Hammad Siddiqi

University of the Sunshine Coast-School of Business and Creative Industries

Senior Lecturer (Finance & Economics)

Brisbane, QLD 70010

Australia

http://www.usc.edu.au/staff-repository/dr-hammad-siddiqi

  • University of the Sunshine Coast-School of Business and Creative Industries

    • Email
    • Tel: +61404900497
SCHOLARLY PAPERS

43

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Top 20,074

in Total Papers Downloads

5,239

TOTAL CITATIONS
Rank 36,176

SSRN RANKINGS

Top 36,176

in Total Papers Citations

34

Ideas:
“  How resource allocation in the brain matters for asset pricing  ”

  • University of the Sunshine Coast-School of Business and Creative Industries

    • Email
    • Tel: +61404900497

Scholarly Papers (43)

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1.

Anchoring Adjusted Capital Asset Pricing Model

Journal of Behavioral Finance, Forthcoming
Number of pages: 43 Posted: 06 Nov 2015 Last Revised: 01 Jul 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 333 (187,013)
Citation 5

Abstract:

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Size Premium, Value Premium, Behavioral Finance, Stock Splits, Equity Premium Puzzle, Anchoring and Adjustment Heuristic, CAPM, Asset Pricing, Accrual Anomaly, Low Volatility Anomaly, Low-beta-high-alpha, Momentum Effect

2.

Anchoring and Adjustment Heuristic in Option Pricing

Number of pages: 34 Posted: 08 Jul 2010 Last Revised: 19 May 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 303 (206,931)

Abstract:

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Implied Volatility Skew, Stochastic Volatility, Jump Diffusion, Covered Call Writing, Zero-Beta Straddle, Leverage Adjusted Option Returns

3.

Anchoring Heuristic in Option Pricing

Number of pages: 34 Posted: 26 Mar 2015 Last Revised: 19 May 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 276 (227,943)
Citation 3

Abstract:

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Anchoring, Implied Volatility Skew, Stochastic Volatility, Jump Diffusion, Covered Call Writing, Zero-Beta Straddle, Leverage Adjusted Option Returns, Behavioral Finance

4.

Managing Option Trading Risk when Mental Accounting Influences Prices

Journal of Risk, 2015
Number of pages: 27 Posted: 12 Jan 2014 Last Revised: 10 Jun 2016
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 273 (230,502)

Abstract:

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Mental Accounting, Greeks, Options, Delta, Gamma, Theta, Covered Call

5.

Mental Accounting: A New Behavioral Explanation of Covered Call Performance

Number of pages: 16 Posted: 16 Jan 2014
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 229 (274,475)

Abstract:

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Covered Call, Mental Accounting, Analogy Making, Generalized Principle of No-Arbitrage, Behavioral Finance

6.

Resource Allocation in the Brain and the Capital Asset Pricing Model

Number of pages: 22 Posted: 15 Jun 2020 Last Revised: 06 Feb 2024
Hammad Siddiqi and Austin Murphy
University of the Sunshine Coast-School of Business and Creative Industries and Oakland University - School of Business Administration
Downloads 218 (287,676)
Citation 2

Abstract:

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Asset Pricing, Predictive Processing, CAPM, Security Market Line (SML) Slope, Size Effect, Betting-Against-Beta, Value Effect, Momentum Effect

7.

The Routes to Chaos in the Bitcoins Market

Number of pages: 14 Posted: 17 Feb 2014 Last Revised: 26 Feb 2014
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 217 (288,978)
Citation 2

Abstract:

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Bitcoins, Chaos, Speculation, Digital Currency, Complex System, Mean-Variance Optimization, Medium of Exchange, Store of Value, Logistic Map, Delay Logistic-Henon Map

8.

Asset Pricing in the Resource-Constrained Brain

Number of pages: 38 Posted: 18 Feb 2024 Last Revised: 23 Jan 2025
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 206 (303,455)

Abstract:

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CAPM, SML Slope, Betting-Against-Beta, Size Effect, Value Effect, Profitability Effect, Investment Effect, Predictive Processing, Rational Inattention

9.

