Author Page for James Doran

University of New South Wales, Florida State University - Department of FinanceCentral Michigan University and Florida State University - Department of Finance

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Citation 6

Abstract:

5.

The Bias in Black-Scholes/Black Implied Volatility: An Analysis of Equity and Energy Markets

Review of Derivatives Research, Vol. 8, No. 3, 2005

Number of pages: 34 Posted: 08 Dec 2004 Last Revised: 07 Nov 2014

James Doran and Ehud I. Ronn

University of New South Wales and University of Texas at Austin - Department of Finance

Downloads 1,472 (18,004)

Citation 3

Abstract:

6.

Call-Put Implied Volatility Spreads and Option Returns

Review of Asset Pricing Studies, 2013(3): 258-290

Number of pages: 49 Posted: 15 Jul 2010 Last Revised: 14 Jan 2014

James Doran, Andy Fodor and Danling Jiang

University of New South Wales, Ohio University and College of Business, Stony Brook University

Downloads 1,449 (18,451)

Citation 5

Abstract:

7.

Earnings Conference Calls and Stock Returns: The Incremental Informativeness of Textual Tone

Journal of Banking and Finance, Vol. 36, No. 4, pp. 992-1011, 2012

Number of pages: 66 Posted: 18 Jun 2010 Last Revised: 25 Feb 2012

S. McKay Price, James Doran, David R. Peterson and Barbara A. Bliss

Lehigh University - Perella Department of Finance, University of New South Wales, Florida State University - Department of Finance and University of San Diego

Downloads 1,403 (19,364)

Citation 22

Abstract:

8.

The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option Markets

Journal of Futures Markets Vol. 28, pp.1013-1039, October 2008

Number of pages: 33 Posted: 30 Dec 2006 Last Revised: 15 Dec 2014

Dean Diavatopoulos, James Doran and David R. Peterson

Seattle University, University of New South Wales and Florida State University - Department of Finance

Downloads 1,244 (23,156)

Citation 3

Abstract:

9.

Volatility as an Asset Class: Holding VIX in a Portfolio

Journal of Futures Markets, Forthcoming

Number of pages: 29 Posted: 27 Jan 2020

James Doran

University of New South Wales

Downloads 1,197 (24,524)

Abstract:

10.

Do Option Open-Interest Changes Foreshadow Future Equity Returns?

Downloads 882 ( 37,905)

2

Do Option Open-Interest Changes Foreshadow Future Equity Returns?

Number of pages: 29 Posted: 04 Jul 2010 Last Revised: 15 Jul 2010

Andy Fodor, Kevin Krieger and James Doran

Ohio University, University of West Florida and University of New South Wales

Downloads 882 (37,365)

Citation 1

Abstract:

Do Option Open-Interest Changes Foreshadow Future Equity Returns?

Financial Markets and Portfolio Management, Vol. 25, No. 3, pp. 265-280, 2011

Posted: 29 Aug 2011

Andy Fodor, Kevin Krieger and James Doran

Ohio University, University of West Florida and University of New South Wales

Abstract:

11.

The Effect of the Spider Exchange Traded Fund on the Cash Flow of Funds of S&P Index Mutual Funds

Number of pages: 32 Posted: 31 Jan 2006

James Doran, Vaneesha Boney and David R. Peterson

University of New South Wales, University of Denver and Florida State University - Department of Finance

Downloads 844 (40,317)

Citation 6

Abstract:

12.

The Information Content of Implied Skewness and Kurtosis Changes Prior to Earnings Announcements for Stock and Option Returns

Number of pages: 36 Posted: 02 Dec 2008

Dean Diavatopoulos, James Doran, Andy Fodor and David R. Peterson

Seattle University, University of New South Wales, Ohio University and Florida State University - Department of Finance

Downloads 774 (45,253)

Citation 9

Abstract:

13.

A Simple Model for Time-Varying Expected Returns on the S&P 500 Index

Downloads 773 ( 45,347)

2

A Simple Model for Time-Varying Expected Returns on the S&P 500 Index

Journal of Investment Management, Forthcoming

Number of pages: 41 Posted: 29 Aug 2005 Last Revised: 26 Feb 2009

James Doran, Ehud I. Ronn and Robert S. Goldberg

University of New South Wales, University of Texas at Austin - Department of Finance and Adelphi University - School of Business

Downloads 773 (44,724)

Citation 1

Abstract:

A Simple Model for Time - Varying Expected Returns on the S&P 500 Index

Journal of Investment Management, Second Quarter 2009

Posted: 11 Nov 2009

James Doran, Ehud I. Ronn and Robert S. Goldberg

University of New South Wales, University of Texas at Austin - Department of Finance and Adelphi University - School of Business

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14.

Bank Risk, Implied Volatility and Bank Derivative Use: Implications for Future Performance

Number of pages: 36 Posted: 22 Jan 2008 Last Revised: 17 Jul 2008

Jeffrey A. Clark, James Doran and Jared DeLisle

Florida State University - College of Business, University of New South Wales and Utah State University

Downloads 682 (53,577)

Citation 2

Abstract:

15.

