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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58

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134

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 9,439 (565)
Citation 4

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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 2,307 (6,406)
Citation 18

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3.

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 1,596 (11,756)
Citation 1

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implied volatility, options, market efficiency

4.

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 1,555 (12,221)
Citation 5

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

5.

Higher Order Greeks

Downloads 1,273 ( 16,761)
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 855 (29,652)

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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 418 (75,415)

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Options, Greeks, Delta, Gamma

6.

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

Downloads 1,204 ( 18,221)
Citation 6

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 1,204 (17,890)
Citation 6

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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.

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 943 (26,120)
Citation 3

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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 925 (26,884)
Citation 7

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9.

Bond Market Event Study Methods

Downloads 843 ( 30,693)
Citation 5

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 602 (47,692)
Citation 4

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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 241 (138,546)
Citation 2

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event studies, bonds, financial econometrics

10.

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 744 (36,395)
Citation 5

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

11.

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 566 (52,295)
Citation 1

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Option spreads, vertical spreads, bull spreads, trade design

12.

Ratio Spreads

Downloads 542 ( 55,254)
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 328 (99,834)

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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 214 (155,591)

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Ratio Spreads, option spreads, option trading

13.

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 535 (56,166)
Citation 3

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14.

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 472 (65,665)
Citation 4

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risk premium, trading profits, energy futures, market makers

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 470 (66,025)
Citation 6

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mutual funds, VIX, implied volatility, portfolio choice

16.

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 456 (68,484)

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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 455 (68,677)
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 437 (72,146)
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 371 (87,388)
Citation 2

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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 351 (93,139)

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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 340 (96,519)
Citation 4

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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 339 (96,843)
Citation 3

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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 338 (97,131)
Citation 5

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Reputation, certification, warranties, information asymmetry

24.

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

Downloads 314 (105,376)
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 185 (178,161)
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 129 (241,553)
Citation 2

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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 293 (113,598)
Citation 2

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Implied volatility, asymmetric volatility, GARCH, EGARCH, volatility

26.

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 271 (123,290)
Citation 2

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hedging, natural gas markets

27.

The Bias in Time-Series Volatility Forecasts

Downloads 268 (124,786)

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 137 (230,199)

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 131 (238,645)

Abstract:

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GARCH, EGARCH, volatility, value-at-risk

28.

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 263 (127,321)
Citation 1

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

29.

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 249 (134,667)

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

30.

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 232 (144,381)

Abstract:

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Volatility, GARCH, forecasting

31.

The Informational Content of Bond Ratings

NBER Working Paper No. w1323
Number of pages: 38 Posted: 20 Sep 2000 Last Revised: 15 Aug 2010
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 149 (214,625)
Citation 6

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32.

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

Number of pages: 52 Posted: 12 Jan 2014
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 141 (224,344)
Citation 7

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

33.

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 132 (236,493)
Citation 1

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

34.

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 130 (239,268)
Citation 1

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

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 105 (279,419)
Citation 1

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Energy Market, Storage Forecasts, EIA Storage Reports

36.

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 86 (317,907)

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

37.

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 63 (378,595)

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Oil Prices, Petroleum Product Prices, Energy Economics, Commodities

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 62 (381,661)

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Petroleum Product Prices, Commodities, Energy Economics

39.

Taxes, Default Risk, and Yield Spreads

NBER Working Paper No. w1215
Number of pages: 27 Posted: 04 Jul 2004 Last Revised: 12 Dec 2008
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 37 (474,320)
Citation 2

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40.

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 34 (488,050)

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

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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