Chayawat Ornthanalai

University of Toronto - Rotman School of Management

Associate Professor of Finance

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

  • University of Toronto - Rotman School of Management

SCHOLARLY PAPERS

19

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11,138

TOTAL CITATIONS
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SSRN RANKINGS

Top 7,438

in Total Papers Citations

135

Scholarly Papers (19)

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1.

Option Valuation with Long-Run and Short-Run Volatility Components

Journal of Financial Economics, Vol. 90, No. 3, pp. 272-297, CREATES Research Paper 2008-11
Number of pages: 51 Posted: 11 Feb 2005 Last Revised: 22 Jan 2012
Peter Christoffersen, Kris Jacobs, Chayawat Ornthanalai and Yintian Wang
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and McGill University - Desautels Faculty of Management
Downloads 1,382 (30,394)
Citation 34

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Option valuation, long-run component, short-run component, unobserved components, persistence, GARCH, out-of-sample, Volatility term structure

2.

Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?

EFA 2012, Copenhagen, 15-18 August 2012, WFA 2013 Tahoe, NV, June 17-20, 2013
Number of pages: 52 Posted: 19 Mar 2012 Last Revised: 26 Oct 2018
Sudheer Chava, Rohan Ganduri and Chayawat Ornthanalai
Georgia Institute of Technology - Scheller College of Business, Emory University and University of Toronto - Rotman School of Management
Downloads 1,284 (33,862)
Citation 19

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Credit ratings; Credit default swaps; Financial regulation

3.

Dynamic Jump Intensities and Risk Premia: Evidence from S&P500 Returns and Options

Journal of Financial Economics, Forthcoming., EFA 2008 Athens Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 51 Posted: 07 Mar 2008 Last Revised: 22 Jan 2012
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 1,225 (36,214)
Citation 11

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compound Poisson process, option valuation, filtering, volatility jumps, jump risk premia, time-varying jump intensity, heteroskedasticity

4.

Are Analysts' Recommendations Informative? Intraday Evidence on the Impact of Time Stamp Delays

Journal of Finance, Forthcoming, AFA 2011 Denver Meetings Paper
Number of pages: 53 Posted: 18 Mar 2010 Last Revised: 26 Oct 2015
Daniel Bradley, Jonathan Clarke, Suzanne S. Lee and Chayawat Ornthanalai
University of South Florida, Georgia Institute of Technology - Scheller College of Business, Georgia Institute of Technology - Finance Area and University of Toronto - Rotman School of Management
Downloads 974 (50,330)
Citation 20

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Analyst recommendations, high-frequency data, news arrival, jump detection

5.

Lévy Jump Risk: Evidence from Options and Returns

EFA 2009 Bergen Meetings, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 49 Posted: 13 Sep 2008 Last Revised: 10 Aug 2013
Chayawat Ornthanalai
University of Toronto - Rotman School of Management
Downloads 807 (65,086)
Citation 17

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Levy process, risk premium, GARCH, option valuation, filtering

6.

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 71 Posted: 20 Jun 2016 Last Revised: 02 Dec 2020
Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, Bank of Canada, McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management
Downloads 752 (71,475)
Citation 3

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Market liquidity, Crash risk, Jump intensity, Options, Filtering

7.

The Power of Economic Networks: Investor Recognition through Supply-Chain Relationships

Rotman School of Management Working Paper No. 2572717
Number of pages: 42 Posted: 04 Mar 2015 Last Revised: 21 Feb 2025
Erfan Danesh, Chayawat Ornthanalai and Xiaofei Zhao
Board of Governors of the Federal Reserve System, University of Toronto - Rotman School of Management and Georgetown University - McDonough School of Business
Downloads 716 (76,172)
Citation 2

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Customer-Supplier Relationship; Investor Recognition; Disclosure, Investor Recognition, Economic Network

8.

The Market for 0DTE: The Role of Liquidity Providers in Volatility Attenuation

Number of pages: 64 Posted: 03 Jul 2024 Last Revised: 14 Jan 2025
Greg Adams, Jean-Sebastien Fontaine and Chayawat Ornthanalai
Government of Canada - Bank of Canada, Bank of Canada and University of Toronto - Rotman School of Management
Downloads 667 (83,299)

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0DTE, Index Options, Volatility, Market Intermediaries, Intraday Hedging

9.

