Jared DeLisle

Utah State University

Assistant professor

Logan, UT 84322

United States

SCHOLARLY PAPERS

28

DOWNLOADS
Rank 16,470

SSRN RANKINGS

Top 16,470

in Total Papers Downloads

5,519

SSRN CITATIONS
Rank 16,058

SSRN RANKINGS

Top 16,058

in Total Papers Citations

74

CROSSREF CITATIONS

11

Scholarly Papers (28)

1.

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 721 (64,658)
Citation 2

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Implied Volatility, Bank Risk, Derivative Use

2.

The Effects of Conference Call Tones on Market Perceptions of Value Uncertainty

Journal of Financial Markets, Forthcoming
Number of pages: 49 Posted: 19 Mar 2015 Last Revised: 07 Feb 2018
Paul Borochin, Jim Cicon, Jared DeLisle and S. McKay Price
University of Florida - Department of Finance, Insurance and Real Estate, University of Central Missouri, Utah State University and Lehigh University - Perella Department of Finance
Downloads 555 (89,966)
Citation 12

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Earnings conference calls, Disclosure, Textual analysis, Scripting, Option implied volatility, Uncertainty, Price discovery

3.

Do Sophisticated Investors Interpret Earnings Conference Call Tone Differently than Investors at Large? Evidence from Short Sales

Journal of Corporate Finance, Vol. 31, 203-219, 2015
Number of pages: 45 Posted: 19 Sep 2012 Last Revised: 19 Mar 2015
Benjamin M. Blau, Jared DeLisle and S. McKay Price
Utah State University - Huntsman School of Business, Utah State University and Lehigh University - Perella Department of Finance
Downloads 384 (139,689)
Citation 14

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Earnings conference calls; Disclosure; Linguistic analysis; Information processing; Short selling

4.
Downloads 336 (161,318)
Citation 5

Pricing of Volatility Risk in REITs

Journal of Real Estate Research, 2013, Vol. 35, No. 2, pp. 223-248.
Number of pages: 33 Posted: 14 Oct 2011 Last Revised: 15 May 2013
Jared DeLisle, S. McKay Price and C. F. Sirmans
Utah State University, Lehigh University - Perella Department of Finance and Florida State University - Department of Risk Management, Insurance, Real Estate & Business Law
Downloads 234 (232,674)
Citation 3

Abstract:

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Risk, Idiosyncratic Volatility, Implied Systematic Volatility, Market Volatility Factor, Asset Pricing, REITs

Pricing of Volatility Risk in REITs

Journal of Real Estate Research, Vol. 35, No. 2, 2013
Number of pages: 26 Posted: 18 Jun 2013
Jared DeLisle, S. McKay Price and C. F. Sirmans
Utah State University, Lehigh University - Perella Department of Finance and Florida State University - Department of Risk Management, Insurance, Real Estate & Business Law
Downloads 102 (468,016)

Abstract:

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volatility, risk, REIT return

5.

Passive Ownership and Earnings Manipulation

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018
Number of pages: 42 Posted: 15 Jan 2018 Last Revised: 29 Jan 2020
Boise State University - College of Business and Economics, Utah State University and West Virginia University, Department of Finance
Downloads 293 (187,220)
Citation 1

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passive ownership, earnings manipulation, M-score, fraud, financial reporting, corporate governance

6.

Anchoring and Probability Weighting in Option Prices

Journal of Futures Markets 37(6), 614-638.
Number of pages: 36 Posted: 09 Feb 2015 Last Revised: 16 Jul 2017
Utah State University, Seattle University, Ohio University and University of West Florida
Downloads 285 (191,987)

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Prospect theory, Mental accounting, Option prices

7.

The Dynamic Relation Between Options Trading, Short Selling, and Aggregate Stock Returns

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 56 Posted: 01 Sep 2012 Last Revised: 16 Apr 2015
Jared DeLisle, Bong-Soo Lee and Nathan Mauck
Utah State University, Florida State University and University of Missouri - Kansas City
Downloads 271 (202,080)

Abstract:

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Short trading, options market, informed traders

8.

