Gurdip Bakshi

Fox School of Business

Marvin Wachman Professor of Finance

Department of Finance

Philadelphia, PA 19022

United States

http://https://sites.google.com/view/gurdipbakshi1

SCHOLARLY PAPERS

51

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471

Scholarly Papers (51)

The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

Number of pages: 52 Posted: 25 Jan 2011 Last Revised: 29 Feb 2012
Fox School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 1,724 (8,955)
Citation 7

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Baltic Dry Index, global stock markets, commodity returns, global real economic activity

The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

AFA 2012 Chicago Meetings Paper
Number of pages: 52 Posted: 22 Mar 2011
Fox School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 1,001 (20,943)
Citation 21

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Baltic Dry Index, global stock markets, commodity returns, global real economic activity, predictive regressions, out-of-sample statistic, economic significance

2.

Stock Valuation in Dynamic Economics

Yale ICF Working Paper No. 00-36
Number of pages: 52 Posted: 12 Jun 2001
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business
Downloads 2,182 (6,103)
Citation 15

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3.

Investigating the Sources of Default Risk: Lessons from Empirically Evaluating Credit Risk Models

AFA 2001 New Orleans Meetings
Number of pages: 53 Posted: 08 Mar 2001
Fox School of Business, University of Maryland - Robert H. Smith School of Business and Morgan Stanley
Downloads 1,538 (10,953)
Citation 23

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Downloads 1,527 ( 11,077)
Citation 215

Spanning and Derivative-Security Valuation

Number of pages: 34 Posted: 07 Apr 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Fox School of Business
Downloads 1,527 (10,876)
Citation 215

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Spanning and Derivative-Security Valuation

Journal of Financial Economics, Vol. 55, Iss. 2
Posted: 20 May 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Fox School of Business

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5.

A Theory of Volatility Spreads

Robert H. Smith School Research Paper No. RHS 06-028
Number of pages: 29 Posted: 02 Feb 2006
Gurdip Bakshi and Dilip B. Madan
Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,478 (11,657)
Citation 99

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risk-neutral volatility, physical volatility, pricing kernels, risk aversion, fat-tails

6.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

EFA 0162
Number of pages: 51 Posted: 10 Oct 2000
Nikunj Kapadia, Gurdip Bakshi and Dilip B. Madan
University of Massachusetts Amherst - Department of Finance, Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 1,459 (11,941)
Citation 176

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risk neutral skews, option pricing, individual stock options

7.

Understanding the Role of Recovery in Default Risk Models: Empirical Comparisons and Implied Recovery Rates

FDIC CFR Working Paper No. 06, EFA 2004 Maastricht Meetings Paper No. 3584, FEDS Working Paper, AFA 20004 Meetings
Number of pages: 32 Posted: 24 Oct 2003
University of Maryland - Robert H. Smith School of Business, Fox School of Business and Morgan Stanley
Downloads 1,348 (13,539)
Citation 52

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8.

An Alternative Valuation Model for Contingent Claims

THE CHARLES A. DICE CENTER FOR RESEARCH IN FINANCIAL ECONOMICS
Number of pages: 36 Posted: 29 Feb 1996
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business
Downloads 1,088 (18,816)
Citation 31

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9.

Do Higher-Moment Equity Risks Explain Hedge Fund Returns?

Robert H. Smith School Research Paper No. RHS 06-153
Number of pages: 54 Posted: 21 Mar 2008 Last Revised: 30 Jan 2011
Vikas Agarwal, Gurdip Bakshi and Joop Huij
Georgia State University, Fox School of Business and Erasmus University - Rotterdam School of Management
Downloads 1,079 (19,049)
Citation 20

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volatility risk, skewness risk, kurtosis risk, higher moments, exposures, hedge funds, alphas

Delta-Hedged Gains and the Negative Market Volatility Risk Premium

AFA 2001 New Orleans Meetings
Number of pages: 48 Posted: 17 Apr 2001
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Fox School of Business
Downloads 899 (24,530)
Citation 294

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Review of Financial Studies, Forthcoming
Posted: 10 Jan 2002
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Fox School of Business

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Option pricing, stochastic volatility, volatility risk premium, delta-hedged gains

11.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Review of Financial Studies, Forthcoming
Number of pages: 49 Posted: 20 Sep 2001
Gurdip Bakshi, Nikunj Kapadia and Dilip B. Madan
Fox School of Business, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 803 (29,184)
Citation 305

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12.

