford and Joannie Tremblay-Boire
University of Maryland and University of Maryland - School of Public Policy
Downloads 40 (437,072)

Abstract:

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asset pricing, gender, stock performance, event study, information shocks