James Doran

University of New South Wales

Deputy Head of School/Assoc. Professor

College Rd

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

35

DOWNLOADS
Rank 1,373

SSRN RANKINGS

Top 1,373

in Total Papers Downloads

25,031

SSRN CITATIONS
Rank 5,713

SSRN RANKINGS

Top 5,713

in Total Papers Citations

66

CROSSREF CITATIONS

162

Scholarly Papers (35)

1.

Is There Money to Be Made Investing in Options? A Historical Perspective

Number of pages: 35 Posted: 04 Jan 2006 Last Revised: 16 Jul 2008
James Doran and Andy Fodor
University of New South Wales and Ohio University
Downloads 4,040 (2,834)
Citation 2

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Portfolio Returns, Option Strategies, Option Pricing, Sharpe Ratios, S&P 500

2.

Computing the Market Price of Volatility Risk in the Energy Commodity Markets

Journal of Banking and Finance, Vol. 32 (pp. 2541-2552) December 2008
Number of pages: 32 Posted: 10 Dec 2004 Last Revised: 31 Oct 2014
James Doran and Ehud I. Ronn
University of New South Wales and University of Texas at Austin - Department of Finance
Downloads 2,133 (8,324)
Citation 2

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Derivatives, volatility, energy, options

3.

Implied Volatility and Future Portfolio Returns

Journal of Banking and Finance, Vol. 31, October 2007
Number of pages: 28 Posted: 21 Apr 2006 Last Revised: 26 Feb 2009
University of New South Wales, Florida State University - Department of Finance and Florida State University - Department of Finance
Downloads 1,901 (10,035)
Citation 5

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Risk Premium, Implied Volatility, VIX Index, Portfolio Returns

4.

Is There Information in the Volatility Skew?

Journal of Futures Markets, Vol. 27, pp.921-960, October 2007
Number of pages: 43 Posted: 17 Jan 2006 Last Revised: 05 Jun 2009
University of New South Wales, Central Michigan University and Florida State University - Department of Finance
Downloads 1,628 (12,833)
Citation 6

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Volatility Skew, Option Pricing, S&P 100, Market Crashes, OEX

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 1,451 (15,398)
Citation 3

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Option pricing, volatility, energy, derivatives

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 1,290 (18,429)
Citation 5

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Implied Volatility Spread, Stock Returns, Option Returns, Option Demand

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
Lehigh University - Perella Department of Finance, University of New South Wales, Florida State University - Department of Finance and University of San Diego
Downloads 1,269 (18,891)
Citation 17

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Conference calls, Disclosure, Content analysis, Textual analysis, Stock returns, Post-earnings-announcement drift

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
Seattle University, University of New South Wales and Florida State University - Department of Finance
Downloads 1,225 (19,909)
Citation 3

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implied volatility, idiosyncratic volatility, portfolio returns

9.

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
University of New South Wales, University of Denver and Florida State University - Department of Finance
Downloads 836 (34,607)
Citation 6

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Mutual Funds, Index Funds, ETF, SPY, Flow of Funds

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 823 (34,841)
Citation 1

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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

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options, open interest, market efficiency, investor sentiment

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 749 (39,647)
Citation 1

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Risk Premium, Time-Series, Growth-Rates, S&P 500, VIX Index

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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Equity risk-premium, time-varying expected returns, conditional volatility

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
Seattle University, University of New South Wales, Ohio University and Florida State University - Department of Finance
Downloads 746 (40,436)
Citation 9

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Earnings announcements, Option Prices, Higher-Order Moments

13.

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 661 (47,646)
Citation 2

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Implied Volatility, Bank Risk, Derivative Use

14.

Estimation of the Risk Premiums in Energy Markets

Number of pages: 43 Posted: 02 May 2005
James Doran
University of New South Wales
Downloads 630 (50,694)
Citation 1

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Risk Premium, Option Pricing, Simulated Method of Moments, Natural Gas

15.

