Dmitriy Muravyev

University of Illinois at Urbana-Champaign - Department of Finance

Associate Professor

1206 South Sixth Street

Champaign, IL 61820

United States

Canadian Derivatives Institute

3000, chemin de la Côte-Sainte-Catherine

Montréal, Québec H3T 2A7

Canada

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 858

SSRN RANKINGS

Top 858

in Total Papers Downloads

54,707

TOTAL CITATIONS
Rank 4,566

SSRN RANKINGS

Top 4,566

in Total Papers Citations

299

Ideas:
“  You can learn more about my research on my website: www.dmurav.com  ”

Scholarly Papers (24)

1.
Downloads 16,955 ( 457)
Citation 20

Nonstandard Errors

Journal of Finance, Volume 79, Issue 3, June 2024, Pages 2339-2390.
Number of pages: 52 Posted: 23 Nov 2021 Last Revised: 29 Oct 2024
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera Romero, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom L. Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Mianjun Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schuerhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Zhou Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, National Bureau of Economic Research (NBER), CNRS, University of Oxford, University of Technology Sydney, Dublin City University, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - McDonough School of Business, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra (UPF) - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam - Department of Finance and Financial Sector Management, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Economics, Toulouse School of Economics, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), George Washington University, University of Hohenheim, Queen's University (Canada), Queen's School of Business, The Brattle Group, Faculty of Business and Economics, Dresden University of Technology, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, VU University Amsterdam, University of Queensland - Business School, Georgetown University - Department of Economics, University of Wisconsin - Milwaukee - Department of Finance, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, UNSW Business School, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera Italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex - Essex Business School, Radboud University Nijmegen - Institute for Management Research, Ardea Investment Management, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tübingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Economics, University of California, Berkeley - Haas School of Business, West Virginia University - John Chambers College of Business and Economics, Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - Department of Finance, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig Maximilian University of Munich (LMU), Aalto University, University of Birmingham - Department of Economics, Queen's University Belfast - Queen's Management School, Universidad de los Andes, HEC Montreal, University of Adelaide, Chemnitz University of Technology (CUT) - Department of Economics, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, SAFE Leibniz Institute for Financial Research, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Researcher, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, ESCP Europe - ESCP Europe - Turin Campus, Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, Independent, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, UNSW Australia Business School, School of Banking and Finance, Mississippi State University, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz - Institute of Banking and Finance, Royal Melbourne Institute of Technolog (RMIT University) - Blockchain Innovation Hub, University of Toronto, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Duisburg-Essen - Mercator School of Management, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington - Department of Finance and Real Estate, University of Basel - Faculty of Business and Economics, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, ESSEC Business School, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Edinburgh Business School, Oklahoma State University, HEC Paris - Finance Department, University of Quebec at Montreal (UQAM) - Faculty of Management (ESG), University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Banks - Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, The University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU Amsterdam - School of Business and Economics, Federal Reserve Bank of New York, Wilfrid Laurier University - Finance, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, University of New South Wales (UNSW), University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol Business School, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol - Department of Finance and Accounting, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, Vlerick Business School, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Reykjavik University, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex, Erasmus University Rotterdam, Central Michigan University, Aalto University, Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business, NHH Norwegian School of Economics - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam (VU Amsterdam), University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS) - Monetary and Economic Department, University of Calgary - Haskayne School of Business, Vrije Universiteit Amsterdam, School of Business and Economics, Queen's University, HEC Paris, University of Birmingham, King’s College London, Cardiff Business School, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Finance, Gottfried Wilhelm Leibniz Universität Hannover, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, State University of New York (SUNY) - University at Buffalo, Southwestern University of Finance and Economics (SWUFE), NGS Super, University of Toulouse Capitole, UC3M, University of Reading - ICMA Centre, Pontificia Universidad Católica de Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 16,955 (490)
Citation 20

Abstract:

Loading...

nonstandard errors, multi-analyst study, liquidity

2.

Market Return Around the Clock: A Puzzle

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 70 Posted: 27 May 2020 Last Revised: 05 Aug 2022
Oleg Bondarenko and Dmitriy Muravyev
University of Illinois at Chicago - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 5,188 (3,711)
Citation 11

Abstract:

Loading...

