James Doran

University of New South Wales

Senior Fellow

College Rd

Sydney, NSW 2052

Australia

  • University of New South Wales

SCHOLARLY PAPERS

34

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46

CROSSREF CITATIONS

160

Scholarly Papers (34)

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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 3,724 (2,785)
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 2,115 (7,244)
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
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 1,848 (9,105)
Citation 4

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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 and David R. Peterson
University of New South Wales, Central Michigan University and Florida State University - Department of Finance
Downloads 1,548 (12,055)
Citation 3

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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 1,437 (13,632)
Citation 3

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Option pricing, volatility, energy, derivatives

6.

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 1,213 (17,632)
Citation 3

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implied volatility, idiosyncratic volatility, portfolio returns

7.

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 1,167 (18,692)
Citation 2

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

8.

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 1,153 (19,041)
Citation 11

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

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
James Doran, Vaneesha Boney and David R. Peterson
University of New South Wales, University of Denver and Florida State University - Department of Finance
Downloads 827 (30,897)
Citation 6

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

10.

Do Option Open-Interest Changes Foreshadow Future Equity Returns?

Downloads 753 ( 35,097)
Citation 1

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, and University of New South Wales
Downloads 753 (34,565)
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, and University of New South Wales

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options, open interest, market efficiency, investor sentiment

11.

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

Downloads 728 ( 36,766)

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 728 (36,221)

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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
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 726 (36,908)
Citation 8

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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 649 (42,972)
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 622 (45,427)
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
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 568 (51,062)

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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 552 (52,906)

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Option Prices, Idiosyncratic Volatility Risk, Portfolio Returns

17.

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 512 (58,230)
Citation 6

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

18.

The Influence of Tracking Error on Volatility Premium Estimation

Downloads 463 ( 65,946)
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 348 (91,662)

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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 115 (258,898)

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

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 394 (79,973)

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Wage Inequality, Discrimination, NFL

20.

On the Demand for Portfolio Insurance

Downloads 351 ( 91,441)
Citation 1

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 350 (91,081)

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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
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 (727,946)
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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 334 (96,620)
Citation 2

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

22.

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 304 (107,219)

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Market Anomalies, Market Efficiency, Metafinance, Behavioral Finance

23.

Option Market Efficiency and Analyst Recommendations

Downloads 291 (112,330)

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
Downloads 290 (112,113)

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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
Downloads 1 (727,946)
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24.

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

Downloads 255 (129,092)

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 255 (128,507)

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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

25.

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 229 (143,561)

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

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 204 (160,200)
Citation 3

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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 161 (197,780)
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 151 (208,675)

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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

Downloads 134 (229,705)
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 133 (231,846)

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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 (727,946)
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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 98 (287,818)
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 79 (329,004)

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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.

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

Number of pages: 29 Posted: 21 Jul 2019 Last Revised: 24 Feb 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
Downloads 55 (397,888)

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Decision-making under uncertainty, Risk perception, Neuroeconomics, Laboratory experiments, Behavioral interventions

33.

Craving for Financial Returns? Empirical Evidence from the Laboratory and the Field

Number of pages: 96 Posted: 01 Apr 2020 Last Revised: 26 May 2020
Elise Payzan-LeNestour and James Doran
University of New South Wales and University of New South Wales
Downloads 24 (533,158)

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Tail Risk, Self-Control, Craving, Gambling, Neurofinance

34.

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

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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

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