Steven L. Heston

University of Maryland - Department of Finance

Robert H. Smith School of Business

Van Munching Hall

College Park, MD 20742

United States

SCHOLARLY PAPERS

33

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Top 1,246

in Total Papers Downloads

39,641

SSRN CITATIONS
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SSRN RANKINGS

Top 1,847

in Total Papers Citations

785

CROSSREF CITATIONS

140

Scholarly Papers (33)

1.
Downloads 6,402 ( 2,246)
Citation 185

Intraday Patterns in the Cross-Section of Stock Returns

Number of pages: 59 Posted: 17 Jun 2009 Last Revised: 27 May 2010
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 5,422 (2,969)
Citation 10

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Return periodicity, Market Microstructure

Intraday Patterns in the Cross-Section of Stock Returns

Journal of Finance, 2010, Vol. 65, No. 4, pp. 1369-1407
Number of pages: 59 Posted: 21 Nov 2009 Last Revised: 14 Nov 2019
Steven L. Heston, Robert A. Korajczyk and Ronnie Sadka
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management and Boston College - Carroll School of Management
Downloads 980 (43,799)
Citation 87

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Return periodicity, Market Microstructure

News versus Sentiment: Predicting Stock Returns from News Stories

Robert H. Smith School Research Paper
Number of pages: 38 Posted: 18 Aug 2013 Last Revised: 04 Aug 2015
Steven L. Heston and Nitish Ranjan Sinha
University of Maryland - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 3,065 (7,661)
Citation 16

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News, Text Analysis

News Versus Sentiment: Predicting Stock Returns from News Stories

FEDS Working Paper No. 2016-48
Number of pages: 36 Posted: 09 Jun 2016 Last Revised: 21 Sep 2016
Steven L. Heston and Nitish Ranjan Sinha
University of Maryland - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 1,349 (27,631)
Citation 6

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3.

A Closed-Form GARCH Option Pricing Model

97-9
Number of pages: 34 Posted: 08 Jun 1998
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 3,831 (5,430)
Citation 19

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The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

Number of pages: 48 Posted: 05 Feb 2007 Last Revised: 22 Feb 2009
Peter Christoffersen, Steven L. Heston and Kris Jacobs
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 2,165 (13,313)
Citation 5

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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well

CREATES Research Paper 2009-34
Number of pages: 43 Posted: 13 Aug 2009
Peter Christoffersen, Steven L. Heston and Kris Jacobs
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 1,556 (22,371)
Citation 38

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stochastic correlation, stochastic volatility, equity index options, multifactor model, persistence, affine, out-of-sample

5.
Downloads 2,304 ( 6,682)
Citation 20

Option Momentum

Journal of Finance, Forthcoming
Number of pages: 73 Posted: 20 May 2022
University of Maryland - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), City University of Hong Kong and University of Kansas
Downloads 1,712 (19,283)
Citation 9

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options, momentum, reversal

Option Momentum

Number of pages: 40 Posted: 10 Nov 2020 Last Revised: 02 Feb 2021
Steven L. Heston and Shuaiqi Li
University of Maryland - Department of Finance and City University of Hong Kong
Downloads 592 (85,483)
Citation 7

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Options, Momentum, Behavioral finance

A Closed-Form GARCH Option Valuation Model

Number of pages: 73 Posted: 17 Jul 2000
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 3,012 (7,862)
Citation 74

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A Closed-Form GARCH Option Valuation Model

Posted: 28 Feb 2000
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)

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7.

Seasonality in the Cross-Section of Expected Stock Returns

AFA 2006 Boston Meetings Paper
Number of pages: 37 Posted: 20 Mar 2005
Steven L. Heston and Ronnie Sadka
University of Maryland - Department of Finance and Boston College - Carroll School of Management
Downloads 2,775 (9,114)
Citation 1

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8.

Capturing Option Anomalies with a Variance-Dependent Pricing Kernel

AFA 2011 Denver Meetings Paper
Number of pages: 55 Posted: 22 Jan 2010 Last Revised: 07 Jun 2012
Peter Christoffersen, Kris Jacobs and Steven L. Heston
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Maryland - Department of Finance
Downloads 1,932 (16,224)
Citation 84

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Pricing kernel, stochastic volatility, overreaction, variance risk

9.
Downloads 1,710 (19,644)

Are You Trading Predictably?

Number of pages: 19 Posted: 05 Jun 2010 Last Revised: 05 Sep 2010
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management, Boston College - Carroll School of Management and University of Washington - Foster School of Business
Downloads 1,710 (19,300)

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Trading, Microstructure, Periodicity, Anomaly

Are You Trading Predictably?