Market return, intraday data, uncertainty resolution, index futures

3.

Who Trades at the Close? Implications for Price Discovery and Liquidity

Number of pages: 70 Posted: 25 Nov 2019 Last Revised: 15 May 2023
Vincent Bogousslavsky and Dmitriy Muravyev
Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 3,403 (7,496)
Citation 7

Abstract:

Loading...

Closing auction, passive investing, price pressure, liquidity

4.

Informed Trading Intensity

Journal of Finance, Forthcoming
Number of pages: 93 Posted: 15 Jun 2021 Last Revised: 11 Jul 2023
Vincent Bogousslavsky, Vyacheslav Fos and Dmitriy Muravyev
Boston College - Department of Finance, Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 3,249 (8,049)
Citation 22

Abstract:

Loading...

Informed trading, machine learning, adverse selection, stock returns, intraday data

5.

Why Does Options Market Information Predict Stock Returns?

Number of pages: 57 Posted: 13 Oct 2016 Last Revised: 15 Jun 2023
Dmitriy Muravyev, Neil D. Pearson and Joshua Matthew Pollet
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 2,747 (10,497)
Citation 5

Abstract:

Loading...

equity options, put-call parity, implied volatility spread, implied volatility skew, stock borrowing fee, stock lending fee

6.

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
University of Illinois at Urbana-Champaign - Department of Finance
Downloads 2,413 (12,902)
Citation 18

Abstract:

Loading...

Option returns, order imbalance, inventory, equity options

7.

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, Management Science, Forthcoming
Number of pages: 48 Posted: 02 Jan 2015 Last Revised: 16 Aug 2022
David Weinbaum, Andy Fodor, Dmitriy Muravyev and Martijn Cremers
Syracuse University, Ohio University, University of Illinois at Urbana-Champaign - Department of Finance and University of Notre Dame
Downloads 2,384 (13,163)
Citation 7

Abstract:

Loading...

option trading, news releases, stock return predictability

8.

What Drives Momentum and Reversal? Evidence from Day and Night Signals

Number of pages: 71 Posted: 29 Apr 2022 Last Revised: 27 Sep 2024
Chapman University - The George L. Argyros College of Business and Economics, Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 2,328 (13,693)
Citation 2

Abstract:

Loading...

Momentum, Reversal, Intraday, Overnight, Underreaction

9.

An Anatomy of Retail Option Trading

Number of pages: 55 Posted: 25 Jan 2024 Last Revised: 09 Feb 2025
Vincent Bogousslavsky and Dmitriy Muravyev
Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 2,042 (16,889)
Citation 3

Abstract:

Loading...

retail trading, options, investor behaviour, trading motives

10.

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
University of Illinois at Urbana-Champaign - Department of Finance and Boston College - Carroll School of Management
Downloads 1,874 (19,383)
Citation 23

Abstract:

Loading...

Option returns, seasonality, behavioral finance

11.

Index Option Trading Activity and Market Returns

Management Science, Forthcoming
Number of pages: 59 Posted: 22 Jun 2016 Last Revised: 20 Oct 2019
Emory University - Department of Finance, West Virginia University - College of Business & Economics, University of Illinois at Urbana-Champaign - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1,455 (28,512)
Citation 4

Abstract:

Loading...

index options, order flow, information, market efficiency

12.
Downloads 1,454 (28,539)
Citation 56

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
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Oklahoma
Downloads 1,065 (44,191)
Citation 2

Abstract:

Loading...

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
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Oklahoma
Downloads 389 (161,096)
Citation 54

Abstract:

Loading...

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

13.

Option Trading Costs Are Lower than You Think

Number of pages: 87 Posted: 20 Mar 2015 Last Revised: 07 Oct 2019
Dmitriy Muravyev and Neil D. Pearson
University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,453 (28,572)
Citation 86

Abstract:

Loading...

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

14.