Mental Accounting: A Closed Form Alternative to the Black Scholes Model

Number of pages: 31 Posted: 05 Aug 2011 Last Revised: 18 Feb 2014
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 206 (303,455)
Citation 2

Abstract:

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coarse thinking, option pricing, implied volatility, implied volatility skew, systematic risk, investor sentiment, implied volatility term structure

10.

A Behavioral Modification of Popular Option Pricing Models

Number of pages: 34 Posted: 20 Jul 2017 Last Revised: 27 Jul 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 183 (338,339)

Abstract:

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Anchoring-and-Adjustment Heuristic, Implied Volatility Skew, Option Pricing Puzzles, Black-Scholes Model, Heston Model, Bates Model

11.

Index Option Returns from an Anchoring Perspective

Downloads 174 (353,843)
Citation 3

Index Option Returns from an Anchoring Perspective

Number of pages: 18 Posted: 13 May 2014 Last Revised: 30 Jun 2015
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 92 (583,256)
Citation 2

Abstract:

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Option Pricing, Behavioral Finance, Analogy Making, Leverage Adjusted Return, Risk Premium, Implied Volatility Skew

Analogy Making and the Puzzles of Index Option Returns and Implied Volatility Skew

Number of pages: 42 Posted: 08 Jul 2014 Last Revised: 01 Dec 2015
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 82 (626,528)
Citation 1

Abstract:

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Option Pricing, Analogy Making, Leverage Adjusted Returns, Risk Premium, Implied Volatility Skew

12.

Anchoring and Adjustment Heuristic: A Unified Explanation for Asset-Return Puzzles

Number of pages: 26 Posted: 11 Jan 2016 Last Revised: 25 Feb 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 163 (374,410)

Abstract:

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The Equity Premium Puzzle, Anchoring Bias, The Risk-Free Rate Puzzle, Countercyclical Equity Premium, Stock Price Volatility, Knightian Uncertainty

13.

Anchoring and Adjustment Heuristic in Option Pricing

Number of pages: 34 Posted: 30 Dec 2015 Last Revised: 19 May 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 157 (386,615)
Citation 1

Abstract:

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Anchoring, Implied Volatility Skew, Covered Call Writing, Zero-Beta Straddle, Leverage Adjusted Option Returns

14.

Analogy Making and the Structure of Implied Volatility Skew

Number of pages: 41 Posted: 17 Oct 2013 Last Revised: 02 Dec 2015
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 150 (401,625)
Citation 2

Abstract:

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Implied Volatility Skew, Implied Volatility, Stochastic Volatility, Jump Diffusion, Option Returns

15.

CAPM: A Tale of Two Versions

Number of pages: 32 Posted: 08 Apr 2019
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 134 (441,928)

Abstract:

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CAPM, Categorization, Value Effect, Betting-Against-Beta, Size Effect

16.

Relative Risk Perception and the Puzzle of Covered Call Writing

Number of pages: 14 Posted: 10 Mar 2015 Last Revised: 12 Mar 2015
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 113 (500,925)

Abstract:

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Risk Perception, Relative Risk Perception, Covered Call Writing, Informational Efficiency, Anchoring, Behavioral Finance

17.

Analogy Based Valuation of Commodity Options

Number of pages: 26 Posted: 02 Jan 2015 Last Revised: 11 Feb 2015
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 111 (507,487)
Citation 1

Abstract:

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Implied Volatility Smile, Implied Volatility Skew, Reverse Skew, Forward Skew, Analogy Making, Commodity Call Option, Commodity Futures Contract

18.

Anchoring Heuristic and Asset Prices

Number of pages: 26 Posted: 09 Mar 2016 Last Revised: 25 Feb 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 110 (510,906)

Abstract:

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The Equity Premium Puzzle, The Risk-Free Rate Puzzle, Asset Pricing, Anchoring and Adjustment Heuristic

19.

The Financial Market Consequences of Growing Awareness: The Case of Implied Volatility Skew

Number of pages: 34 Posted: 07 Jan 2014
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 104 (532,038)

Abstract:

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Partial Awareness, Restricted Awareness, Black Scholes Model, Analogy Making, Generalized Principle of No-Arbitrage, Implied Volatility Skew, Implied Volatility Smile, Portfolio Insurance Delta-Hedge

20.

