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

35

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Top 2,098

in Total Papers Downloads

31,152

TOTAL CITATIONS
Rank 5,088

SSRN RANKINGS

Top 5,088

in Total Papers Citations

212

Scholarly Papers (35)

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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 4,660 (4,551)
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 2,239 (14,761)
Citation 10

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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 2,131 (16,011)
Citation 5

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Risk Premium, Implied Volatility, VIX Index, Portfolio Returns

4.

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 2,112 (16,238)
Citation 114

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

5.

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 2,103 (16,369)
Citation 6

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

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 1,912 (19,039)
Citation 8

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

7.

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 1,641 (24,081)
Citation 5

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

8.

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 1,555 (26,173)
Citation 4

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Option pricing, volatility, energy, derivatives

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 1,315 (33,577)
Citation 3

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implied volatility, idiosyncratic volatility, portfolio returns

10.

Do Option Open-Interest Changes Foreshadow Future Equity Returns?

Downloads 1,091 (44,071)
Citation 3

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 1,091 (43,370)
Citation 3

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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 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 896 (57,999)
Citation 9

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Earnings announcements, Option Prices, Higher-Order Moments

12.

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

Downloads 895 (58,076)
Citation 3

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 895 (57,158)
Citation 3

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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

13.

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 893 (58,243)
Citation 6

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

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 - Huntsman School of Business
Downloads 736 (75,565)
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 679 (83,724)
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 649 (88,676)
Citation 2

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

17.

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 605 (96,960)

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Wage Inequality, Discrimination, NFL

18.

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 604 (97,160)

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Option Prices, Idiosyncratic Volatility Risk, Portfolio Returns

19.

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 575 (103,549)
Citation 8

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

20.

The Influence of Tracking Error on Volatility Premium Estimation

Downloads 535 (113,337)
Citation 1

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 387 (164,504)
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 148 (427,979)

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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 461 (135,783)
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 414 (153,971)

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Portfolio Insurance, Hedging, Volatility, VIX

23.

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

Downloads 359 (180,645)
Citation 1

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 359 (178,984)
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

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 350 (185,682)

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Analyst Recommendations, Market Efficiency, Option Returns

25.

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 343 (189,824)

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Market Anomalies, Market Efficiency, Metafinance, Behavioral Finance

26.

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 - Huntsman School of Business, University of New South Wales and Florida State University - Department of Finance
Downloads 290 (227,398)
Citation 6

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Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing

27.

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 263 (251,307)
Citation 2

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

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 - Huntsman School of Business, University of New South Wales and Florida State University - Department of Finance
Downloads 200 (327,989)
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 161 (398,493)

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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 - Huntsman School of Business, University of New South Wales and Florida State University - Department of Finance
Downloads 153 (416,015)
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 128 (480,501)

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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 119 (508,395)

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Hedging Long-Dated Oil Futures and Option Contracts

33.

Craving Money? Evidence from the Laboratory and the Field

Number of pages: 97 Posted: 01 Apr 2020 Last Revised: 07 Dec 2023
Elise Payzan-LeNestour and James Doran
University of New South Wales and University of New South Wales
Downloads 85 (640,870)

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

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

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

35.

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