Options Market Makers *

Number of pages: 52 Posted: 30 Nov 2023 Last Revised: 12 Mar 2025
Jianfeng Hu, Antonia Kirilova, Dmitriy Muravyev and Doojin Ryu
Singapore Management University - Lee Kong Chian School of Business, CUNEF Universidad, University of Illinois at Urbana-Champaign - Department of Finance and Sungkyunkwan University
Downloads 1,353 (31,678)

Abstract:

Loading...

market makers, options, inventory, delta hedging, risk management

15.

Anomalies and Their Short-Sale Costs

Number of pages: 103 Posted: 15 Nov 2022 Last Revised: 09 Feb 2025
Dmitriy Muravyev, Neil D. Pearson and Joshua Matthew Pollet
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,349 (31,843)
Citation 4

Abstract:

Loading...

JEL Classification: G12, G13, G14 anomalies, stock return predictability, stock borrow fee, stock lending fee, limits to arbitrage

16.

Informed Trading in the Stock Market and Option Price Discovery

Swiss Finance Institute Research Paper No. 15-55
Number of pages: 66 Posted: 19 Oct 2015 Last Revised: 04 Mar 2020
Pierre Collin-Dufresne, Vyacheslav Fos and Dmitriy Muravyev
Ecole Polytechnique Fédérale de Lausanne, Boston College - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 1,084 (43,835)
Citation 4

Abstract:

Loading...

17.

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, Olivia Gu and Dmitriy Muravyev
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 947 (52,910)

Abstract:

Loading...

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

18.

Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options

Journal of Finance, Forthcoming
Number of pages: 57 Posted: 23 Jun 2016 Last Revised: 15 May 2021
Dmitriy Muravyev, Neil D. Pearson and Joshua Matthew Pollet
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 931 (54,207)
Citation 22

Abstract:

Loading...

Short sales, stock borrowing fee, risk premium, equity options

19.

What information do informed traders use?

Number of pages: 44 Posted: 21 Jul 2022 Last Revised: 14 Aug 2023
Oleg Bondarenko and Dmitriy Muravyev
University of Illinois at Chicago - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 732 (74,922)

Abstract:

Loading...

Informed trading, equity options, return predictability, insider trading

20.

Causal Effect of Information Costs on Asset Pricing Anomalies

Number of pages: 57 Posted: 13 Sep 2021 Last Revised: 18 Apr 2024
Zoran Ivkovich, Yong Hyuck Kim and Dmitriy Muravyev
Michigan State University, Department of Finance, California State University Long Beach, Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 335 (191,665)

Abstract:

Loading...

Information costs, stock anomalies, EDGAR, limits to arbitrage

21.

Data-Driven Measures of High-Frequency Trading

Number of pages: 78 Posted: 14 May 2024 Last Revised: 17 Mar 2025
Gbenga Ibikunle, Ben Moews, Dmitriy Muravyev and Khaladdin Rzayev
The University of Edinburgh, University of Edinburgh, University of Illinois at Urbana-Champaign - Department of Finance and University of Edinburgh
Downloads 315 (204,745)

Abstract:

Loading...

High-frequency trading, machine learning, latency arbitrage, information acquisition, liquidity

22.

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

Number of pages: 52 Posted: 22 Sep 2014 Last Revised: 15 Jun 2023
Dmitriy Muravyev and Joerg Picard
University of Illinois at Urbana-Champaign - Department of Finance and Grand Valley State University
Downloads 306 (211,291)
Citation 5

Abstract:

Loading...

trading seasonality, liquidity, informed trading, behavioral algorithmic trading

23.

Market Risk Premium and ESG Risk

Number of pages: 36 Posted: 12 Apr 2024 Last Revised: 12 Nov 2024
University of Washington, Bothell, University College Dublin (UCD), California State University Long Beach, Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and California State University, Long Beach
Downloads 294 (220,391)

Abstract:

Loading...

ESG, Market Risk Premium

24.

Do auctions impact quote competition?

Number of pages: 44 Posted: 22 Nov 2024
Amber Anand and Dmitriy Muravyev
Syracuse University - Whitman School of Management and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 116 (508,902)

Abstract:

Loading...

Exchange auctions;, Options markets, Internalization