Logan, UT 84322
United States
Utah State University
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Implied Volatility, Bank Risk, Derivative Use
Earnings conference calls, Disclosure, Textual analysis, Scripting, Option implied volatility, Uncertainty, Price discovery
Earnings conference calls; Disclosure; Linguistic analysis; Information processing; Short selling
Risk, Idiosyncratic Volatility, Implied Systematic Volatility, Market Volatility Factor, Asset Pricing, REITs
volatility, risk, REIT return
Prospect theory, Mental accounting, Option prices
passive ownership, earnings manipulation, M-score, fraud, financial reporting, corporate governance
comovement, volatility, informed trading, correlated trading, passive investing, institutional ownership, price informativeness
Short trading, options market, informed traders
Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing
hazard stocks, anomaly, lottery stocks, MAX, underreaction, equity returns, tail risk, information uncertainty, limits to arbitrage, asymmetric arbitrage
asset pricing, risk-neutral moments, systematic volatility, systematic skewness, systematic kurtosis, expected returns
Lotteries, Anchoring, Skewness, Behavioral Finance, Probability Weighting
idiosyncratic skewness, seasoned equity offers, flotation costs, long run stock performance
Limited Arbitrage, Asset Pricing, ICAPM, ETF
Asset pricing; Empirical asset pricing; Idiosyncratic volatility
stock repurchase, institutional investors, wealth transfer
Asset Pricing, Implied Market Skewness, Implied Market Volatility, Risk Neutral Market Moments, Portfolio Selection
Option pricing model, price-to-earnings ratios, market efficiency
gross profitability, operating profitability, cash-based operating profitability, limits to arbitrage, mispricing, SG&A expenses, accruals
IPO, Behavioral Finance
Bank Risk, Financial Stress, Derivatives, Hedging
index mutual fund ownership, corporate governance, fraud, financial reporting, financial reporting aggressiveness, discretionary accruals
Inequality, Stock Market Participation, Household Finance, Financial Risk Taking, Quasi-natural experiments
options, implied volatility spread, information, stock returns