Louis H. Ederington

University of Oklahoma - Division of Finance

Oklahoma Bankers Professor of Finance

Norman, OK 73019

United States

SCHOLARLY PAPERS

47

DOWNLOADS
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Top 1,099

in Total Papers Downloads

30,908

SSRN CITATIONS
Rank 6,052

SSRN RANKINGS

Top 6,052

in Total Papers Citations

86

CROSSREF CITATIONS

137

Scholarly Papers (47)

1.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,566 (682)
Citation 5

Abstract:

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2.

Bond Rating Agencies and Stock Analysts: Who Knows What When?

Number of pages: 33 Posted: 02 Dec 1996
Louis H. Ederington, Jeremy Goh and Jacob Nelson
University of Oklahoma - Division of Finance, Singapore Management University - Lee Kong Chian School of Business and Bank for International Settlements
Downloads 2,314 (7,765)
Citation 22

Abstract:

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3.

Option Spread and Combination Trading

Number of pages: 47 Posted: 10 Jan 2002
J. Scott Chaput and Louis H. Ederington
University of Otago - Department of Accountancy and Finance and University of Oklahoma - Division of Finance
Downloads 1,645 (13,464)
Citation 6

Abstract:

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option spreads, option combinations, effective spreads, straddles, vertical spreads, effective spreads

4.

Why are Those Options Smiling?

Univ. of Oklahoma Center for Financial Studies Working Paper
Number of pages: 36 Posted: 29 Dec 2000
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 1,637 (13,553)
Citation 1

Abstract:

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implied volatility, options, market efficiency

5.
Downloads 1,440 ( 16,651)
Citation 1

Higher Order Greeks

Journal of Derivatives, Forthcoming
Number of pages: 51 Posted: 06 Dec 2006
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 937 (30,788)

Abstract:

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Option Greeks, hedging, Delta, Gamma, Vega

Higher Order Greeks

Number of pages: 42 Posted: 18 Aug 2004
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 503 (70,428)

Abstract:

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Options, Greeks, Delta, Gamma

Who Trades Futures and How: Evidence from the Heating Oil Futures Market

Number of pages: 35 Posted: 20 Dec 2000
Louis H. Ederington and Jae Ha Lee
University of Oklahoma - Division of Finance and Sungkyunkwan University
Downloads 1,226 (20,775)
Citation 10

Abstract:

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Who Trades Futures and How: Evidence from the Heating Oil Futures Market

Posted: 14 Sep 2001
Louis H. Ederington and Jae Ha Lee
University of Oklahoma - Division of Finance and Sungkyunkwan University

Abstract:

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7.

Volatility Trade Design

Number of pages: 56 Posted: 12 Jun 2002
Louis H. Ederington and J. Scott Chaput
University of Oklahoma - Division of Finance and University of Otago - Department of Accountancy and Finance
Downloads 984 (29,104)
Citation 3

Abstract:

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volatility, straddle, strangle, option trading

8.

Measuring Implied Volatility: Is an Average Better?

Number of pages: 30 Posted: 31 Oct 2000
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 940 (31,063)
Citation 7

Abstract:

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9.
Downloads 898 ( 33,137)
Citation 9

Bond Market Event Study Methods

Number of pages: 47 Posted: 20 Jul 2012 Last Revised: 11 Nov 2013
Louis H. Ederington, Wei Guan and Lisa Yang
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 625 (53,405)
Citation 9

Abstract:

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event studies, bonds, financial econometrics

Bond Market Event Study Methods

Journal of Banking and Finance, Forthcoming
Number of pages: 46 Posted: 24 Jun 2015
Louis H. Ederington, Wei Guan and Lisa Yang
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 273 (140,703)
Citation 2

Abstract:

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event studies, bonds, financial econometrics

10.

Measuring Historical Volatility

Journal of Applied Finance, Vol. 16, No. 1, Spring/Summer 2006
Number of pages: 10 Posted: 24 Aug 2006
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 802 (38,716)

Abstract:

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11.

