Chayawat Ornthanalai

University of Toronto - Rotman School of Management

Associate Professor of Finance

105 St. George Street

Toronto, Ontario M5S 3E6 M5S1S4

Canada

SCHOLARLY PAPERS

17

DOWNLOADS
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8,100

SSRN CITATIONS
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SSRN RANKINGS

Top 10,345

in Total Papers Citations

54

CROSSREF CITATIONS

45

Scholarly Papers (17)

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 1,156 (18,529)
Citation 29

Abstract:

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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 1,100 (19,940)
Citation 11

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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 1,019 (22,337)
Citation 8

Abstract:

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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 831 (29,943)
Citation 14

Abstract:

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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 692 (38,477)
Citation 12

Abstract:

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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: 24 Jul 2018
Peter Christoffersen, Bruno Feunou, Yoontae Jeon and Chayawat Ornthanalai
University of Toronto - Rotman School of Management, Bank of Canada, Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 537 (53,642)
Citation 3

Abstract:

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

7.

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 462 (64,710)

Abstract:

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

8.

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

Rotman School of Management Working Paper No. 2572717
Number of pages: 49 Posted: 04 Mar 2015 Last Revised: 01 Aug 2019
Ling Cen, Erfan Danesh, Chayawat Ornthanalai and Xiaofei Zhao
The Chinese University of Hong Kong, Board of Governors of Federal Reserve System, University of Toronto - Rotman School of Management and Georgetown University - Robert Emmett McDonough School of Business
Downloads 394 (78,182)
Citation 1

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Customer-Supplier Relationship; Investor Recognition; Disclosure

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 386 (80,101)
Citation 6

Abstract:

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Market microstructure; Options; Liquidity; Market making

10.

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 341 (92,442)
Citation 5

Abstract:

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Accounting information; CDS; jumps; market integration

11.

Options on Initial Public Offerings

Rotman School of Management Working Paper No. 2311317, Pace University Finance Research Paper
Number of pages: 60 Posted: 18 Aug 2013 Last Revised: 30 Mar 2020
Thomas J. Chemmanur, Chayawat Ornthanalai and Padma Kadiyala
Boston College - Carroll School of Management, University of Toronto - Rotman School of Management and Pace University - Lubin School of Business
Downloads 314 (101,307)
Citation 2

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IPOs; Option listing; Long-run stock returns; short-sale constraint

12.

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 281 (114,128)
Citation 1

Abstract:

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Institutional trading, herding, market efficiency, analysts' recommendations

13.

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

Rotman School of Management Working Paper No. 2517329
Number of pages: 61 Posted: 02 Nov 2014 Last Revised: 22 Mar 2018
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 279 (115,034)
Citation 2

Abstract:

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

14.

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 Texas at Dallas, Naveen Jindal School of Management, Department of Finance and University of Toronto - Rotman School of Management
Downloads 162 (192,747)
Citation 2

Abstract:

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Asset Pricing; General Equilibrium; Learning; Attention; Contagion

15.

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 99 (280,594)

Abstract:

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

16.

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 47 (418,316)
Citation 1

Abstract:

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

17.

GARCH Option Valuation: Theory and Evidence

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 (700,186)
Citation 2

Abstract:

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GARCH, option valuation