Book Values, Earnings, and Market Valuations

AFA 2003 Washington, DC Meetings
Number of pages: 50 Posted: 15 Nov 2002
Nengjiu Ju and Gurdip Bakshi
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Fox School of Business
Downloads 784 (30,172)

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13.

Predictability of Currency Carry Trades and Asset Pricing Implications

Number of pages: 54 Posted: 30 Dec 2011
Gurdip Bakshi and George Panayotov
Fox School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 765 (31,212)
Citation 31

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currency carry trades, predictability

14.

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

Robert H. Smith School Research Paper No. RHS 06-154
Number of pages: 45 Posted: 09 May 2005 Last Revised: 13 Feb 2011
Peter Carr, Liuren Wu and Gurdip Bakshi
New York University Finance and Risk Engineering, City University of New York, CUNY Baruch College - Zicklin School of Business and Fox School of Business
Downloads 758 (31,611)
Citation 64

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Stochastic discount factors, international economy, stochastic risk premium

15.

Crash Discovery in Stock and Option Markets

Number of pages: 58 Posted: 20 Apr 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Fox School of Business
Downloads 698 (35,345)
Citation 7

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16.

Understanding the Sources of Risk Underlying the Cross-Section of Commodity Returns

Forthcoming, Management Science
Number of pages: 63 Posted: 04 Apr 2015 Last Revised: 13 Sep 2017
Gurdip Bakshi, Xiaohui Gao Bakshi and Alberto Rossi
Fox School of Business, University of Maryland - Department of Finance and University of Maryland - Department of Finance
Downloads 610 (42,315)
Citation 16

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Commodity asset pricing models, carry, momentum, innovations in equity volatility, speculative activity

17.

Investigating the Role of Systematic and Firm-Specific Factors in Default Risk: Lessons from Empirically Evaluating Credit Risk Models

Journal of Business, Forthcoming
Number of pages: 36 Posted: 30 Dec 2004
University of Maryland - Robert H. Smith School of Business, Fox School of Business and Morgan Stanley
Downloads 456 (61,324)
Citation 23

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Default risk models, reduced-form, leverage, distance-to-default, hedging

18.

Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics

Number of pages: 28 Posted: 19 Mar 2005
Nengjiu Ju, Gurdip Bakshi and Hui Ou-Yang
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF), Fox School of Business and Cheung Kong Graduate School of Business
Downloads 454 (61,644)

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Continuous-time models, Maximum-likelihood estimation, Density approximation

19.

Assessing Models of Individual Equity Option Prices

Number of pages: 34 Posted: 11 Apr 2012
Gurdip Bakshi, Charles Cao and Zhaodong Zhong
Fox School of Business, Pennsylvania State University and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 353 (83,079)
Citation 5

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individual equity option-models, risk-neutral kurtosis, return-jumps, volatility-jumps, stochastic volatility, option-implied return distributions

Equilibrium Valuation of Foreign Exchange Claims

THE CHARLES A. DICE CENTER FOR RESEARCH IN FINANCIAL ECONOMICS
Number of pages: 39 Posted: 29 Feb 1996
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business
Downloads 306 (96,884)
Citation 35

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Equilibrium Valuation of Foreign Exchange Claims

J. OF FINANCE
Posted: 12 Sep 1996
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business

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21.

Unified Treatment of Average-Rate Contingent Claims with Applications

Number of pages: 40 Posted: 30 Jul 1999
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Fox School of Business
Downloads 264 (114,036)
Citation 1

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22.
Downloads 251 (120,189)
Citation 6

Heterogeneity in Beliefs and Volatility Tail Behavior

Number of pages: 37 Posted: 20 Mar 2012
Gurdip Bakshi, Dilip B. Madan and George Panayotov
Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 251 (119,669)
Citation 6

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traded volatility, VIX option returns, tails of pricing and physical distributions

Heterogeneity in Beliefs and Volatility Tail Behavior

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 26 Jul 2014
Gurdip Bakshi, Dilip B. Madan and George Panayotov
Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)

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traded volatility, VIX option returns, tails of pricing and physical distributions, heterogeneiry

Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 42 Posted: 22 Sep 2008
Gurdip Bakshi and Georgios Skoulakis
Fox School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 89 (284,511)
Citation 9

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subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return

Do Subjective Expectations Explain Asset Pricing Puzzles?