Resurrecting the Capital Asset Pricing Model

Number of pages: 34 Posted: 17 Oct 2016
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 99 (550,473)

Abstract:

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Size Effect, Value Effect, Momentum Effect, Low Volatility Anomaly, Informative Starting Points, Anchoring-and-Adjustment Heuristic

21.

The Resource-Constrained Brain: A New Perspective on the Equity Premium Puzzle

Number of pages: 41 Posted: 06 Jan 2021 Last Revised: 10 Aug 2021
Hammad Siddiqi and Austin Murphy
University of the Sunshine Coast-School of Business and Creative Industries and Oakland University - School of Business Administration
Downloads 98 (554,173)
Citation 5

Abstract:

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Equity Premium, Countercyclical Equity Premia, Resource Allocation in the Brain, Macro-Finance

22.

A New Perspective on the Equity Premium Puzzle

Number of pages: 10 Posted: 31 Jan 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 96 (561,671)

Abstract:

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Equity-Premium Puzzle, Anchoring-and-Adjustment

23.

Analogy Making and the Structure of Implied Volatility Skew

Number of pages: 41 Posted: 14 Jul 2014 Last Revised: 02 Dec 2015
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 95 (565,488)
Citation 3

Abstract:

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Implied Volatility Skew, Stochastic Volatility, Jump Diffusion, Covered Call Writing, Zero-Beta Straddle, Option Returns

24.

Informative Starting Points and Option Prices

Number of pages: 34 Posted: 24 Apr 2017 Last Revised: 30 Jul 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 89 (588,732)

Abstract:

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Anchoring-And-Adjustment Heuristic, Implied Volatility Skew, Option Pricing Puzzles, Black-Scholes Model, Heston Model, Bates Model

25.

Anchoring Heuristic and the Equity Premium Puzzle

Number of pages: 26 Posted: 23 Nov 2015 Last Revised: 25 Feb 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 87 (596,836)

Abstract:

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The Equity Premium Puzzle, Anchoring Bias, The Risk-Free Rate Puzzle, Countercyclical Equity Premium, Stock Price Volatility, Knightian Uncertainty

26.

Index Option Returns from an Anchoring Perspective

Number of pages: 18 Posted: 22 Jun 2015 Last Revised: 03 Feb 2016
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 84 (609,558)

Abstract:

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Anchoring, Option Pricing, Leverage Adjusted Returns, Index Option Returns, Option Mispricing, Behavioral Finance

27.

Differential Awareness of Rare Disasters and the Pricing Kernel Puzzle

Number of pages: 33 Posted: 11 May 2016 Last Revised: 03 Mar 2017
Hammad Siddiqi and John Quiggin
University of the Sunshine Coast-School of Business and Creative Industries and University of Queensland - Business School
Downloads 83 (613,816)
Citation 2

Abstract:

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Differential Awareness, Pricing Kernel Puzzle, Risk Aversion, Stochastic Discount Factor

28.

Over-and Underreaction to Information in the Resource-Constrained Brain

Number of pages: 29 Posted: 15 Nov 2024
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 80 (626,795)

Abstract:

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Underreaction, Expectations Formation, Rational Inattention, Representativeness Heuristic, Salience Bias, Predictive Processing, Overreaction

29.

Explaining the Smile in Currency Options: Is It Anchoring?

Number of pages: 29 Posted: 09 Apr 2015 Last Revised: 21 Mar 2016
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 76 (644,655)

Abstract:

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Anchoring, Currency Options, Black-Scholes, Stochastic Volatility, Jump Diffusion, Risk Reversals, Sentiment

30.

Analogy Based Valuation of Currency Options

Number of pages: 29 Posted: 24 Feb 2015 Last Revised: 21 Mar 2016
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 74 (654,076)

Abstract:

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Anchoring, Currency Options, Black-Scholes, Stochastic Volatility, Jump Diffusion, Risk Reversals, Sentiment

31.

Behavioralizing the Black-Scholes Model

Number of pages: 21 Posted: 26 Apr 2018
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 73 (658,830)

Abstract:

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Black-Scholes, Anchoring-and-Adjustment, Implied Volatility, Zero-Beta Straddle, Covered-Call, Leverage-Adjusted Return

32.