Financial Analysts Journal, Vol. 67, No. 2, 2011
Posted: 13 Apr 2011
University of Maryland - Department of Finance, Northwestern University - Kellogg School of Management, Boston College - Carroll School of Management and University of Washington - Foster School of Business

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Behavioral Finance, Institutional Investor Decision Making; Equity Investments, Performance Measurement and Evaluation, Specific Investor Issues, Institutional Investors, Portfolio Management: Equity Portfolio Management Strategies

10.

Derivatives on Volatility: Some Simple Solutions Based on Observables

Federal Reserve Bank of Atlanta WP No. 2000-20, November 2000
Number of pages: 21 Posted: 07 Nov 2000
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 1,695 (19,909)
Citation 28

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volatility, options, hedge

Common Patterns of Predictability in the Cross-Section of International Stock Returns

Number of pages: 35 Posted: 20 Mar 2008
Steven L. Heston and Ronnie Sadka
University of Maryland - Department of Finance and Boston College - Carroll School of Management
Downloads 825 (55,513)

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International Stock Returns, Market Integration, Behavioral Finance

Common Patterns of Predictability in the Cross-Section of International Stock Returns

Number of pages: 31 Posted: 20 Mar 2007
Steven L. Heston and Ronnie Sadka
University of Maryland - Department of Finance and Boston College - Carroll School of Management
Downloads 527 (99,008)

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12.

The Periodic Structure of Returns to Buying Winners and Selling Losers

Number of pages: 35 Posted: 13 Jan 2004
Steven L. Heston and Ronnie Sadka
University of Maryland - Department of Finance and Boston College - Carroll School of Management
Downloads 911 (49,236)

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Momentum, long-run reversal, periodic structure of stock returns

13.

The Role of Beta and Size in the Cross-Section of European Stock Returns

European Financial Management Vol 4, pp. 9-28, 1999
Number of pages: 37 Posted: 05 Jul 2008
University of Maryland - Department of Finance, University of Groningen - Faculty of Economics and Business and Yale School of Management - International Center for Finance
Downloads 787 (60,095)
Citation 6

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European equity markets, CAPM, 3-factor model

14.

Option Valuation with Conditional Skewness

Number of pages: 44 Posted: 23 Jun 2004
Peter Christoffersen, Steven L. Heston and Kris Jacobs
University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 765 (62,422)
Citation 54

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GARCH, out-of-sample, jumps, discrete-time model, continuous-time limit

15.

Seasonal Momentum in Option Returns

Number of pages: 56 Posted: 25 Jul 2022
University of Maryland - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), City University of Hong Kong and University of Kansas
Downloads 625 (80,830)

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options, VIX, seasonal momentum

16.

Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels

Rotman School of Management Working Paper No. 2690888, Robert H. Smith School Research Paper No. RHS 2690888
Number of pages: 53 Posted: 14 Nov 2015 Last Revised: 30 Apr 2017
Volmex Labs, University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 558 (93,234)
Citation 4

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volatility components, fat tails, jumps, pricing kernel

17.

Exploring the Variance Risk Premium Across Assets

Number of pages: 38 Posted: 04 Mar 2023
Steven L. Heston and Karamfil Todorov
University of Maryland - Department of Finance and Bank for International Settlements
Downloads 489 (109,675)

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VIX, variance risk premium, commodities, volatility, futures, COVID

18.
Downloads 423 (130,108)
Citation 1

Volatility Risk and Monotonic Pricing Kernels

Number of pages: 65 Posted: 08 Feb 2022 Last Revised: 09 Apr 2024
Steven L. Heston, Kris Jacobs and Hyung Joo Kim
University of Maryland - Department of Finance, University of Houston - C.T. Bauer College of Business and Board of Governors of the Federal Reserve System
Downloads 348 (160,721)

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pricing kernel, option pricing, price of risk, risk premium, volatility risk, maximum likelihood estimation

The Pricing Kernel in Options

FEDS Working Paper No. 2023-53
Number of pages: 66 Posted: 11 Sep 2023
Steven L. Heston, Kris Jacobs and Hyung Joo Kim
University of Maryland - Department of Finance, University of Houston - C.T. Bauer College of Business and Board of Governors of the Federal Reserve System
Downloads 75 (593,441)
Citation 1

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maximum likelihood estimation, option pricing, price of risk, pricing kernel, risk premium

19.

Recovering the Variance Premium

Number of pages: 31 Posted: 04 Mar 2021
Steven L. Heston
University of Maryland - Department of Finance
Downloads 357 (157,530)
Citation 1

Abstract:

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Options, Volatility

20.

