Dmitriy Muravyev

Michigan State University - Department of Finance

315 Eppley Center

East Lansing, MI 48824-1122

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 4,198

SSRN RANKINGS

Top 4,198

in Total Papers Downloads

10,446

SSRN CITATIONS
Rank 10,884

SSRN RANKINGS

Top 10,884

in Total Papers Citations

64

CROSSREF CITATIONS

41

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

Scholarly Papers (13)

1.

Market Return Around the Clock: A Puzzle

Number of pages: 72 Posted: 27 May 2020 Last Revised: 11 Sep 2020
Oleg Bondarenko and Dmitriy Muravyev
University of Illinois at Chicago - Department of Finance and Michigan State University - Department of Finance
Downloads 1,388 (15,109)
Citation 1

Abstract:

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Market return, intraday data, uncertainty resolution, index futures

2.

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
Michigan State University - Department of Finance
Downloads 1,324 (16,211)
Citation 14

Abstract:

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Option returns, order imbalance, inventory, equity options

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: 53 Posted: 02 Jan 2015 Last Revised: 27 May 2020
David Weinbaum, Andy Fodor, Dmitriy Muravyev and Martijn Cremers
Syracuse University, Ohio University, Michigan State University - Department of Finance and University of Notre Dame
Downloads 1,209 (18,655)
Citation 5

Abstract:

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Option Trading, News Releases, Informed Traders

4.
Downloads 1,093 ( 21,653)
Citation 23

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
Michigan State University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Estonian Business School
Downloads 788 (34,024)
Citation 2

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
Michigan State University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and Estonian Business School
Downloads 305 (110,807)
Citation 24

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

5.

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
Michigan State University - Department of Finance and Boston College - Carroll School of Management
Downloads 1,051 (22,912)
Citation 6

Abstract:

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Option returns, seasonality, behavioral finance

6.

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
Michigan State University - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 809 (33,466)
Citation 25

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

7.

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, Michigan State University - Department of Finance and University of California, Los Angeles (UCLA) - Finance Area
Downloads 791 (34,346)
Citation 4

Abstract:

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index options, order flow, information, market efficiency

8.

Why Do Price and Volatility Information from the Options Market Predict Stock Returns?

Number of pages: 67 Posted: 13 Oct 2016 Last Revised: 29 Apr 2020
Dmitriy Muravyev, Neil D. Pearson and Joshua Matthew Pollet
Michigan State University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 697 (40,864)
Citation 5

Abstract:

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

9.

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 Michigan State University - Department of Finance
Downloads 661 (43,798)
Citation 2

Abstract:

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10.

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 Michigan State University - Department of Finance
Downloads 598 (50,017)

Abstract:

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

11.

Should We Use Closing Prices? Institutional Price Pressure at the Close

Number of pages: 61 Posted: 25 Nov 2019 Last Revised: 01 Jun 2020
Vincent Bogousslavsky and Dmitriy Muravyev
Boston College - Department of Finance and Michigan State University - Department of Finance
Downloads 573 (52,903)
Citation 5

Abstract:

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closing price, closing auction, price efficiency, institutional trading

12.

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
Michigan State University - Department of Finance and Grand Valley State University
Downloads 186 (181,435)

Abstract:

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trading seasonality, liquidity, informed trading, behavioral algorithmic trading

13.

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

Number of pages: 49 Posted: 23 Jun 2016 Last Revised: 22 Oct 2019
Dmitriy Muravyev, Neil D. Pearson and Joshua Matthew Pollet
Michigan State University - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 66 (377,316)
Citation 1

Abstract:

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