Christopher S. Jones

University of Southern California - Marshall School of Business - Finance and Business Economics Department

Marshall School of Business

Los Angeles, CA 90089

United States

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 5,453

SSRN RANKINGS

Top 5,453

in Total Papers Downloads

14,349

SSRN CITATIONS
Rank 4,539

SSRN RANKINGS

Top 4,539

in Total Papers Citations

222

CROSSREF CITATIONS

176

Scholarly Papers (20)

1.
Downloads 2,798 ( 6,682)
Citation 20

Option Momentum

Journal of Finance, Forthcoming
Number of pages: 73 Posted: 20 May 2022
Steven L. Heston, Christopher S. Jones, Mehdi Khorram, Shuaiqi Li and Haitao Mo
University of Maryland - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), City University of Hong Kong and University of Kansas
Downloads 1,712 (19,283)
Citation 9

Abstract:

Loading...

options, momentum, reversal

Momentum, Reversal, and Seasonality in Option Returns

Number of pages: 85 Posted: 17 Nov 2020 Last Revised: 20 Nov 2020
Christopher S. Jones, Mehdi Khorram and Haitao Mo
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT) and University of Kansas
Downloads 1,086 (37,851)
Citation 3

Abstract:

Loading...

options, momentum, reversal, seasonality

2.

The Price of Market Volatility Risk

AFA 2009 San Francisco Meetings Paper
Number of pages: 59 Posted: 18 Mar 2008
Jefferson Duarte and Christopher S. Jones
Rice University - Jesse H. Jones Graduate School of Business and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 1,980 (15,596)
Citation 34

Abstract:

Loading...

volatility, options

3.

Option Mispricing Around Nontrading Periods

AFA 2010 Atlanta Meetings Paper, Marshall School of Business Working Paper No. FBE 03-10
Number of pages: 86 Posted: 22 Mar 2009 Last Revised: 17 Sep 2017
Christopher S. Jones and Joshua Shemesh
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Monash University - Department of Banking and Finance
Downloads 1,328 (28,709)
Citation 9

Abstract:

Loading...

Nontrading, weekend effect, equity options

4.

Do Option Prices Forecast Aggregate Stock Returns?

Number of pages: 71 Posted: 27 Jul 2017 Last Revised: 22 Aug 2018
Christopher S. Jones, Haitao Mo and Tong Wang
University of Southern California - Marshall School of Business - Finance and Business Economics Department, University of Kansas and University of Oklahoma, Price College of Business
Downloads 943 (46,885)
Citation 1

Abstract:

Loading...

Return Predictability, Options, Implied Volatility

5.

A Nonlinear Factor Analysis of S&P 500 Index Option Returns

Number of pages: 38 Posted: 04 Jul 2001
Christopher S. Jones
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 887 (51,178)
Citation 25

Abstract:

Loading...

6.

Investing in Disappearing Anomalies

Review of Finance, Forthcoming
Number of pages: 35 Posted: 15 May 2003 Last Revised: 16 Aug 2015
Christopher S. Jones and Lukasz Pomorski
University of Southern California - Marshall School of Business - Finance and Business Economics Department and AQR Capital Management, LLC
Downloads 794 (59,382)
Citation 1

Abstract:

Loading...

anomalies, Bayesian analysis, out-of-sample return predictability, asset allocation, structural breaks, January effect, return autocorrelation, value effect

7.

A Simple Bayesian Method for the Analysis of Diffusion Processes

Number of pages: 42 Posted: 04 Sep 1998
Christopher S. Jones
University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 684 (72,180)
Citation 6

Abstract:

Loading...

8.

Seasonal Momentum in Option Returns

Number of pages: 56 Posted: 25 Jul 2022
Steven L. Heston, Christopher S. Jones, Mehdi Khorram, Shuaiqi Li and Haitao Mo
University of Maryland - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), City University of Hong Kong and University of Kansas
Downloads 625 (80,830)

Abstract:

Loading...

options, VIX, seasonal momentum

9.

Out-of-Sample Performance of Mutual Fund Predictors

Review of Financial Studies, Forthcoming
Number of pages: 64 Posted: 28 May 2017 Last Revised: 08 Dec 2019
Christopher S. Jones and Haitao Mo
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Kansas
Downloads 614 (82,621)
Citation 23

Abstract:

Loading...

mutual funds, out-of-sample performance, market efficiency

10.

Inventory Investment and the Cost of Capital

Number of pages: 50 Posted: 19 Dec 2008 Last Revised: 20 Sep 2012
Christopher S. Jones and Selale Tuzel
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 611 (83,126)
Citation 44

Abstract:

Loading...