Point Shaving in College Basketball: A Cautionary Tale for Forensic Economics

Number of pages: 22 Posted: 26 Jul 2007 Last Revised: 29 Aug 2008
Steven L. Heston and Dan Bernhardt
University of Maryland - Department of Finance and University of Illinois at Urbana-Champaign - Department of Economics
Downloads 314 (180,629)
Citation 1

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pointshaving, gambling, forensic economics

21.

A New Closed-Form Discrete-Time Option Pricing Model with Stochastic Volatility

Number of pages: 56 Posted: 17 Nov 2023 Last Revised: 11 Apr 2024
Steven L. Heston, Kris Jacobs and Hyung Joo Kim
University of Maryland - Department of Finance, University of Houston - C.T. Bauer College of Business and Board of Governors of the Federal Reserve System
Downloads 272 (209,694)

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Discrete-time option pricing, stochastic volatility, risk premium, pricing kernel, maximum likelihood estimation

22.

A Spanning Series Approach to Options

Robert H. Smith School Research Paper No. RHS 2416989
Number of pages: 50 Posted: 28 Mar 2014 Last Revised: 03 Mar 2015
Steven L. Heston and Alberto G. Rossi
University of Maryland - Department of Finance and Georgetown University
Downloads 270 (211,234)
Citation 2

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stochastic volatility, orthogonal polynomials, options

23.

A Discrete-Time Two-Factor Model for Pricing Bonds and Interest Rate Derivatives under Random Volatility

FRB Atlanta Working Paper Series No. 99-20, Robert H. Smith School Research Paper No. RHS 2491281
Number of pages: 31 Posted: 25 Jan 2015
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 202 (279,087)
Citation 3

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GARCH, volatility, bonds, options

24.

Corrections and Additions to 'the Value of Tax Shields is Not Equal to the Present Value of Tax Shields'

Number of pages: 12 Posted: 19 May 2005
Steven L. Heston
University of Maryland - Department of Finance
Downloads 176 (315,630)

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25.

Option Pricing with Infinitely Divisible Distributions

OLIN-97-22
Number of pages: 27 Posted: 01 Sep 1998 Last Revised: 10 Nov 2014
Steven L. Heston
University of Maryland - Department of Finance
Downloads 133 (397,671)

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26.

Preference-Free Option Pricing with Path-Dependent Volatility: A Closed-Form Approach

FRB Atlanta Working Paper Series No. 98-20, Robert H. Smith School Research Paper No. RHS 2511422
Number of pages: 12 Posted: 25 Jan 2015
Steven L. Heston and Saikat Nandi
University of Maryland - Department of Finance and Federal National Mortgage Association (Fannie Mae)
Downloads 124 (419,448)
Citation 5

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volatility, path-dependent, options, closed-form

27.

On the Dynamic Duopolistic Game with Sticky Prices

George Mason University School of Business Research Paper No. 4262947
Number of pages: 19 Posted: 10 Nov 2022 Last Revised: 30 Aug 2023
Steven L. Heston and Bo Hu
University of Maryland - Department of Finance and George Mason University
Downloads 87 (536,167)

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Differential games, discrete-time games, closed-loop equilibrium, frictionless limits

28.

Closed-Form Option Pricing Formulas with Extreme Events

Journal of Futures Markets, Vol. 28, pp. 213-230, 2008
Posted: 04 Sep 2008
Antonio Camara and Steven L. Heston
Oklahoma State University, Stillwater - College of Business Administration and University of Maryland - Department of Finance

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29.

Options and Bubbles

The Review of Financial Studies, Vol. 20, Issue 2, pp. 359-390, 2007
Posted: 17 Jul 2008
Steven L. Heston, Mark Loewenstein and Gregory A. Willard
University of Maryland - Department of Finance, University of Maryland - Robert H. Smith School of Business and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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30.

The Structure of International Stock Returns and the Integration of Capital Markets

Posted: 14 Dec 2004
University of Maryland - Department of Finance, University of Groningen - Faculty of Economics and Business and Yale School of Management - International Center for Finance

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capital market integration, international equity markets, factor models

31.

Does Industrial Structure Explain the Benefits of International Diversification?

Posted: 14 Dec 2004
Steven L. Heston and K. Geert Rouwenhorst
University of Maryland - Department of Finance and Yale School of Management - International Center for Finance

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international equity markets, portfolio diversification

32.

A Simple New Formula for Options with Stochastic Volatility

OLIN-97-23
Posted: 01 Sep 1998
Steven L. Heston
University of Maryland - Department of Finance

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33.

A Model of Discontinuous Interest Rate Behavior, Yield Curves, and Volatility

OLIN-97-21
Posted: 26 May 1998
Steven L. Heston
University of Maryland - Department of Finance

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