Journal of Financial Economics (JFE), 2010
Number of pages: 37 Posted: 14 Apr 2010
Gurdip Bakshi and Georgios Skoulakis
Fox School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 68 (334,215)

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Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 37 Posted: 23 Mar 2009
Gurdip Bakshi and Georgios Skoulakis
Fox School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 45 (408,021)
Citation 1

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subjective expectations; learning; structural uncertainty; priors; predictive density of consumption growth; equity premium; riskfree return

Do Subjective Expectations Explain Asset Pricing Puzzles?

Number of pages: 42 Posted: 19 Feb 2009
Gurdip Bakshi and Georgios Skoulakis
Fox School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 44 (411,857)
Citation 1

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subjective expectations, learning, structural uncertainty, priors, predictive density of consumption growth, equity premium, riskfree return

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

Robert H. Smith School Research Paper No. RHS 06-107
Number of pages: 56 Posted: 28 Aug 2009 Last Revised: 30 Sep 2018
Gurdip Bakshi, Dilip B. Madan and George Panayotov
Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 159 (184,124)
Citation 50

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U-shaped pricing kernels, claims on the upside, negative call returns, short-selling, heterogeneity in beliefs

Returns of Claims on the Upside and the Viability of U-Shaped Pricing Kernels

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 55 Posted: 19 Mar 2010
Gurdip Bakshi, Dilip B. Madan and George Panayotov
Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 80 (304,089)

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U-shaped pricing kernels, claims on the upside, monotonically declining pricing kernels,

25.

Improving the Predictability of Real Economic Activity and Asset Returns with Forward Variances Inferred from Option Portfolios

Robert H. Smith School Research Paper No. RHS 06-137
Number of pages: 47 Posted: 08 Jun 2010 Last Revised: 29 Feb 2012
Fox School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance
Downloads 224 (135,212)
Citation 28

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Predictability, traded market variance, real economic activity, Treasury returns, stock market

26.

Average Rate Contingent Claims with Emphasis on Catastrophe Loss Options

Journal of Financial and Quantitative Analysis
Number of pages: 31 Posted: 07 Aug 2001
Dilip B. Madan and Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business and Fox School of Business
Downloads 207 (145,095)
Citation 12

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27.

An Asset Pricing Theory of Volatility Tail Behavior

Number of pages: 37 Posted: 15 Mar 2011
Gurdip Bakshi, Dilip B. Madan and George Panayotov
Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 196 (152,793)
Citation 1

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Traded Volatility, VIX Option Returns, Tails of Pricing and Physical Distributions, Heterogeneity

28.

Deducing the Implications of Jump Models for the Structure of Stock Market Crashes, Rallies, Jump Arrival Rates, and Extremes

Number of pages: 37 Posted: 07 Jan 2009
Gurdip Bakshi, Dilip B. Madan and George Panayotov
Fox School of Business, University of Maryland - Robert H. Smith School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 196 (152,793)
Citation 3

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jump structure, pure-jump price, crashes, arrival rate, extremes

Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors

Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2011-11, Fisher College of Business Working Paper No. 2011-03-011
Number of pages: 41 Posted: 21 Jun 2011 Last Revised: 18 Feb 2012
Gurdip Bakshi and Fousseni Chabi-Yo
Fox School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 146 (197,870)
Citation 29

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Stochastic discount factors, permanent component, transitory component, variance bounds, asset pricing models, eigenfunction problems

Variance Bounds on the Permanent and Transitory Components Of Stochastic Discount Factors

Journal of Financial Economics, 2012
Number of pages: 40 Posted: 06 Mar 2012
Gurdip Bakshi
Fox School of Business
Downloads 39 (431,898)

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Stochastic discount factors, permanent component, transitory component, variance bounds

30.

A Refinement to Ait-Sahalia's (2002) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Number of pages: 18 Posted: 06 Dec 2003
Gurdip Bakshi and Nengjiu Ju
Fox School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 183 (162,574)

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closed-form density approximation, one-dimensional diffusion, maximum-likelihood

31.