A Comparison of Reputation, Certification, Warranties, and Information Disclosure as Remedies for Information Asymmetries: Lessons from the On-Line Comic Book Market

Number of pages: 48 Posted: 16 Jan 2003
Louis H. Ederington and Michaël Dewally
University of Oklahoma - Division of Finance and Towson University - Department of Finance
Downloads 762 (41,506)
Citation 5

Abstract:

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reputation, certification, warranties, information asymmetry, signaling, auctions

12.
Downloads 652 ( 51,113)
Citation 1

Ratio Spreads

Journal of Derivatives, Forthcoming
Number of pages: 38 Posted: 22 Jan 2008
Louis H. Ederington and J. Scott Chaput
University of Oklahoma - Division of Finance and University of Otago - Department of Accountancy and Finance
Downloads 433 (84,221)

Abstract:

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Ratio Spreads, option spreads, option trading

Ratio Spreads

Number of pages: 37 Posted: 24 Aug 2006
Louis H. Ederington and J. Scott Chaput
University of Oklahoma - Division of Finance and University of Otago - Department of Accountancy and Finance
Downloads 219 (175,150)

Abstract:

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Ratio Spreads, option spreads, option trading

13.

Vertical Spread Design

Number of pages: 43 Posted: 28 Jul 2003
Louis H. Ederington and J. Scott Chaput
University of Oklahoma - Division of Finance and University of Otago - Department of Accountancy and Finance
Downloads 609 (55,886)
Citation 1

Abstract:

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Option spreads, vertical spreads, bull spreads, trade design

14.

The Information Frown in Option Prices

Number of pages: 34 Posted: 17 Aug 1999
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 556 (62,618)
Citation 3

Abstract:

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15.

The Impact of Stock Market Volatility Expectations on Investor Behavior: Evidence From Aggregate Mutual Fund Flows

Number of pages: 39 Posted: 09 Mar 2011
Louis H. Ederington and Evgenia V. Golubeva
University of Oklahoma - Division of Finance and University of Oklahoma - Division of Finance
Downloads 507 (70,305)
Citation 9

Abstract:

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mutual funds, VIX, implied volatility, portfolio choice

16.

Determinants of Trading Profits of Individual Traders: Risk Premia or Information?

Number of pages: 54 Posted: 14 Jan 2010 Last Revised: 29 Jan 2013
Michaël Dewally, Louis H. Ederington and Chitru S. Fernando
Towson University - Department of Finance, University of Oklahoma - Division of Finance and University of Oklahoma - Michael F. Price College of Business
Downloads 481 (74,968)
Citation 4

Abstract:

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risk premium, trading profits, energy futures, market makers

17.

Longer-Term Time Series Volatility Forecasts

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 41 Posted: 17 Mar 2009
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 464 (78,241)
Citation 2

Abstract:

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GARCH, EGARCH, options, volatility, volatility forecasting, value-at-risk

18.

Time Series Volatility Forecasts for Option Valuation and Risk Management

AFA 2008 New Orleans Meetings Paper
Number of pages: 53 Posted: 15 Jan 2007 Last Revised: 30 Aug 2008
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 447 (81,829)
Citation 1

Abstract:

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GARCH, EGARCH, volatility, options

19.

Determinants of Trader Profits in Commodity Futures Markets

Review of Financial Studies, Forthcoming
Number of pages: 56 Posted: 20 Jun 2013
Michaël Dewally, Louis H. Ederington and Chitru S. Fernando
Towson University - Department of Finance, University of Oklahoma - Division of Finance and University of Oklahoma - Michael F. Price College of Business
Downloads 391 (95,617)
Citation 1

Abstract:

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commodity futures, risk premium, hedging pressure, theory of storage, momentum, trader profits, speculators, hedgers, hedge funds, market makers

20.

Determinants of Trader Profits in Futures Markets

Number of pages: 60 Posted: 10 Mar 2011 Last Revised: 28 Jan 2013
Michaël Dewally, Louis H. Ederington and Chitru S. Fernando
Towson University - Department of Finance, University of Oklahoma - Division of Finance and University of Oklahoma - Michael F. Price College of Business
Downloads 375 (100,354)

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21.

