Author Page for James Doran

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

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Citation 2

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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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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 1,901 (10,035)

Citation 5

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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 1,628 (12,833)

Citation 6

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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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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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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

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 1,269 (18,891)

Citation 17

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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

Dean Diavatopoulos, James Doran and David R. Peterson

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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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 836 (34,607)

Citation 6

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10.

Do Option Open-Interest Changes Foreshadow Future Equity Returns?

Downloads 823 ( 35,358)

2

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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11.

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

Downloads 749 ( 40,221)

2

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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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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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 746 (40,436)

Citation 9

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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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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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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 582 (56,179)

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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)

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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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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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19.

The Influence of Tracking Error on Volatility Premium Estimation

Downloads 472 ( 72,832)

Citation 3

2

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

Abstract:

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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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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21.

On the Demand for Portfolio Insurance

Downloads 362 ( 99,346)

Citation 1

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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 361 (98,937)

Abstract:

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 (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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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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24.

Option Market Efficiency and Analyst Recommendations

Downloads 296 (123,836)

2

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)

Abstract:

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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25.

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

Downloads 267 (137,936)

2

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 267 (137,277)

Citation 1

Abstract:

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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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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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

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

Downloads 156 (226,109)

Citation 1

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29.

Market Discipline in the Individual Annuity Market

Downloads 135 (254,278)

Citation 2

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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)

Abstract:

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

Abstract:

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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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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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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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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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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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

James Doran

University of New South Wales

Deputy Head of School/Assoc. Professor

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Scholarly Papers (35)

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On the Demand for Portfolio Insurance

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Option Market Efficiency and Analyst Recommendations

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Market Discipline in the Individual Annuity Market

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