Louis H. Ederington

University of Oklahoma - Division of Finance

Oklahoma Bankers Professor of Finance

Norman, OK 73019

United States

  • University of Oklahoma - Division of Finance

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    • Tel: 405-325-5591
    • Fax: 405-325-7688
SCHOLARLY PAPERS

47

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86

CROSSREF CITATIONS

135

Scholarly Papers (47)

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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 9,615 (789)
Citation 5

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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 2,316 (8,746)
Citation 22

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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 1,713 (14,327)
Citation 6

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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 1,664 (14,949)
Citation 1

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implied volatility, options, market efficiency

5.

Higher Order Greeks

Downloads 1,577 ( 16,262)
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 988 (31,914)

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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 589 (63,880)

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Options, Greeks, Delta, Gamma

6.

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

Downloads 1,239 ( 23,338)

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 1,239 (22,956)
Citation 10

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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

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7.

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 1,033 (30,365)

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8.

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 1,011 (31,348)
Citation 3

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volatility, straddle, strangle, option trading

9.

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 966 (33,420)
Citation 7

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10.

Bond Market Event Study Methods

Downloads 947 ( 34,336)
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 630 (58,599)
Citation 9

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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 317 (132,341)
Citation 2

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event studies, bonds, financial econometrics

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 770 (45,611)
Citation 2

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

12.

Ratio Spreads

Downloads 750 ( 47,297)
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 521 (74,588)

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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 229 (184,194)

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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 678 (54,040)
Citation 1

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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 570 (67,443)
Citation 3

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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 537 (72,656)
Citation 9

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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 483 (82,661)
Citation 4

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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 473 (84,816)
Citation 2

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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 457 (88,355)

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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 397 (103,948)
Citation 1

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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 380 (109,330)

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21.

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 367 (113,662)
Citation 5

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mutual funds, VIX, implied volatility

22.

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 357 (117,197)
Citation 5

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Winner's curse, auctions, reserve prices, eBay

23.

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

Downloads 349 (120,163)
Citation 2

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 214 (196,515)
Citation 2

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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 135 (291,676)
Citation 2

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

24.

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 346 (121,296)
Citation 6

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Reputation, certification, warranties, information asymmetry

25.

Dynamics of Arbitrage

Downloads 328 (128,553)
Citation 1

Dynamics of Arbitrage

Number of pages: 61 Posted: 25 Jul 2018 Last Revised: 13 Jan 2020
Louis H. Ederington, Chitru S. Fernando, Kateryna V. Holland, Thomas K Lee and Scott C. Linn
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 224 (188,037)
Citation 1

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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
Louis H. Ederington, Chitru S. Fernando, Kateryna V. Holland, Thomas K Lee and Scott C. Linn
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 104 (352,373)
Citation 1

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

26.

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 308 (137,340)
Citation 4

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Implied volatility, asymmetric volatility, GARCH, EGARCH, volatility

27.

The Bias in Time-Series Volatility Forecasts

Downloads 305 (138,800)

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 163 (250,283)

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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 142 (280,349)

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GARCH, EGARCH, volatility, value-at-risk

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 283 (149,958)
Citation 2

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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 276 (153,701)
Citation 1

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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
Louis H. Ederington, Chitru S. Fernando, Thomas K Lee, Scott C. Linn and Anthony D. May
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 268 (158,446)

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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 (180,157)

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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 182 (227,531)
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: 30 Mar 2022
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 162 (253,825)
Citation 7

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34.

Arbitrage and Its Physical Limits

Number of pages: 53 Posted: 15 May 2017 Last Revised: 17 May 2017
Louis H. Ederington, Chitru S. Fernando, Kateryna V. Holland and Scott C. Linn
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 152 (264,620)
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 119 (319,019)
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
Louis H. Ederington, Chitru S. Fernando, Seth A. Hoelscher, Thomas K Lee and Scott C. Linn
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 105 (347,666)
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 (391,587)

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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
Louis H. Ederington, Chitru S. Fernando, Seth A. Hoelscher, Thomas K Lee and Scott C. Linn
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 79 (414,417)

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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 44 (547,191)

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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 2022
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 (572,316)
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

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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

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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

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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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