Dmitriy Muravyev

Michigan State University - Department of Finance

315 Eppley Center

East Lansing, MI 48824-1122

United States

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 5,461

SSRN RANKINGS

Top 5,461

in Total Papers Downloads

8,014

SSRN CITATIONS
Rank 13,489

SSRN RANKINGS

Top 13,489

in Total Papers Citations

36

CROSSREF CITATIONS

33

Scholarly Papers (12)

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
Michigan State University - Department of Finance
Downloads 1,276 (15,669)
Citation 3

Abstract:

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Option returns, order imbalance, inventory, equity options

2.
Downloads 1,069 ( 20,411)
Citation 18

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 765 (32,457)
Citation 1

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 304 (102,692)
Citation 18

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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, Michigan State University - Department of Finance and Syracuse University
Downloads 1,064 (20,534)
Citation 4

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
Michigan State University - Department of Finance and Boston College - Carroll School of Management
Downloads 974 (23,444)
Citation 3

Abstract:

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Option returns, seasonality, behavioral finance

5.

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 704 (36,970)
Citation 20

Abstract:

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

6.

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 689 (38,097)
Citation 2

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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: 97 Posted: 19 Oct 2015 Last Revised: 29 Jan 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 614 (44,368)
Citation 1

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8.

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
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 580 (47,966)
Citation 5

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

9.

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 554 (50,755)

Abstract:

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

10.

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

Number of pages: 50 Posted: 25 Nov 2019 Last Revised: 03 Dec 2019
Vincent Bogousslavsky and Dmitriy Muravyev
Boston College - Department of Finance and Michigan State University - Department of Finance
Downloads 297 (105,931)

Abstract:

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closing price, closing auction, price efficiency, institutional trading

11.

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 174 (178,736)

Abstract:

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trading seasonality, liquidity, informed trading, behavioral algorithmic trading

12.

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 19 (553,154)

Abstract:

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