Estimation of the Risk Premiums in Energy Markets

Number of pages: 43 Posted: 02 May 2005

James Doran

University of New South Wales

Downloads 637 (58,473)

Citation 1

Abstract:

16.

Market Crash Risk and Implied Volatility Skewness: Evidence and Implications for Insurer Investments

Number of pages: 27 Posted: 22 Apr 2006

James Doran, James M. Carson and David R. Peterson

University of New South Wales, University of Georgia and Florida State University - Department of Finance

Downloads 590 (64,451)

Abstract:

17.

Firm Specific Option Risk and Implications for Asset Pricing

Journal of Risk Vol 12, No.1, pp.17-52, Fall 2009

Number of pages: 37 Posted: 29 Sep 2007 Last Revised: 03 Aug 2010

James Doran and Andy Fodor

University of New South Wales and Ohio University

Downloads 567 (67,812)

Abstract:

18.

Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach

Journal of Empirical Finance, 2014 (28): 36-59

Number of pages: 56 Posted: 24 Sep 2007 Last Revised: 16 Jul 2014

Danling Jiang, David R. Peterson and James Doran

College of Business, Stony Brook University, Florida State University - Department of Finance and University of New South Wales

Downloads 532 (73,450)

Citation 7

Abstract:

19.

The Influence of Tracking Error on Volatility Premium Estimation

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Citation 3

2

The Influence of Tracking Error on Volatility Premium Estimation

Number of pages: 38 Posted: 22 Feb 2005

James Doran

University of New South Wales

Downloads 355 (117,056)

Citation 1

Abstract:

The Influence of Tracking Error on Volatility Premium Estimation

Journal of Risk, Vol. 9, No. 3, 2007

Number of pages: 38 Posted: 22 Feb 2005

James Doran

University of New South Wales

Downloads 125 (309,010)

Abstract:

20.

Inequality in Pay: A Study of Wage Disparity in the NFL

Number of pages: 32 Posted: 08 Dec 2004

James Doran and David R. Doran

University of New South Wales and Chicago Mercantile Exchange

Downloads 470 (85,403)

Abstract:

21.

On the Demand for Portfolio Insurance

Downloads 380 (109,241)

Citation 1

2

On the Demand for Portfolio Insurance

Number of pages: 41 Posted: 09 Jul 2010 Last Revised: 08 Oct 2012

Andy Fodor, James Doran, James M. Carson and David Kirch

Ohio University, University of New South Wales, University of Georgia and Ohio University - School of Accountancy

Downloads 379 (108,717)

Abstract:

On the Demand for Portfolio Insurance

Risk Management and Insurance Review, Vol. 16, Issue 2, pp. 167-193, 2013

Number of pages: 27 Posted: 16 Nov 2013

Andy Fodor, James Doran, James M. Carson and David Kirch

Ohio University, University of New South Wales, University of Georgia and Ohio University - School of Accountancy

Downloads 1 (914,212)

Abstract:

22.

Gambling Preference and the New Year Effect of Assets with Lottery Features

Review of Finance, 2012, 16(3), 685-731.

Number of pages: 63 Posted: 04 Feb 2008 Last Revised: 26 Nov 2012

James Doran, Danling Jiang and David R. Peterson

University of New South Wales, College of Business, Stony Brook University and Florida State University - Department of Finance

Downloads 369 (112,916)

Citation 8

Abstract:

23.

Option Market Efficiency and Analyst Recommendations

Downloads 311 (135,756)

2

Option Market Efficiency and Analyst Recommendations

Number of pages: 27 Posted: 11 Sep 2008

James Doran, Andy Fodor and Kevin Krieger

University of New South Wales, Ohio University and University of West Florida

Downloads 309 (136,033)

Abstract:

Option Market Efficiency and Analyst Recommendations

Journal of Business Finance & Accounting, Vol. 37, Issue 5-6, pp. 560-590, June/July 2010

Number of pages: 31 Posted: 13 Jul 2010

James Doran, Andy Fodor and Kevin Krieger

University of New South Wales, Ohio University and University of West Florida

Downloads 2 (897,973)

Abstract:

24.

So You Discovered an Anomaly ... Gonna Publish It? An Investigation Into the Rationality of Publishing a Market Anomaly

Number of pages: 48 Posted: 11 Jan 2007

James Doran and Colbrin Wright

University of New South Wales and Brigham Young University

Downloads 309 (136,725)

Abstract:

25.