What Attracts Bidders to Online Auctions and What is Their Incremental Price Impact?

Number of pages: 38 Posted: 15 Sep 2004
Michaël Dewally and Louis H. Ederington
Towson University - Department of Finance and University of Oklahoma - Division of Finance
Downloads 353 (107,357)
Citation 5

Abstract:

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Winner's curse, auctions, reserve prices, eBay

22.

Evidence on Investor Behavior from Aggregate Stock Mutual Fund Flows

Number of pages: 42 Posted: 01 Aug 2009
Louis H. Ederington and Evgenia V. Golubeva
University of Oklahoma - Division of Finance and University of Oklahoma - Division of Finance
Downloads 349 (108,751)
Citation 5

Abstract:

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mutual funds, VIX, implied volatility

23.

Reputation, Certification, Warranties, and Information as Remedies for Seller-Buyer Information Asymmetries: Lessons from the On-Line Comic Book Market

Number of pages: 53 Posted: 21 May 2004
Michaël Dewally and Louis H. Ederington
Towson University - Department of Finance and University of Oklahoma - Division of Finance
Downloads 343 (110,893)
Citation 6

Abstract:

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Reputation, certification, warranties, information asymmetry

The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors

Number of pages: 48 Posted: 15 Mar 2010
Louis H. Ederington and Evgenia V. Golubeva
University of Oklahoma - Division of Finance and University of Oklahoma - Division of Finance
Downloads 203 (188,142)
Citation 2

Abstract:

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Mutual funds, VIX, implied volatility, portfolio choice, portfolio allocation, portfolio rebalancing

The Impact of Risk and Return Perceptions on the Portfolio Reallocation Decisions of Mutual Fund Investors

Number of pages: 48 Posted: 16 Mar 2010
Louis H. Ederington and Evgenia V. Golubeva
University of Oklahoma - Division of Finance and University of Oklahoma - Division of Finance
Downloads 131 (273,139)
Citation 2

Abstract:

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Mutual funds, VIX, implied volatility, portfolio choice, portfolio allocation, portfolio rebalancing

25.

How Asymmetric is U.S. Stock Market Volatility?

Number of pages: 43 Posted: 17 May 2009
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 302 (127,304)
Citation 4

Abstract:

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Implied volatility, asymmetric volatility, GARCH, EGARCH, volatility

The Bias in Time-Series Volatility Forecasts

Journal of Futures Markets, 2009
Number of pages: 28 Posted: 17 May 2009
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 154 (239,965)

Abstract:

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GARCH, EGARCH, volatility, value-at-risk

The Bias in Time-Series Volatility Forecasts

Number of pages: 28 Posted: 17 Mar 2009
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 137 (263,896)

Abstract:

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GARCH, EGARCH, volatility, value-at-risk

27.
Downloads 284 (135,773)
Citation 1

Dynamics of Arbitrage

Number of pages: 61 Posted: 25 Jul 2018 Last Revised: 13 Jan 2020
University of Oklahoma - Division of Finance, University of Oklahoma - Michael F. Price College of Business, University of Missouri - Trulaske College of Business, Energy Information Administration - US DOE and University of Oklahoma - Michael F. Price College of Business
Downloads 198 (192,606)
Citation 1

Abstract:

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theory of storage, commodity markets, cash-and-carry arbitrage, financialization, spot oil markets, oil futures markets, oil storage

Dynamics of Arbitrage

Journal of Financial and Quantitative Analysis, Forthcoming
Number of pages: 62 Posted: 11 Feb 2021
University of Oklahoma - Division of Finance, University of Oklahoma - Michael F. Price College of Business, University of Missouri - Trulaske College of Business, Energy Information Administration - US DOE and University of Oklahoma - Michael F. Price College of Business
Downloads 86 (365,306)
Citation 1

Abstract:

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theory of storage, commodity markets, cash-and-carry arbitrage, financialization, spot oil markets, oil futures markets, oil storage

28.