Estimation of Continuous-Time Models with an Application to Equity Volatility Dynamics

Journal of Financial Economics, Forthcoming, Robert H. Smith School Research Paper No. RHS 06-017
Number of pages: 29 Posted: 27 Jan 2006
Hui Ou-Yang and Gurdip Bakshi
Cheung Kong Graduate School of Business and Fox School of Business
Downloads 160 (182,862)
Citation 36

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Continuous-time models, Maximum-likelihood estimation, Density approximation, Market volatility dynamics

32.

A Recovery that We Can Trust? Deducing and Testing the Restrictions of the Recovery Theorem

Forthcoming, Review of Financial Studies
Number of pages: 47 Posted: 20 Nov 2016 Last Revised: 13 Sep 2017
Fox School of Business, University of Massachusetts Amherst - Isenberg School of Management and University of Maryland - Department of Finance
Downloads 158 (184,837)
Citation 17

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recovery theorem

33.

New Entropy Restrictions and the Quest for Better Specified Asset Pricing Models

Charles A. Dice Center Working Paper No. 2014-07, Fisher College of Business Working Paper No. 2014-03-007, Robert H. Smith School Research Paper No. RHS 2432966
Number of pages: 66 Posted: 06 May 2014 Last Revised: 20 Jun 2014
Gurdip Bakshi and Fousseni Chabi-Yo
Fox School of Business and University of Massachusetts Amherst - Isenberg School of Management
Downloads 147 (196,230)
Citation 6

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Entropy, stochastic discount factors, permanent component, lower entropy bounds, entropy codependence, asset pricing models, eigenfunction problem

34.

A Refinement to Ait-Sahalia's (2002) 'Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach'

Journal of Business, Vol. 78, No. 6, November 2005
Number of pages: 18 Posted: 30 Dec 2004
Gurdip Bakshi and Nengjiu Ju
Fox School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 128 (219,246)
Citation 5

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Density approximation, one-dimensional diffusions

35.

First-Passage Probability, Jump Models and Intra-Horizon Risk

Journal of Financial Economics, Vol. 95, No. 1, 2010
Number of pages: 50 Posted: 14 Feb 2010
Gurdip Bakshi and George Panayotov
Fox School of Business and Hong Kong University of Science & Technology (HKUST)
Downloads 115 (237,523)
Citation 6

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Intra-Period Risk, First-Passage Probability, Value-At-Risk, Jump Models

36.

An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond

Number of pages: 51 Posted: 29 Apr 2015
Fox School of Business, University of Massachusetts Amherst - Isenberg School of Management and University of Maryland - Department of Finance
Downloads 113 (240,484)
Citation 2

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Long-term Treasury bond, expected excess return, lower bound, options on bond futures

37.

A Theory of Dissimilarity between Stochastic Discount Factors

Number of pages: 64 Posted: 11 Sep 2017 Last Revised: 20 Sep 2017
Fox School of Business, University of Maryland - Department of Finance and Hong Kong University of Science & Technology (HKUST)
Downloads 80 (301,228)
Citation 1

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Dissimilarity between SDFs

38.

An Approach to Measure the Expectation of Generic Functions of the Market Return

Number of pages: 59 Posted: 11 Sep 2017
Gurdip Bakshi, Xiaohui Gao Bakshi and Jinming Xue
Fox School of Business, University of Maryland - Department of Finance and University of Maryland - Department of Finance
Downloads 68 (330,273)

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Expected market return; Disaster probabilities; Girsanov theorem; Equity index options

39.

Implications of Incomplete Markets for International Economies

Review of Financial Studies (Forthcoming)
Number of pages: 71 Posted: 21 Sep 2017
Gurdip Bakshi, Mario Cerrato and John Crosby
Fox School of Business, Glasgow University and University of Maryland - Robert H. Smith School of Business
Downloads 61 (352,145)
Citation 9

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Incomplete Markets, Exchange Rates

40.

Crossing a Rubicon into Active Money Management Realities: Performance Measurement When Funds Follow Opaque Strategies

Number of pages: 78 Posted: 03 Nov 2017 Last Revised: 22 Feb 2018
Gurdip Bakshi, John Crosby and Xiaohui Gao Bakshi
Fox School of Business, University of Maryland - Robert H. Smith School of Business and University of Maryland - Department of Finance
Downloads 53 (373,523)

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41.

