James Doran

University of New South Wales

Deputy Head of School/Assoc. Professor

College Rd

Sydney, NSW 2052

Australia

  • University of New South Wales

SCHOLARLY PAPERS

36

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128

CROSSREF CITATIONS

159

Scholarly Papers (36)

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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 4,426 (3,554)
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 2,178 (11,352)
Citation 7

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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
James Doran, Prithviraj Banerjee and David R. Peterson
University of New South Wales, Florida State University - Department of Finance and Florida State University - Department of Finance
Downloads 2,000 (12,998)
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
James Doran, Brian C. Tarrant, Brian C. Tarrant and David R. Peterson
University of New South Wales, Florida State University - Department of FinanceCentral Michigan University and Florida State University - Department of Finance
Downloads 1,840 (14,858)
Citation 7

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

5.

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 1,627 (17,943)
Citation 5

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

6.

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 1,531 (19,656)
Citation 56

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

7.

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 1,494 (20,420)
Citation 3

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Option pricing, volatility, energy, derivatives

8.

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 1,413 (22,252)

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

9.

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 1,260 (26,363)
Citation 3

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implied volatility, idiosyncratic volatility, portfolio returns

10.

Do Option Open-Interest Changes Foreshadow Future Equity Returns?

Downloads 954 (39,278)

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 954 (38,694)

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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

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 865 (44,954)
Citation 6

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

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 813 (48,953)
Citation 9

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Earnings announcements, Option Prices, Higher-Order Moments

13.

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

Downloads 797 (50,279)

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 797 (49,571)
Citation 2

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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

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 707 (59,042)
Citation 2

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Implied Volatility, Bank Risk, Derivative Use

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 645 (66,517)
Citation 1

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

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 611 (71,316)

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

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 586 (75,075)

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Option Prices, Idiosyncratic Volatility Risk, Portfolio Returns

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 548 (81,671)
Citation 7

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

19.

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 514 (88,404)

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Wage Inequality, Discrimination, NFL

20.

The Influence of Tracking Error on Volatility Premium Estimation

Downloads 502 (91,055)
Citation 3

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 367 (130,225)
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 135 (338,501)

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

21.

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 393 (121,391)
Citation 8

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

22.

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 390 (122,461)

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Portfolio Insurance, Hedging, Volatility, VIX

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 326 (149,146)

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Market Anomalies, Market Efficiency, Metafinance, Behavioral Finance

24.

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 318 (153,168)

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Analyst Recommendations, Market Efficiency, Option Returns

25.

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

Downloads 303 (161,136)

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 303 (160,118)
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
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

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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 240 (203,960)
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 197 (245,572)
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 175 (272,661)
Citation 1

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

29.

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 149 (312,276)

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Market discipline, life annuities, guaranty fund, suitability

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 125 (357,766)
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 102 (413,827)

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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.

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 65 (540,629)

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Hedging Long-Dated Oil Futures and Option Contracts

33.

Craving for Money

Number of pages: 87 Posted: 03 Aug 2022 Last Revised: 13 Sep 2022
Elise Payzan-LeNestour and James Doran
University of New South Wales and University of New South Wales
Downloads 52 (601,434)

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Craving, decision making under uncertainty, gambling, neuroeconomics, option pricing, self-control.

34.

Pavlovian Influences on Repeated Risk-Taking: Theory and Evidence

Number of pages: 83 Posted: 01 Apr 2020 Last Revised: 17 Mar 2023
Elise Payzan-LeNestour and James Doran
University of New South Wales and University of New South Wales
Downloads 34 (706,871)

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Decision making under uncertainty, self-control, craving, option pricing, neurofinance

35.

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

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

36.

Implications for Asset Returns in the Implied Volatility Skew

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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