Comovement, Passive Investing and Price Informativeness

Number of pages: 53 Posted: 24 Oct 2012 Last Revised: 08 Sep 2015
Jared DeLisle, Dan W. French and Maria G. Vivero
Utah State University, Lamar University and The University of Dayton
Downloads 239 (228,931)

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comovement, volatility, informed trading, correlated trading, passive investing, institutional ownership, price informativeness

9.

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 227 (240,536)
Citation 6

Abstract:

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Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing

10.

Hazard Stocks and Expected Returns

Journal of Banking and Finance, Vol. 121, 2021
Number of pages: 69 Posted: 09 Jul 2020 Last Revised: 19 Mar 2021
Utah State University, University of Cincinnati - Department of Finance - Real Estate, Miami University and West Virginia University, Department of Finance
Downloads 208 (260,926)

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hazard stocks, anomaly, lottery stocks, MAX, underreaction, equity returns, tail risk, information uncertainty, limits to arbitrage, asymmetric arbitrage

11.

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 185 (290,139)
Citation 1

Abstract:

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

12.

Social Connectedness and Local Stock Return Comovement

Number of pages: 35 Posted: 30 Sep 2022
Jared DeLisle, Andrew R. Grant and Ruiqi Mao
Utah State University, University of Sydney Business School - Discipline of Finance and University of Sydney Business School
Downloads 165 (320,595)

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Social Interactions, Social Connectedness, Return Comovement, Local Bias, Information Diffusion

13.

Does Probability Weighting Drive Skewness Preferences?

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018, 30th Australasian Finance and Banking Conference 2017, Journal of Behavioral Finance 21 (3), 233-247
Number of pages: 34 Posted: 14 Jul 2017 Last Revised: 26 Mar 2021
Benjamin M. Blau, Jared DeLisle and Ryan Whitby
Utah State University - Huntsman School of Business, Utah State University and Utah State University - Huntsman School of Business
Downloads 161 (327,356)
Citation 7

Abstract:

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Lotteries, Anchoring, Skewness, Behavioral Finance, Probability Weighting

14.
Downloads 159 (330,891)
Citation 2

Skewness Preference and Seasoned Equity Offers

Review of Corporate Finance Studies, Forthcoming
Number of pages: 61 Posted: 21 Mar 2011 Last Revised: 30 Jun 2016
Don M. Autore and Jared DeLisle
Florida State University - College of Business and Utah State University
Downloads 159 (330,973)
Citation 2

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idiosyncratic skewness, seasoned equity offers, flotation costs, long run stock performance

Skewness Preference and Seasoned Equity Offers

Review of Corporate Finance Studies, Forthcoming
Posted: 14 Jan 2016
Don M. Autore and Jared DeLisle
Florida State University - College of Business and Utah State University

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idiosyncratic skewness, seasoned equity offers, flotation costs, long run stock performance

15.

Systematic Limited Arbitrage and the Cross-Section of Stock Returns: Evidence from Exchange Traded Funds

Journal of Banking and Finance, 2016, Vol. 70, 118-136
Number of pages: 46 Posted: 06 Nov 2014 Last Revised: 12 Jul 2016
Jared DeLisle, Brian McTier and Adam R Smedema
Utah State University, Washington State University and University of Northern Iowa
Downloads 142 (362,961)

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Limited Arbitrage, Asset Pricing, ICAPM, ETF

16.

Idiosyncratic Volatility and Firm-Specific News: Beyond Limited Arbitrage

Financial Management, Forthcoming
Number of pages: 75 Posted: 25 Sep 2015 Last Revised: 12 Jul 2016
Jared DeLisle, Nathan Mauck and Adam R Smedema
Utah State University, University of Missouri - Kansas City and University of Northern Iowa
Downloads 139 (369,002)
Citation 1

Abstract:

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Asset pricing; Empirical asset pricing; Idiosyncratic volatility

17.