The Multiplicative Wedge Approach to Incomplete Markets and the Trifecta of Exchange Rate Puzzles

Number of pages: 32 Posted: 24 Sep 2016 Last Revised: 01 Nov 2016
Gurdip Bakshi and John Crosby
Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 42 (411,501)
Citation 1

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currency puzzles, incomplete spanning, multiplicative wedge

42.

Cross-Currency Consistency, Three-Part SDF Factorizations, and an Impossibility Theorem for the Stationarity of Exchange Rates in International Economies

Number of pages: 78 Posted: 23 Oct 2018 Last Revised: 22 May 2019
Gurdip Bakshi and John Crosby
Fox School of Business and University of Maryland - Robert H. Smith School of Business
Downloads 32 (451,959)

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Three-Part Decomposition, Stationarity of Exchange Rates, Incomplete Markets, SDFs

43.

Studying the Implications of Consumption and Asset Return Data for Stochastic Discount Factors in Incomplete International Economies

Robert H. Smith School Research Paper No. RHS 2858834
Number of pages: 50 Posted: 27 Oct 2016
Gurdip Bakshi, Mario Cerrato and John Crosby
Fox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business
Downloads 27 (476,133)
Citation 2

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Incomplete Markets, Limited Risk Sharing, Currency Puzzles

44.

Unspanned Risks, Negative Local Time Risk Premiums, and Empirical Consistency of Models of Interest-Rate Claims

Number of pages: 73 Posted: 28 Jun 2019
Gurdip Bakshi, John Crosby and Xiaohui Gao Bakshi
Fox School of Business, University of Maryland - Robert H. Smith School of Business and University of Maryland - Department of Finance
Downloads 12 (561,932)

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Expected return of options on Treasury bond futures, unspanned components of pricing kernel, interest-rate models, Tanaka’s formula, local time risk premiums

45.

Risk Sharing in International Economies and Market Incompleteness

American Finance Association Meeting 2016 , 27th Australasian Finance and Banking Conference 2014 Paper
Posted: 16 Aug 2014 Last Revised: 30 Sep 2018
Gurdip Bakshi, Mario Cerrato and John Crosby
Fox School of Business, London Metropolitan University - Department of Economics, Finance and International Business (EFIB) and University of Maryland - Robert H. Smith School of Business

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International risk sharing, incomplete markets, exchange rates, high (low) interest rates, carry trade

46.

Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights

Journal of Derivatives, Fall 2003, pp. 45-54
Posted: 09 Sep 2003
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Fox School of Business

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47.

Growth Outlook and the Cross-Section of Stock Returns

Posted: 16 Feb 2001
Amy Chan and Gurdip Bakshi
University of Maryland and Fox School of Business

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Growth outlook, return cross-section, stock valuation, expected stock returns

48.

Do Call Prices and the Underlying Stock Always Move in the Same Direction?

Review of Financial Studies
Posted: 14 Oct 1999
Zhiwu Chen, Gurdip Bakshi and Charles Cao
University of Hong Kong, Fox School of Business and Pennsylvania State University

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49.

Inflation, Asset Prices and the Term Structure of Interest Rates in Monetary Economies

REVIEW OF FINANCIAL STUDIES, Vol 9 No 1
Posted: 24 Aug 1998
Zhiwu Chen and Gurdip Bakshi
University of Hong Kong and Fox School of Business

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50.

Pricing and Hedging Long-Term Options

Journal of Econometrics, 1998
Posted: 06 May 1998
Zhiwu Chen, Gurdip Bakshi and Charles Cao
University of Hong Kong, Fox School of Business and Pennsylvania State University

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Empirical Performance of Alternative Option Pricing Models

J. OF FINANCE
Posted: 30 Apr 1997
Zhiwu Chen, Charles Cao and Gurdip Bakshi
University of Hong Kong, Pennsylvania State University and Fox School of Business

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Empirical Performance of Alternative Option Pricing Models

Posted: 06 Mar 1997
Zhiwu Chen, Charles Cao and Gurdip Bakshi
University of Hong Kong, Pennsylvania State University and Fox School of Business

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