Earnings Conference Call Content and Stock Price: The Case of REITs

Downloads 284 (149,317)

2

Earnings Conference Call Content and Stock Price: The Case of REITs

Journal of Real Estate Finance and Economics, Vol. 45, No. 2, pp. 402-434, 2012

Number of pages: 58 Posted: 16 Jun 2010 Last Revised: 08 Aug 2012

James Doran, David R. Peterson and S. McKay Price

University of New South Wales, Florida State University - Department of Finance and Lehigh University - Perella Department of Finance

Downloads 284 (148,608)

Citation 1

Abstract:

Earnings Conference Call Content and Stock Price: The Case of REITs

Journal of Real Estate Finance and Economics, Vol. 45, No. 2, 2012

Posted: 28 Aug 2012

James Doran, David R. Peterson and S. McKay Price

University of New South Wales, Florida State University - Department of Finance and Lehigh University - Perella Department of Finance

Abstract:

26.

Insiders versus Outsiders with Employee Stock Options: Who Knows Best About Future Firm Risk and Implications for Stock Returns

Number of pages: 26 Posted: 19 Feb 2007

James Doran, Andy Fodor and David R. Peterson

University of New South Wales, Ohio University and Florida State University - Department of Finance

Downloads 222 (189,881)

Citation 2

Abstract:

27.

Craving for Money? Evidence from the Laboratory and the Field

Number of pages: 94 Posted: 01 Apr 2020 Last Revised: 20 Jun 2022

Elise Payzan-LeNestour and James Doran

University of New South Wales and University of New South Wales

Downloads 197 (212,163)

Abstract:

28.

Asymmetric Pricing of Implied Systematic Volatility in the Cross-Section of Expected Returns

Journal of Futures Markets 31 (January 2011), pp. 34-54

Number of pages: 32 Posted: 04 Aug 2010 Last Revised: 15 Nov 2012

Jared DeLisle, James Doran and David R. Peterson

Utah State University, University of New South Wales and Florida State University - Department of Finance

Downloads 177 (232,924)

Citation 6

Abstract:

29.

The Pricing of Risk-Neutral Systematic Moments in the Cross-Section of Expected Returns

Number of pages: 57 Posted: 04 Jan 2011 Last Revised: 02 Apr 2011

Jared DeLisle, James Doran and David R. Peterson

Utah State University, University of New South Wales and Florida State University - Department of Finance

Downloads 160 (253,670)

Citation 1

Abstract:

30.

Market Discipline in the Individual Annuity Market

Downloads 135 (290,346)

Citation 2

2

Market Discipline in the Individual Annuity Market

Forthcoming in Risk Management and Insurance Review

Number of pages: 25 Posted: 02 Sep 2005 Last Revised: 28 Jul 2010

James M. Carson, James Doran and Randy E. Dumm

University of Georgia, University of New South Wales and Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law

Downloads 134 (293,121)

Abstract:

Market Discipline in the Individual Annuity Market

Risk Management and Insurance Review, Vol. 14, Issue 1, pp. 27-47, 2011

Number of pages: 21 Posted: 09 Apr 2012

James M. Carson, James Doran and Randy E. Dumm

University of Georgia, University of New South Wales and Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law

Downloads 1 (914,212)

Abstract:

31.

Implied Systematic Moments and the Cross-Section of Stock Returns

Number of pages: 34 Posted: 10 Nov 2010

Jared DeLisle, James Doran and David R. Peterson

Utah State University, University of New South Wales and Florida State University - Department of Finance

Downloads 106 (345,273)

Citation 2

Abstract:

32.

In the Eyes of the Beholder: The Rationality of Status Anxiety-Based Decision-Making

Number of pages: 55 Posted: 28 Apr 2012

Justin L. Davis, Andy Fodor and James Doran

University of West Florida, Ohio University and University of New South Wales

Downloads 88 (388,695)

Abstract:

33.

Hedging Long-Dated Oil Futures and Options Using Short-Dated Securities — Revisiting Metallgesellschaft

Number of pages: 18 Posted: 15 Mar 2021

James Doran and Ehud I. Ronn

University of New South Wales and University of Texas at Austin - Department of Finance

Downloads 47 (532,756)

Abstract:

34.

Friend or Foe: The Influence of Ambient Sound on Risk Perception

Posted: 21 Jul 2019 Last Revised: 10 Jun 2020

Elise Payzan-LeNestour, Bernard Balleine, James Doran, Gideon Nave and Lionnel Pradier

University of New South Wales, University of New South Wales (UNSW) - Decision Neuroscience Laboratory, University of New South Wales, University of Pennsylvania - The Wharton School and UNSW Australia Business School

Abstract:

35.

Implications for Asset Returns in the Implied Volatility Skew

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2

Implications for Asset Returns in the Implied Volatility Skew

Financial Analysts Journal, Forthcoming

Posted: 09 Dec 2009

James Doran and Kevin Krieger

University of New South Wales and University of West Florida

Abstract:

Implications for Asset Returns in the Implied Volatility Skew

Financial Analysts Journal, Vol. 66, No. 1, 2010

Posted: 16 Feb 2010

James Doran and Kevin Krieger

University of New South Wales and University of West Florida

James Doran

University of New South Wales

Deputy Head of School/Assoc. Professor

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