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

26

DOWNLOADS
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Top 762

in Total Papers Downloads

25,670

CITATIONS
Rank 1,369

SSRN RANKINGS

Top 1,369

in Total Papers Citations

406

Scholarly Papers (26)

1.
Downloads 4,228 ( 1,551)
Citation 25

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 3,597 (2,020)
Citation 25

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Return periodicity, Market Microstructure

Intraday Patterns in the Cross-Section of Stock Returns

Journal of Finance, Vol. 65, No. 4, pp. 1369-1407, Forthcoming
Number of pages: 59 Posted: 21 Nov 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 631 (33,856)
Citation 25

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Return periodicity, Market Microstructure

2.

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 3,065 (2,363)
Citation 126

Abstract:

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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 2,341 (4,321)

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News, Text Analysis

News Versus Sentiment: Predicting Stock Returns from News Stories

FEDS Working Paper No. 2016-048
Number of pages: 36 Posted: 09 Jun 2016
Steven L. Heston and Nitish Ranjan Sinha
University of Maryland - Department of Finance and Board of Governors of the Federal Reserve System
Downloads 706 (29,165)

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News, Text Analysis

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 1,728 (7,338)
Citation 25

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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 997 (17,507)
Citation 25

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

5.
Downloads 1,878 ( 6,445)
Citation 128

A Closed-Form GARCH Option Valuation Model

Review of Financial Studies
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 1,878 (6,298)
Citation 128

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A Closed-Form GARCH Option Valuation Model

Review of Financial Studies
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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6.

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 1,549 (6,955)
Citation 19

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7.
Downloads 1,491 ( 9,479)
Citation 1

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 1,491 (9,300)
Citation 1

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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

8.

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 1,459 (9,079)
Citation 5

Abstract:

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volatility, options, hedge

9.

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 1,183 (9,757)
Citation 3

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Pricing kernel, stochastic volatility, overreaction, variance risk

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 697 (29,508)

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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 419 (57,313)

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11.

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 754 (25,353)
Citation 1

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

12.

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 571 (33,830)
Citation 27

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European equity markets, CAPM, 3-factor model

13.

Option Valuation with Conditional Skewness

EFA 2004 Maastricht Meetings Paper No. 2964
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 571 (36,546)
Citation 38

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

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 245 (105,723)
Citation 4

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pointshaving, gambling, forensic economics

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

Economic Inquiry, Vol. 48, Issue 1, pp. 14-25, January 2010
Number of pages: 12 Posted: 26 Jan 2010
Dan Bernhardt and Steven L. Heston
University of Illinois at Urbana-Champaign - Department of Economics and University of Maryland - Department of Finance
Downloads 3 (567,675)
Citation 4
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15.

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 141 (170,436)

Abstract:

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16.

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 University of Maryland - Department of Finance
Downloads 83 (156,844)

Abstract:

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stochastic volatility, orthogonal polynomials, options

17.

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 32 (246,624)

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GARCH, volatility, bonds, options

18.

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 28 (342,478)
Citation 2

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volatility, path-dependent, options, closed-form

19.

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 21 (324,718)
Citation 2

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20.

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
Royal Bank of Canada, Capital Markets (Toronto), University of Toronto - Rotman School of Management, University of Maryland - Department of Finance and University of Houston - C.T. Bauer College of Business
Downloads 0 (93,315)

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volatility components, fat tails, jumps, pricing kernel

21.

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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22.

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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23.

Does Industrial Structure Explain the Benefits of International Diversification?

Journal of Financial Economics, Vol. 36, pp. 3-27, 1994
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

24.

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

Journal of Empirical Finance, Vol. 2, pp. 173-197, 1995
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

25.

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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26.

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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