Minimum Variance Hedging When Spot Price Changes are Partially Predictable

Number of pages: 41 Posted: 22 Jun 2006
Louis H. Ederington and Jesus M. Salas
University of Oklahoma - Division of Finance and Lehigh University
Downloads 281 (137,213)
Citation 2

Abstract:

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hedging, natural gas markets

29.

What Moves Interest Rates? Ex-Ante Determinants of Interest Rate Volatility

Number of pages: 45 Posted: 03 Jan 2008
Louis H. Ederington and Doung Le
University of Oklahoma - Division of Finance and University of Oklahoma - Michael F. Price College of Business
Downloads 270 (143,056)
Citation 1

Abstract:

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interest rates, volatility, GARCH, day-of-the-week effects, macroeconomic announcements

30.

The Role of Financial Markets in Determining Physical Oil Prices: A Survey of the Literature

Number of pages: 84 Posted: 01 Oct 2012
University of Oklahoma - Division of Finance, University of Oklahoma - Michael F. Price College of Business, Energy Information Administration - US DOE, University of Oklahoma - Michael F. Price College of Business and Wichita State University - W. Frank Barton School of Business
Downloads 260 (148,534)

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Oil prices, energy markets, energy derivatives, commodity index funds, speculation, arbitrage

31.

Volatility Forecasts for Option Valuations

Number of pages: 57 Posted: 31 Jul 2005
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 235 (164,066)

Abstract:

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Volatility, GARCH, forecasting

32.

Dealer Spreads in the Corporate Bond Market: Agent vs. Market-Making Roles

Number of pages: 52 Posted: 12 Jan 2014 Last Revised: 20 Jul 2021
Louis H. Ederington, Wei Guan and Pradeep K. Yadav
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and University of Oklahoma Price College of Business
Downloads 163 (228,174)
Citation 8

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dealer spreads, market-making costs, search costs, bond transaction costs

33.

The Informational Content of Bond Ratings

NBER Working Paper No. w1323
Number of pages: 38 Posted: 20 Sep 2000 Last Revised: 15 Aug 2021
Louis H. Ederington, Jess B. Yawitz and Brian Roberts
University of Oklahoma - Division of Finance, Washington University in St. Louis and Queensland University of Technology
Downloads 157 (235,677)
Citation 7

Abstract:

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34.

Arbitrage and Its Physical Limits

Number of pages: 53 Posted: 15 May 2017 Last Revised: 17 May 2017
University of Oklahoma - Division of Finance, University of Oklahoma - Michael F. Price College of Business, University of Missouri - Trulaske College of Business and University of Oklahoma - Michael F. Price College of Business
Downloads 148 (247,315)
Citation 1

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Limits to Arbitrage, Commodity Markets, Theory of Storage, Oil Futures Market, Physical Constraints, Cash-And-Carry Arbitrage

35.

EIA Storage Announcements, Analyst Storage Forecasts, and Energy Prices

The Energy Journal, Vol.40(5), 2019
Number of pages: 53 Posted: 26 Oct 2016 Last Revised: 25 Aug 2019
Louis H. Ederington, Fang Lin, Scott C. Linn and Lisa Yang
University of Oklahoma - Division of Finance, Pittsburg State University - Kelce College of Business, University of Oklahoma - Michael F. Price College of Business and Montana State University - Bozeman
Downloads 115 (299,237)
Citation 1

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Energy Market, Storage Forecasts, EIA Storage Reports

36.

A Review of the Evidence on the Relation Between Crude Oil Prices and Petroleum Product Prices

Number of pages: 47 Posted: 10 Oct 2018
University of Oklahoma - Division of Finance, University of Oklahoma - Michael F. Price College of Business, Missouri State University - College of Business, Energy Information Administration - US DOE and University of Oklahoma - Michael F. Price College of Business
Downloads 88 (356,983)
Citation 1

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Oil Prices, Petroleum Product Prices, Energy Economics, Commodities

37.

