Dmitriy Muravyev

Boston College - Department of Finance

Assistant Professor of Finance

Carroll School of Management

140 Commonwealth Avenue

Chestnut Hill, MA 02467-3808

United States

http://www2.bc.edu/dmitriy-muravyev/

SCHOLARLY PAPERS

10

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CITATIONS
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Top 7,845

in Total Papers Citations

71

Scholarly Papers (10)

1.

Order Flow and Expected Option Returns

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 05 Nov 2015
Dmitriy Muravyev
Boston College - Department of Finance
Downloads 1,245 (15,331)
Citation 17

Abstract:

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Option returns, order imbalance, inventory, equity options

2.
Downloads 1,045 ( 19,937)
Citation 29

Is There Price Discovery in Equity Options?

Number of pages: 59 Posted: 28 Sep 2010 Last Revised: 01 Sep 2012
Dmitriy Muravyev, Neil D. Pearson and John Paul Broussard
Boston College - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Estonian Business School
Downloads 742 (32,020)
Citation 12

Abstract:

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Price discovery, equity options, market microstructure, high frequency data, put-call parity

Is There Price Discovery in Equity Options?

Number of pages: 57 Posted: 22 Jan 2011 Last Revised: 21 Aug 2011
Dmitriy Muravyev, Neil D. Pearson and John Paul Broussard
Boston College - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Estonian Business School
Downloads 303 (97,979)
Citation 23

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Price Discovery, Equity Options, Market Microstructure, High Frequency Data, Put-Call Parity

3.

How Do Informed Option Traders Trade? Option Trading Activity, News Releases, and Stock Return Predictability

11th Annual Mid-Atlantic Research Conference in Finance (MARC), 28th Annual Conference on Financial Economics and Accounting
Number of pages: 56 Posted: 02 Jan 2015 Last Revised: 08 Feb 2019
Martijn Cremers, Andy Fodor, Dmitriy Muravyev and David Weinbaum
University of Notre Dame, Ohio University, Boston College - Department of Finance and Syracuse University
Downloads 970 (22,324)
Citation 3

Abstract:

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Option Trading, News Releases, Informed Traders

4.

Why Do Option Returns Change Sign from Day to Night?

Number of pages: 96 Posted: 12 Aug 2016 Last Revised: 14 Nov 2018
Dmitriy Muravyev and Xuechuan Ni
Boston College - Department of Finance and Boston College - Carroll School of Management
Downloads 900 (24,898)
Citation 2

Abstract:

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Option returns, seasonality, behavioral finance

5.

Option Trading Costs Are Lower than You Think

Number of pages: 62 Posted: 20 Mar 2015 Last Revised: 30 Sep 2016
Dmitriy Muravyev and Neil D. Pearson
Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 642 (39,541)
Citation 12

Abstract:

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Execution timing, trading costs, effective spread, liquidity, equity options, algorithmic trading

6.

Index Option Trading Activity and Market Returns

Number of pages: 67 Posted: 22 Jun 2016 Last Revised: 20 May 2018
Emory University - Department of Finance, West Virginia University - College of Business & Economics, Boston College - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 617 (41,785)
Citation 2

Abstract:

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index options, order flow, information, market efficiency

7.

Informed Trading in the Stock Market and Option Price Discovery

Swiss Finance Institute Research Paper No. 15-55
Number of pages: 61 Posted: 19 Oct 2015 Last Revised: 11 Apr 2019
Pierre Collin-Dufresne, Vyacheslav Fos and Dmitriy Muravyev
Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance and Boston College - Department of Finance
Downloads 574 (45,878)
Citation 2

Abstract:

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8.

Text Sentiment’s Ability to Capture Information: Evidence from Earnings Calls

Number of pages: 45 Posted: 12 Nov 2013 Last Revised: 21 Apr 2018
Tatiana Chebonenko, Lifeng Gu and Dmitriy Muravyev
University of Illinois at Urbana-Champaign, The University of Hong Kong and Boston College - Department of Finance
Downloads 505 (53,963)

Abstract:

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text sentiment, earnings calls, supervised-learning methods, Lasso, fundamental information

9.

Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees

Number of pages: 72 Posted: 13 Oct 2016 Last Revised: 17 Oct 2018
Dmitriy Muravyev, Neil D. Pearson and Joshua Matthew Pollet
Boston College - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 446 (63,173)
Citation 7

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Short sales, stock borrowing fee, stock lending fee, equity options

10.

Does Trade Clustering Reduce Trading Costs? Evidence from Periodicity in Algorithmic Trading

Number of pages: 39 Posted: 22 Sep 2014 Last Revised: 09 Aug 2016
Dmitriy Muravyev and Joerg Picard
Boston College - Department of Finance and Grand Valley State University
Downloads 163 (180,048)

Abstract:

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trading seasonality, liquidity, informed trading, behavioral algorithmic trading