Jared DeLisle

Utah State University

Assistant professor

Logan, UT 84322

United States

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 14,688

SSRN RANKINGS

Top 14,688

in Total Papers Downloads

3,569

SSRN CITATIONS
Rank 30,156

SSRN RANKINGS

Top 30,156

in Total Papers Citations

19

CROSSREF CITATIONS

6

Scholarly Papers (22)

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 652 (43,208)
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 Miami - Department of Finance, University of Central Missouri, Utah State University and Lehigh University - Perella Department of Finance
Downloads 446 (69,923)
Citation 4

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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 257 (129,602)
Citation 12

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

4.
Downloads 252 (132,210)
Citation 2

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 188 (174,533)
Citation 2

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 64 (378,060)

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volatility, risk, REIT return

5.

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
Downloads 241 (138,222)

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Prospect theory, Mental accounting, Option prices

6.

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 195 (168,991)

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Short trading, options market, informed traders

7.

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 177 (184,315)

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

8.

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 162 (198,885)
Citation 6

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Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing

9.

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 151 (211,007)

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

10.

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
Texas Tech University - Area of Finance, Utah State University and West Virginia University, Department of Finance
Downloads 147 (215,715)

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

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 131 (237,256)
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

12.

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 118 (255,833)

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Limited Arbitrage, Asset Pricing, ICAPM, ETF

13.

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 106 (275,978)

Abstract:

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Asset pricing; Empirical asset pricing; Idiosyncratic volatility

14.

Does Probability Weighting Drive Skewness Preferences?

9th Conference on Financial Markets and Corporate Governance (FMCG) 2018
Number of pages: 34 Posted: 14 Jul 2017 Last Revised: 17 Apr 2018
Benjamin M. Blau, Jared DeLisle and Ryan J. Whitby
Utah State University - Huntsman School of Business, Utah State University and Utah State University - Huntsman School of Business
Downloads 100 (287,104)

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Lotteries, Anchoring, Skewness, Behavioral Finance, Probability Weighting

15.

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 99 (289,029)

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stock repurchase, institutional investors, wealth transfer

16.

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 98 (290,970)
Citation 2

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

17.

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 70 (356,099)
Citation 1

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

18.

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

Journal of Financial Research, Forthcoming
Number of pages: 58 Posted: 30 Jan 2020 Last Revised: 05 Mar 2020
Utah State University, University of Massachusetts and West Virginia University, Department of Finance
Downloads 54 (405,424)

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

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 52 (412,320)

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IPO, Behavioral Finance

20.

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 47 (430,464)

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Bank Risk, Financial Stress, Derivatives, Hedging

21.

Hazard Stocks and Expected Returns

Number of pages: 48 Posted: 09 Jul 2020
Jared DeLisle, Michael F. Ferguson and Haim Kassa
Utah State University, University of Cincinnati - Department of Finance - Real Estate and Miami University
Downloads 14 (602,413)

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Hazard Stocks, Lottery Stocks, MAX, Under-reaction, Equity Returns, Tail Risk, Information Uncertainty, Limits to Arbitrage

22.

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