Share Repurchases and Wealth Transfer Among Shareholders

Number of pages: 38 Posted: 10 Jun 2014
Jared DeLisle, Justin Morscheck and John R. Nofsinger
Utah State University, Gonzaga University and University of Alaska Anchorage
Downloads 139 (369,002)

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stock repurchase, institutional investors, wealth transfer

18.

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 136 (375,199)
Citation 2

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Asset Pricing, Implied Market Skewness, Implied Market Volatility, Risk Neutral Market Moments, Portfolio Selection

19.

Investors and Choice Overload: Evidence from IPOs

Number of pages: 34 Posted: 18 Aug 2017
Ansley Chua, Jared DeLisle and Tareque Nasser
Kansas State University, Utah State University and Kansas State University
Downloads 126 (398,127)

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IPO, Behavioral Finance

20.
Downloads 125 (400,525)

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Inequality, Stock Market Participation, Household Finance, Financial Risk Taking, Quasi-natural experiments

21.

Price-to-Earnings Ratios and Option Prices

Journal of Futures Markets, Forthcoming
Number of pages: 28 Posted: 09 Feb 2015
Kansas State University, Utah State University, Synchrony Financial and Florida State University
Downloads 106 (452,246)
Citation 1

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Option pricing model, price-to-earnings ratios, market efficiency

22.

What’s in a Name? A Cautionary Tale of Profitability Anomalies and Limits to Arbitrage

Journal of Financial Research, 2020, 43(2), pp. 305-344. DOI: doi.org/10.1111/jfir.12208
Number of pages: 62 Posted: 30 Jan 2020 Last Revised: 03 Nov 2021
Utah State University, Texas A&M University Corpus Christi and West Virginia University, Department of Finance
Downloads 98 (477,769)
Citation 2

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gross profitability, operating profitability, cash-based operating profitability, limits to arbitrage, mispricing, SG&A expenses, accruals

23.

Bank Risk, Financial Stress, and Bank Derivative Use

Number of pages: 39 Posted: 09 Oct 2017
Barbara A. Bliss, Jeffrey A. Clark and Jared DeLisle
University of San Diego, Florida State University - College of Business and Utah State University
Downloads 90 (504,740)
Citation 4

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Bank Risk, Financial Stress, Derivatives, Hedging

24.

Index Mutual Fund Ownership and Financial Reporting Quality

Number of pages: 51 Posted: 30 Jul 2022
Boise State University - College of Business and Economics, Utah State University and West Virginia University, Department of Finance
Downloads 89 (508,301)
Citation 1

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index mutual fund ownership, corporate governance, fraud, financial reporting, financial reporting aggressiveness, discretionary accruals

25.

Dynamics of Price Clustering in an Emerging Stock Market

Number of pages: 31 Posted: 15 Nov 2022
Boise State University - College of Business and Economics, King Fahd University of Petroleum and Minerals (KFUPM) and Utah State University
Downloads 55 (659,818)

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Emerging Markets, Market efficiency, Political Uncertainty, Price clustering

26.

Variability of Mispricing Characteristics and Future Stock Returns

Number of pages: 26 Posted: 26 Sep 2022
Utah State University, Seattle University, Ohio University and Miami University
Downloads 54 (665,413)

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anomalies, Information, stock returns, mispricing characteristics, portfolio choice

27.

The Effects of Country-Level Governance Quality on the Stability of Equity Markets: Evidence from Cross-Listed Securities

Number of pages: 42 Posted: 14 Nov 2022
⸹ David Y. Aharon, Ahmed S. Baig and Jared DeLisle
Ono Academic College, Boise State University - College of Business and Economics and Utah State University
Downloads 31 (821,357)

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American depository receipts, volatility, governance, rule of law, control of corruption, political risk, voice and accountability

28.

Variation in Option Implied Volatility Spread and Future Stock Returns

Posted: 20 May 2020
Utah State University, Seattle University, Ohio University and Miami University

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options, implied volatility spread, information, stock returns