The Cross-Sectional Relation between Conditional Heteroskedasticity, the Implied Volatility Smile, and the Variance Risk Premium

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 26 May 2013
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 87 (359,462)

Abstract:

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implied volatility, volatility smile, variance risk premium, GARCH, conditional heteroskedasticity

38.

Characteristics of Petroleum Product Prices: A Survey

Number of pages: 45 Posted: 10 Oct 2018
University of Oklahoma - Division of Finance, University of Oklahoma - Michael F. Price College of Business, Missouri State University - College of Business, Energy Information Administration - US DOE and University of Oklahoma - Michael F. Price College of Business
Downloads 73 (398,321)

Abstract:

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Petroleum Product Prices, Commodities, Energy Economics

39.

The Impact of the U.S. Employment Report on Exchange Rates

Journal of International Money and Finance, Vol. 90, 2019
Number of pages: 31 Posted: 28 Aug 2019
Louis H. Ederington, Wei Guan and Lisa Yang
University of Oklahoma - Division of Finance, University of South Florida St. Petersburg and Montana State University - Bozeman
Downloads 40 (523,612)

Abstract:

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employment report, exchange rates, macro announcements, foreign exchange market

40.

Taxes, Default Risk, and Yield Spreads

NBER Working Paper No. w1215
Number of pages: 27 Posted: 04 Jul 2004 Last Revised: 29 Apr 2021
Jess B. Yawitz, Kevin J. Maloney and Louis H. Ederington
Washington University in St. Louis, Bryant University and University of Oklahoma - Division of Finance
Downloads 39 (528,497)
Citation 2

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41.

Are Bond Ratings Informative? Evidence from Regulatory Regime Changes

2019, American Economic Association Poster Session, Forthcoming
Posted: 07 Aug 2018 Last Revised: 15 Jan 2019
Louis H. Ederington, Jeremy Goh, Yen Teik Lee and Lisa Yang
University of Oklahoma - Division of Finance, Singapore Management University - Lee Kong Chian School of Business, National University of Singapore (NUS) - Department of Finance and Montana State University - Bozeman

Abstract:

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Credit Ratings; Market Reactions; Rating-Contingent Regulation; Regulation Fair Disclosure; Dodd-Frank Act; Section 939B

42.

The Impact of the Employment Report and Forecasts Thereof on Fixed Income Markets

Journal of Fixed Income, Forthcoming
Posted: 01 Jul 2018
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg

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Employment Report, Scheduled Announcements, Interest Rates, Implied Volatility

43.

Reputation, Certification, Warranties, and Information as Remedies for Seller-Buyer Information Asymmetries: Lessons from the Online Comic Book Market

University of Illinois at Urbana-Champaign's Academy for Entrepreneurial Leadership Historical Research Reference in Entrepreneurship
Posted: 10 Nov 2009
Michaël Dewally and Louis H. Ederington
Towson University - Department of Finance and University of Oklahoma - Division of Finance

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Signaling theory, Firm image, Credibility, Reliability, Electronic commerce, Information asymmetry, Valuation, Information utilization, Certification, Prices

44.

Is a Convertible Bond Call Really Bad News?

Posted: 03 Aug 2001
Louis H. Ederington and Jeremy Goh
University of Oklahoma - Division of Finance and Singapore Management University - Lee Kong Chian School of Business

Abstract:

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45.

The Short-Run Dynamics of the Price Adjustment to New Information

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol 30, No 1, March 1995
Posted: 04 Nov 1998
Louis H. Ederington and Jae Ha Lee
University of Oklahoma - Division of Finance and Sungkyunkwan University

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46.

Is Implied Volatility an Informationally Efficient and Effective Predictor of Future Volatility?

Posted: 15 Oct 1998
Louis H. Ederington and Wei Guan
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg

Abstract:

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47.

The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility

J. OF FINANCIAL AND QUANTITATIVE ANALYSIS, December 1996
Posted: 19 Dec 1996
Louis H. Ederington and Jae Ha Lee
University of Oklahoma - Division of Finance and Sungkyunkwan University

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