Options Illiquidity: Determinants and Implications for Stock Returns

Rotman School of Management Working Paper No. 2492506
Number of pages: 55 Posted: 07 Sep 2014 Last Revised: 08 Nov 2015
Ruslan Goyenko, Chayawat Ornthanalai and Shengzhe Tang
McGill University - Desautels Faculty of Management, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 594 (96,596)
Citation 11

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Market microstructure; Options; Liquidity; Market making

10.

Market Jump Risk and the Price Structure of Individual Equity Options

WFA 2010 Victoria meetings
Number of pages: 55 Posted: 19 Jul 2009 Last Revised: 01 Jun 2010
Redouane Elkamhi and Chayawat Ornthanalai
University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 546 (107,417)

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market jump risk, equity option, filtering, crash risk, skewness premium

11.

Speed and Expertise in Stock Picking: Older, Slower, and Wiser?

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 53 Posted: 02 Nov 2014 Last Revised: 06 Jan 2022
Romain Boulland, Chayawat Ornthanalai and Kent L. Womack
ESSEC Business School, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management (Deceased)
Downloads 444 (138,063)
Citation 1

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Sell-side analyst; Speed; Reputation concern; Investment style; Stock recommendations

12.

Accounting Information Releases and CDS Spreads

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 48 Posted: 29 Jun 2011 Last Revised: 17 Mar 2012
Redouane Elkamhi, Kris Jacobs, Hugues Langlois and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business, HEC Paris - Finance Department and University of Toronto - Rotman School of Management
Downloads 437 (140,615)
Citation 6

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Accounting information; CDS; jumps; market integration

13.

Asymmetries and the Market for Put Options

Swedish House of Finance Research Paper No. 21-12, Rotman School of Management Working Paper No. 3856753
Number of pages: 69 Posted: 01 Jun 2021 Last Revised: 25 Apr 2023
Adam Farago, Mariana Khapko and Chayawat Ornthanalai
University of Gothenburg - Centre for Finance, University of Toronto - Finance Area and University of Toronto - Rotman School of Management
Downloads 393 (158,742)

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Disappointment Aversion, Options, Equilibrium Asset Demand

14.

Institutional Herding and Asset Price: The Role of Information

Rotman School of Management Working Paper No. 1707868
Number of pages: 61 Posted: 13 Nov 2010 Last Revised: 26 Oct 2015
Jonathan Clarke, Chayawat Ornthanalai and Ya Tang
Georgia Institute of Technology - Scheller College of Business, University of Toronto - Rotman School of Management and McGill University - Desautels Faculty of Management
Downloads 377 (166,289)
Citation 1

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Institutional trading, herding, market efficiency, analysts' recommendations

15.

Fluctuating Attention and Financial Contagion

Journal of Monetary Economics, Forthcoming, Rotman School of Management Working Paper No. 2551085
Number of pages: 55 Posted: 18 Jan 2015 Last Revised: 30 Jul 2018
Michael Hasler and Chayawat Ornthanalai
University of Neuchatel and University of Toronto - Rotman School of Management
Downloads 218 (293,105)
Citation 3

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Asset Pricing; General Equilibrium; Learning; Attention; Contagion

16.

Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options

Rotman School of Management Working Paper No. 2360737
Number of pages: 49 Posted: 07 Dec 2013
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 167 (373,819)
Citation 1

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compound Poisson, fi…ltering, jumps, fat tails, risk premia

17.

The Term Structure of Expected Recovery Rates

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 62 Posted: 14 Aug 2018
Hitesh Doshi, Redouane Elkamhi and Chayawat Ornthanalai
University of Houston - C.T. Bauer College of Business, University of Toronto - Rotman School of Management and University of Toronto - Rotman School of Management
Downloads 121 (485,341)
Citation 4

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Credit Default Swaps (CDS); Stochastic Recovery; Term Structure Seniority; No-Arbitrage

18.

What is the Role of the Options Market? Evidence from Newly Public Companies

Number of pages: 55 Posted: 24 Feb 2025
Thomas J. Chemmanur, Chayawat Ornthanalai and Xiang Zheng
Boston College - Carroll School of Management, University of Toronto - Rotman School of Management and University of Connecticut - Department of Finance
Downloads 34 (948,497)

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Informed trading, Options trading, Signed volume, Short-sale constraint, IPO JEL classification: G14, G12, G24

19.

GARCH Option Valuation: Theory and Evidence

https://doi.org/10.3905/jod.2013.21.2.008
Posted: 20 May 2019
Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, University of Houston - C.T. Bauer College of Business and University of Toronto - Rotman School of Management
Downloads 0 (1,309,252)
Citation 2

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GARCH, option valuation