Jared DeLisle

Utah State University

Assistant professor

Logan, UT 84322

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 13,787

SSRN RANKINGS

Top 13,787

in Total Papers Downloads

2,759

CITATIONS
Rank 28,821

SSRN RANKINGS

Top 28,821

in Total Papers Citations

8

Scholarly Papers (16)

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, Implied Capital Advisors and Utah State University
Downloads 580 (33,655)
Citation 2

Abstract:

Implied Volatility, Bank Risk, Derivative Use

2.
Downloads 215 (115,409)

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 162 (150,051)

Abstract:

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 53 (318,313)

Abstract:

volatility, risk, REIT return

3.

Volatility as an Asset Class: Holding VIX in a Portfolio

Number of pages: 44 Posted: 06 Dec 2014
Jared DeLisle, James Doran and Kevin Krieger
Utah State University, Implied Capital Advisors and
Downloads 184 (70,531)
Citation 1

Abstract:

VIX, volatility, futures, options, hedging

4.

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 143 (143,705)

Abstract:

Short trading, options market, informed traders

5.

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 124 (145,959)

Abstract:

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

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 115 (198,433)

Abstract:

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

Abstract:

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

7.

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, Implied Capital Advisors and Florida State University - Department of Finance
Downloads 115 (184,412)
Citation 1

Abstract:

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

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, Implied Capital Advisors and Florida State University - Department of Finance
Downloads 106 (190,189)
Citation 3

Abstract:

Asymmetric Volatility, VIX, Portfolio Returns, Risk Pricing

9.

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

8th Conference on Financial Markets and Corporate Governance (FMCG) 2017
Number of pages: 48 Posted: 19 Mar 2015 Last Revised: 17 May 2017
Paul Borochin, Jim Cicon, Jared DeLisle and S. McKay Price
University of Connecticut - School of Business, University of Central Missouri, Utah State University and Lehigh University - Perella Department of Finance
Downloads 101 (111,854)

Abstract:

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

10.

Prospect Theory, Mental Accounting, and Option Prices

Number of pages: 26 Posted: 09 Feb 2015
Utah State University, Seattle University, Ohio University and
Downloads 88 (123,799)

Abstract:

Prospect theory, Mental accounting, Option prices

11.

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. Schutte
Utah State University, University of Missouri at Columbia and Michigan Technological University
Downloads 76 (189,005)

Abstract:

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

12.

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, Implied Capital Advisors and Florida State University - Department of Finance
Downloads 73 (255,825)
Citation 1

Abstract:

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

13.

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 50 (239,251)

Abstract:

Limited Arbitrage, Asset Pricing, ICAPM, ETF

14.

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 46 (263,966)

Abstract:

stock repurchase, institutional investors, wealth transfer

15.

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 33 (324,915)

Abstract:

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

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 3 (302,873)

Abstract:

Asset pricing; Empirical asset pricing; Idiosyncratic volatility