James Doran

Implied Capital Advisors

CIO

1942 Broadway Suite 409

Boulder, CO 80302

United States

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SCHOLARLY PAPERS

32

DOWNLOADS
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in Total Papers Downloads

20,404

CITATIONS
Rank 5,029

SSRN RANKINGS

Top 5,029

in Total Papers Citations

103

Scholarly Papers (32)

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
Implied Capital Advisors and Ohio University
Downloads 2,125 (3,207)
Citation 1

Abstract:

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
Implied Capital Advisors and University of Texas at Austin - Department of Finance
Downloads 1,892 (5,441)
Citation 8

Abstract:

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
Implied Capital Advisors, Florida State University - Department of Finance and Florida State University - Department of Finance
Downloads 1,555 (7,387)
Citation 13

Abstract:

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
Implied Capital Advisors, Central Michigan University and Florida State University - Department of Finance
Downloads 1,286 (10,294)
Citation 11

Abstract:

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
Implied Capital Advisors and University of Texas at Austin - Department of Finance
Downloads 1,277 (10,467)
Citation 10

Abstract:

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
Seattle University, Implied Capital Advisors and Florida State University - Department of Finance
Downloads 1,061 (13,974)
Citation 16

Abstract:

implied volatility, idiosyncratic volatility, portfolio returns

7.

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
Implied Capital Advisors, University of Denver and Florida State University - Department of Finance
Downloads 735 (24,405)
Citation 4

Abstract:

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

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
Implied Capital Advisors, University of Texas at Austin - Department of Finance and Adelphi University - School of Business
Downloads 686 (28,632)
Citation 4

Abstract:

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
Implied Capital Advisors, University of Texas at Austin - Department of Finance and Adelphi University - School of Business

Abstract:

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

9.

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
Implied Capital Advisors, Ohio University and College of Business, SUNY at Stony Brook
Downloads 603 (22,556)

Abstract:

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

10.

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, Implied Capital Advisors, Ohio University and Florida State University - Department of Finance
Downloads 603 (30,607)
Citation 4

Abstract:

Earnings announcements, Option Prices, Higher-Order Moments

11.

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, Implied Capital Advisors, Florida State University - Department of Finance and University of San Diego
Downloads 585 (25,177)
Citation 3

Abstract:

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

12.

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, Implied Capital Advisors and Utah State University
Downloads 580 (33,697)
Citation 2

Abstract:

Implied Volatility, Bank Risk, Derivative Use

13.

Estimation of the Risk Premiums in Energy Markets

Number of pages: 43 Posted: 02 May 2005
James Doran
Implied Capital Advisors
Downloads 575 (34,747)
Citation 1

Abstract:

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

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 Implied Capital Advisors
Downloads 517 (41,844)

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, and Implied Capital Advisors

Abstract:

options, open interest, market efficiency, investor sentiment

15.

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
Implied Capital Advisors and Ohio University
Downloads 505 (41,244)
Citation 4

Abstract:

Option Prices, Idiosyncratic Volatility Risk, Portfolio Returns

16.

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

Number of pages: 27 Posted: 22 Apr 2006
Implied Capital Advisors, University of Georgia and Florida State University - Department of Finance
Downloads 498 (41,341)
Citation 1

Abstract:

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

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, SUNY at Stony Brook, Florida State University - Department of Finance and Implied Capital Advisors
Downloads 468 (45,324)
Citation 3

Abstract:

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
Implied Capital Advisors
Downloads 336 (71,013)
Citation 4

Abstract:

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
Implied Capital Advisors
Downloads 102 (216,824)
Citation 4

Abstract:

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

19.
Downloads 310 ( 78,359)

On the Demand for Portfolio Insurance

Number of pages: 41 Posted: 09 Jul 2010 Last Revised: 08 Oct 2012
Ohio University, Implied Capital Advisors, University of Georgia and Ohio University - School of Accountancy
Downloads 309 (78,144)

Abstract:

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, Implied Capital Advisors, University of Georgia and Ohio University - School of Accountancy
Downloads 1 (564,400)

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
Implied Capital Advisors and Chicago Mercantile Exchange
Downloads 304 (73,343)

Abstract:

Wage Inequality, Discrimination, NFL

21.
Downloads 275 ( 89,583)
Citation 2

Option Market Efficiency and Analyst Recommendations

Number of pages: 27 Posted: 11 Sep 2008
James Doran, Andy Fodor and Kevin Krieger
Implied Capital Advisors, Ohio University and
Downloads 274 (89,487)
Citation 2

Abstract:

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
Implied Capital Advisors, Ohio University and
Downloads 1 (564,400)
Citation 2

Abstract:

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
Implied Capital Advisors and Brigham Young University
Downloads 269 (87,795)

Abstract:

Market Anomalies, Market Efficiency, Metafinance, Behavioral Finance

23.

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
Implied Capital Advisors, College of Business, SUNY at Stony Brook and Florida State University - Department of Finance
Downloads 244 (85,793)
Citation 3

Abstract:

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

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
Implied Capital Advisors, Florida State University - Department of Finance and Lehigh University - Perella Department of Finance
Downloads 211 (117,322)
Citation 3

Abstract:

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
Implied Capital Advisors, Florida State University - Department of Finance and Lehigh University - Perella Department of Finance

Abstract:

REITs, Conference calls, Content analysis, Tone

25.

Volatility as an Asset Class: Holding VIX in a Portfolio

Number of pages: 44 Posted: 06 Dec 2014
Jared DeLisle, James Doran and Kevin Krieger
Utah State University, Implied Capital Advisors and
Downloads 184 (70,391)
Citation 1

Abstract:

VIX, volatility, futures, options, hedging

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
Implied Capital Advisors, Ohio University and Florida State University - Department of Finance
Downloads 159 (135,324)

Abstract:

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

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, Implied Capital Advisors and Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law
Downloads 129 (181,792)

Abstract:

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, Implied Capital Advisors and Florida State University - Department of Risk Management/Insurance, Real Estate and Business Law
Downloads 1 (564,400)

Abstract:

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, Implied Capital Advisors and Florida State University - Department of Finance
Downloads 115 (184,587)
Citation 1

Abstract:

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

29.

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, Implied Capital Advisors and Florida State University - Department of Finance
Downloads 106 (190,374)
Citation 2

Abstract:

Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing

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, Implied Capital Advisors and Florida State University - Department of Finance
Downloads 73 (256,110)
Citation 1

Abstract:

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 Implied Capital Advisors
Downloads 54 (270,458)

Abstract:

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

Implications for Asset Returns in the Implied Volatility Skew

Financial Analysts Journal, Forthcoming
Posted: 09 Dec 2009
James Doran and Kevin Krieger
Implied Capital Advisors and

Abstract:

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
Implied Capital Advisors and

Abstract:

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