Differential Awareness, Financial Innovation and Financial Crises

Number of pages: 17 Posted: 21 Aug 2014
John Quiggin and Hammad Siddiqi
University of Queensland - Business School and University of the Sunshine Coast-School of Business and Creative Industries
Downloads 71 (668,458)
Citation 3

Abstract:

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unawareness, financial innovation

33.

Resource Allocation in the Brain and the Equity Premium Puzzle

Number of pages: 37 Posted: 18 Jun 2020 Last Revised: 14 Apr 2021
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 69 (678,358)

Abstract:

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Equity Premium, Countercyclical Equity Premium, Cognitive Factors in Decision Making, Resource Allocation in the Brain

34.

Anchoring Heuristic and Currency Options

Number of pages: 33 Posted: 21 Mar 2016 Last Revised: 04 Apr 2016
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 68 (683,426)

Abstract:

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Anchoring, Currency Options, Black-Scholes, Stochastic Volatility, Jump Diffusion, Risk Reversals, Sentiment

35.

Adjusting Option Pricing Models for Informative Starting Points

Number of pages: 35 Posted: 20 May 2017 Last Revised: 17 Jul 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 67 (688,601)

Abstract:

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Anchoring-and-Adjustment Heuristic, Implied Volatility Skew, Option Pricing Puzzles, Black-Scholes Model, Heston Model, Bates Model

36.

Informative Starting Points and Asset-Return Puzzles

Number of pages: 37 Posted: 24 Feb 2017 Last Revised: 09 Apr 2017
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 65 (699,126)

Abstract:

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High Equity Premium, Countercyclical Premium, Size Premium, Value Effect, Low Volatility Anomaly, Media Coverage Effect

37.

Financial Innovations and the Curse of Safety

Number of pages: 16 Posted: 23 Feb 2020
Hammad Siddiqi and Sajid Anwar
University of the Sunshine Coast-School of Business and Creative Industries and University of the Sunshine Coast - Faculty of Business
Downloads 64 (704,691)

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Financial Innovations, Disproportionate Safety Preference, Productivity Slowdown

38.

Option Pricing when Investors are (Only) Sufficiently Rational

Number of pages: 40 Posted: 29 Jan 2021 Last Revised: 29 Jul 2021
Hammad Siddiqi and Austin Murphy
University of the Sunshine Coast-School of Business and Creative Industries and Oakland University - School of Business Administration
Downloads 62 (715,878)

Abstract:

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Option pricing, Black-Scholes Formula, Implied Volatility Skew, Zero-Beta-Straddle, Covered-Call, Brain-Centric Approach Leverage-Adjusted Returns, Heston SV Model, Bates SVJ Model

39.

The Resource-Constrained Bayesian Brain and Option Pricing

Number of pages: 36 Posted: 01 Aug 2022
Hammad Siddiqi and Austin Murphy
University of the Sunshine Coast-School of Business and Creative Industries and Oakland University - School of Business Administration
Downloads 57 (744,853)

Abstract:

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Option Pricing, Implied Volatility Skew, Zero-Beta-Straddle, Covered-Call Writing, Leverage-Adjusted Returns, Black-Scholes Model, Heston SV Model, Bates SVJ Model

40.

Rational Inattention in the Resource-Constrained Brain

Number of pages: 38
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries
Downloads 22

Abstract:

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Rational Inattention, Neuroscience, Predictive-Processing, CAPM, SML Slope, Betting-Against-Beta, Size Effect, Value Effect, Profitability Effect, Investment Effect

41.

The Relevance of Thinking by Analogy for Investors' Willingness to Pay: An Experimental Study

Journal of Economic Psychology, Vol. 33, Issue 1, 2012
Posted: 09 Dec 2013
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries

Abstract:

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42.

Is the Lure of Choice Reflected in Market Prices? Experimental Evidence Based on the 4-Door Monty Hall Problem

Journal of Economic Psychology, Vol. 30, No. 2, 2009
Posted: 09 Dec 2013
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries

Abstract:

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43.

Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment

The IUP Journal of Behavioral Finance, Vol. VIII, No. 2, pp. 58-69, June 2011
Posted: 30 Mar 2012
Hammad Siddiqi
University of the Sunshine Coast-School of Business and Creative Industries

Abstract:

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