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

Number of pages: 27 Posted: 22 Apr 2006
University of New South Wales, University of Georgia and Florida State University - Department of Finance
Downloads 582 (56,179)

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Market crash risk, Implied volatility skew, Investments, Dynamic Hedging, Insurer financial strength

16.

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 556 (59,450)

Abstract:

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Option Prices, Idiosyncratic Volatility Risk, Portfolio Returns

17.

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 554 (59,742)

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VIX index, S&P 500 Index, Portfolio Returns, Volatility

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 524 (63,948)
Citation 7

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Idiosyncratic Volatility, Short-Sale Constraints, IPO Lockup, Option Introduction, Short-Sale Ban

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 350 (102,421)
Citation 1

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Volatility, risk premium, option pricing, nonparametric estimation, energy markets

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 122 (275,540)

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Volatility, risk premium, option pricing, nonparametric estimation, energy markets

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 433 (80,734)

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Wage Inequality, Discrimination, NFL

21.
Downloads 362 ( 99,346)
Citation 1

On the Demand for Portfolio Insurance

Number of pages: 41 Posted: 09 Jul 2010 Last Revised: 08 Oct 2012
Ohio University, University of New South Wales, University of Georgia and Ohio University - School of Accountancy
Downloads 361 (98,937)

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Portfolio Insurance, Hedging, Volatility, VIX

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
Ohio University, University of New South Wales, University of Georgia and Ohio University - School of Accountancy
Downloads 1 (798,432)
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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 351 (102,844)
Citation 8

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January effect, Gambling, Preference for skewness, Out-of-the-money options, China

23.

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 307 (119,099)

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Market Anomalies, Market Efficiency, Metafinance, Behavioral Finance

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 295 (123,530)

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Analyst Recommendations, Market Efficiency, Option Returns

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 1 (798,432)
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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
University of New South Wales, Florida State University - Department of Finance and Lehigh University - Perella Department of Finance
Downloads 267 (137,277)
Citation 1

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REITs, Conference Calls, Content Analysis, Tone

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

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REITs, Conference calls, Content analysis, Tone

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 207 (176,445)
Citation 2

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Employee Stock Options, Black-Scholes, Volatility, Firm Risk

27.

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 166 (214,564)
Citation 6

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Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing

28.

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 156 (226,109)
Citation 1

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asset pricing, risk-neutral moments, systematic volatility, systematic skewness, systematic kurtosis, expected returns

29.
Downloads 135 (254,278)
Citation 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 (256,636)

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Market discipline, life annuities, guaranty fund, suitability

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 (798,432)
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30.

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 103 (308,933)
Citation 2

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Asset Pricing, Implied Market Skewness, Implied Market Volatility, Risk Neutral Market Moments, Portfolio Selection

31.

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 81 (359,143)

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Status Anxiety, Investor Fear, Market Volatility, Agency Theory, Implied Volatility, SEC, Fraud, Accounting Fraud, Financial Fraud, Corporate Deviance, Enron, Arthur Andersen, Audit Quality, Auditor Quality

32.

Craving for Money? Empirical Evidence from the Laboratory and the Field

Number of pages: 80 Posted: 01 Apr 2020 Last Revised: 28 Jan 2021
Elise Payzan-LeNestour and James Doran
University of New South Wales and University of New South Wales
Downloads 79 (364,447)

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Decision making under risk and uncertainty, Self-Control, Craving, Gambling

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 18 (628,157)

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Hedging Long-Dated Oil Futures and Option Contracts

34.

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

Posted: 21 Jul 2019 Last Revised: 10 Jun 2020
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

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Neuroeconomics, Applied Psychology, Risk perception, Decision-making under uncertainty

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

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Option Prices, Implied Volatility Skew, Portfolio Returns

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

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Equity Investments, Fundamental Analysis and Valuation Models, Research Sources, Portfolio Management, Equity Strategies