Inventory Investment, Return Predictability

11.

Too Good to Be True: Look-ahead Bias in Empirical Options Research

Number of pages: 64 Posted: 31 Oct 2023 Last Revised: 11 Apr 2024
Rice University - Jesse H. Jones Graduate School of Business, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Rochester Institute of Technology (RIT), University of Kansas and Louisiana State University, Baton Rouge
Downloads 585 (88,279)

Abstract:

Loading...

Options; look-ahead bias

12.
Downloads 525 (100,635)
Citation 59

Mutual Fund Performance with Learning Across Funds

Number of pages: 54 Posted: 06 Jun 2003
Christopher S. Jones and Jay A. Shanken
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Emory University - Goizueta Business School
Downloads 460 (116,626)
Citation 3

Abstract:

Loading...

mutual funds, asset allocation, Bayesian analysis, asset pricing

Mutual Fund Performance with Learning Across Funds

NBER Working Paper No. w9392
Number of pages: 46 Posted: 14 Dec 2002 Last Revised: 01 Sep 2022
Christopher S. Jones and Jay A. Shanken
University of Southern California - Marshall School of Business - Finance and Business Economics Department and Emory University - Goizueta Business School
Downloads 65 (642,762)
Citation 12

Abstract:

Loading...

13.

Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility

Number of pages: 62 Posted: 28 Jun 2003
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 511 (103,984)
Citation 13

Abstract:

Loading...

Term Structure of Interest rates, Affine Models

14.

Very Noisy Option Prices and Inference Regarding the Volatility Risk Premium

Journal of Finance forthcoming
Number of pages: 65 Posted: 25 Jul 2022 Last Revised: 19 Jan 2023
Jefferson Duarte, Christopher S. Jones and Junbo L. Wang
Rice University - Jesse H. Jones Graduate School of Business, University of Southern California - Marshall School of Business - Finance and Business Economics Department and Louisiana State University, Baton Rouge
Downloads 475 (113,503)
Citation 7

Abstract:

Loading...

Options; Volatility risk premium; Microstructure bias; Robustness

15.

Return Extrapolation and Day/Night Effects

Number of pages: 65 Posted: 09 Aug 2022 Last Revised: 18 Apr 2024
Christopher S. Jones, Sungjune Pyun and Tong Wang
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Yonsei University - School of Business and University of Oklahoma, Price College of Business
Downloads 378 (147,813)

Abstract:

Loading...

extrapolation, overnight returns

16.

Identification of Maximal Affine Term Structure Models

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 12 Jan 2007
Pierre Collin-Dufresne, Christopher S. Jones and Robert S. Goldstein
Ecole Polytechnique Fédérale de Lausanne, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Minnesota - Twin Cities - Carlson School of Management
Downloads 317 (178,855)
Citation 5

Abstract:

Loading...

Term Structure of Interest rates

17.

New Orders and Asset Prices

Number of pages: 53 Posted: 30 Mar 2009 Last Revised: 05 Oct 2011
Christopher S. Jones and Selale Tuzel
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 212 (266,950)
Citation 6

Abstract:

Loading...

New Orders, Return Predictability, Time-Varying Risk Premia, Business Cycles, Time to Plan

18.

Can Interest Rate Volatility Be Extracted from the Cross Section of Bond Yields? an Investigation of Unspanned Stochastic Volatility

NBER Working Paper No. w10756
Number of pages: 76 Posted: 01 Jun 2006 Last Revised: 23 Nov 2022
Pierre Collin-Dufresne, Robert S. Goldstein and Christopher S. Jones
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and University of Southern California - Marshall School of Business - Finance and Business Economics Department
Downloads 82 (555,918)
Citation 4

Abstract:

Loading...

19.

The Predictive Failure of the Baba, Hendry and Starr Model of the Demand for M1 in the United States

Federal Reserve Working Paper No. 94-34
Posted: 16 Sep 1999
Gregory D. Hess, Christopher S. Jones and Richard D. Porter
CESifo (Center for Economic Studies and Ifo Institute for Economic Research), University of Southern California - Marshall School of Business - Finance and Business Economics Department and Federal Reserve Bank of Chicago

Abstract:

Loading...

20.

Free Cash Flow, Optimal Contracting, and Takeovers

Rodney L. White Center Working Paper No. 3-97
Posted: 21 Apr 1997 Last Revised: 10 May 2024
Eitan Goldman, Christopher S. Jones and Ron Kaniel
Indiana University - Kelley School of Business - Department of Finance, University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of Rochester - Simon Business School

Abstract:

Loading...