Hammad Siddiqi

University of the Sunshine Coast

Senior Lecturer (Finance & Economics)

Brisbane, QLD 70010

Australia

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

University of the Sunshine Coast

90 Sippy Downs Dr

Sippy Downs QLD , Queensland 4556

Australia

SCHOLARLY PAPERS

35

DOWNLOADS
Rank 17,585

SSRN RANKINGS

Top 17,585

in Total Papers Downloads

2,650

CITATIONS

1

Scholarly Papers (35)

1.

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
Downloads 258 (115,583)

Abstract:

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

2.

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
Downloads 201 (147,648)

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

3.

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
Downloads 185 (159,342)

Abstract:

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

4.

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
Downloads 175 (167,498)

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

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
Downloads 175 (167,498)

Abstract:

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

6.

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
Downloads 157 (183,948)

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

7.

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
Downloads 117 (232,209)
Citation 1

Abstract:

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

8.

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
Downloads 108 (245,934)

Abstract:

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

9.

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
Downloads 103 (254,195)

Abstract:

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

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
Downloads 53 (375,949)

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
Downloads 48 (393,036)

Abstract:

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

11.

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
Downloads 96 (266,377)

Abstract:

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

12.

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
Downloads 76 (307,525)

Abstract:

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

13.

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
Downloads 70 (322,075)

Abstract:

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

14.

Resurrecting the Capital Asset Pricing Model

Number of pages: 34 Posted: 17 Oct 2016
Hammad Siddiqi
University of the Sunshine Coast
Downloads 66 (332,374)

Abstract:

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

15.

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
Downloads 61 (345,953)

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

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
Downloads 60 (348,764)

Abstract:

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

17.

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
Downloads 58 (354,616)

Abstract:

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

18.

A New Perspective on the Equity Premium Puzzle

Number of pages: 10 Posted: 31 Jan 2017
Hammad Siddiqi
University of the Sunshine Coast
Downloads 55 (363,800)

Abstract:

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Equity-Premium Puzzle, Anchoring-and-Adjustment

19.

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
Downloads 55 (363,800)

Abstract:

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

20.

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
Downloads 55 (363,800)

Abstract:

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

21.

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
Downloads 54 (366,964)

Abstract:

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

22.

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
Downloads 53 (370,027)

Abstract:

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

23.

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
Downloads 42 (407,390)

Abstract:

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

24.

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 and University of Queensland - Business School
Downloads 39 (418,683)

Abstract:

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

25.

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
Downloads 39 (418,683)

Abstract:

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

26.

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
Downloads 37 (426,746)

Abstract:

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

27.

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
Downloads 35 (434,850)

Abstract:

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

28.

Behavioralizing the Black-Scholes Model

Number of pages: 21 Posted: 26 Apr 2018
Hammad Siddiqi
University of the Sunshine Coast
Downloads 30 (456,635)

Abstract:

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

29.

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
Downloads 30 (456,635)

Abstract:

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

30.

CAPM: A Tale of Two Versions

Number of pages: 32 Posted: 08 Apr 2019
Hammad Siddiqi
University of the Sunshine Coast
Downloads 28 (466,311)

Abstract:

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

31.

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
Downloads 28 (466,311)

Abstract:

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unawareness, financial innovation

32.

A Creative Institutional Response to Twin Problems of Liquidity and Information Gaps in Certain Emerging Markets

International Review of Finance, Vol. 11, No. 4, 2011
Number of pages: 16 Posted: 04 Dec 2011
Hammad Siddiqi
University of the Sunshine Coast
Downloads 3 (611,828)
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Abstract:

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33.

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

Abstract:

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34.

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

Abstract:

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35.

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

Abstract:

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