Stewart Mayhew : Citation Profile


Are you Stewart Mayhew?

Cornerstone Research

8

H index

7

i10 index

457

Citations

RESEARCH PRODUCTION:

9

Articles

1

Papers

RESEARCH ACTIVITY:

   15 years (1995 - 2010). See details.
   Cites by year: 30
   Journals where Stewart Mayhew has often published
   Relations with other researchers
   Recent citing documents: 84.    Total self citations: 1 (0.22 %)

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   Permalink: http://citec.repec.org/pma1075
   Updated: 2019-11-16    RAS profile: 2011-06-30    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Stewart Mayhew.

Is cited by:

Bernales, Alejandro (17)

McAleer, Michael (9)

Guidolin, Massimo (8)

Hsieh, Pei-Fang (7)

Christoffersen, Peter (7)

Girardi, Alessandro (6)

Stork, Philip (5)

Kräussl, Roman (5)

Subrahmanyam, Avanidhar (4)

Wehrheim, David (4)

Fahlenbrach, Ruediger (4)

Cites to:

Scholes, Myron (2)

Longstaff, Francis (1)

Jackwerth, Jens (1)

Jorion, Philippe (1)

Grammatikos, Theoharry (1)

merton, robert (1)

Kapadia, Nikunj (1)

Shastri, Kuldeep (1)

Chen, Zhiwu (1)

Cao, Charles (1)

Christensen, Bent Jesper (1)

Main data


Where Stewart Mayhew has published?


Journals with more than one article published# docs
Journal of Finance5
Journal of Financial and Quantitative Analysis2

Recent works citing Stewart Mayhew (2018 and 2017)


YearTitle of citing document
2017Impact of Index Options on Emerging Market Volatility: The Case of the Malaysian Equity Market. (2017). Mohibul, MD ; Islam, Anisul M. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:157--172.

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2017Asymptotics for Greeks under the constant elasticity of variance model. (2017). Zalmezh, Vladimir F ; Kritski, Oleg L. In: Papers. RePEc:arx:papers:1707.04149.

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2018Classes of elementary function solutions to the CEV model. I. (2018). Melas, Evangelos. In: Papers. RePEc:arx:papers:1804.07384.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019How to design a derivatives market?. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Baldacci, Bastien. In: Papers. RePEc:arx:papers:1909.09257.

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2017Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Documentos de Trabajo CIEF. RePEc:col:000122:015923.

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2018Information Transmission under Increasing Political Tension – Evidence for the Berlin Produce Exchange 1887-1896. (2018). Siklos, Pierre ; Sulewski, Christoph ; Putz, Alexander ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:7618.

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2017Entropy-based implied moments. (2017). Zhou, Chen ; Xiao, Xiao. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2017What do stock price levels tell us about the firms?. (2017). Chan, Konan ; Li, Fengfei ; Lin, Tse-Chun . In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:34-50.

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2018A J-shaped cross-sectional relation between dividends and firm value. (2018). Kim, Soojung ; Suh, Jungwon ; Park, Soon Hong . In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:857-877.

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2017Hitting SKEW for SIX. (2017). faff, robert ; Liu, Zhangxin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:449-464.

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2017Investor sentiment and country exchange traded funds: Does economic freedom matter?. (2017). Lee, Chien-Chiang ; Hsu, Yi-Chung ; Chen, Mei-Ping. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:285-299.

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2017Fake news. (2017). Brigida, Matt ; Pratt, William R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:564-573.

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2018The impact of funding liquidity on market quality. (2018). Chen, Wei-Peng ; Wu, Chih-Chiang ; Lu, Jun ; Lin, Shu Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:153-166.

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2017Does short sale restriction lower price efficiency when substitutes exist? Evidence from the Korean market. (2017). Lee, Soonhee . In: Economics Letters. RePEc:eee:ecolet:v:158:y:2017:i:c:p:77-79.

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2017The success of option listings. (2017). Bernales, Alejandro. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:139-161.

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2017Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65.

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2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2018Relative spread and price discovery. (2018). Aldrich, Eric M ; Lee, Seung . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:81-98.

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2018Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600.

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2017Asymmetry in spillover effects: Evidence for international stock index futures markets. (2017). Lau, Chi Keung ; Brzeszczynski, Janusz ; Marco, Chi Keung ; Yarovaya, Larisa ; Brzeszczyski, Janusz. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:94-111.

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2018Test of recent advances in extracting information from option prices. (2018). Hudson, Robert ; Gregoriou, A ; Healy, J V. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:292-302.

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2018Bid–ask spread and liquidity searching behaviour of informed investors in option markets. (2018). Verousis, Thanos ; CAON, Carlos ; Bernales, Alejandro. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:96-102.

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2018Can microstructure noise explain the MAX effect?. (2018). Zhang, Xindong ; Wang, Dong ; Zhai, Yue ; Xie, Lixu. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:185-191.

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2017Intraday price discovery in fragmented markets. (2017). van der Wel, Michel ; Ozturk, Sait ; van Dijk, Dick. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:28-48.

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2017Effects of lit and dark market fragmentation on liquidity. (2017). Gresse, Carole. In: Journal of Financial Markets. RePEc:eee:finmar:v:35:y:2017:i:c:p:1-20.

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2017The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Jlassi, Mouna. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174.

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2018Does feedback trading drive returns of cross-listed shares?. (2018). Chen, Jing ; McMillan, David G ; Hou, Wenxuan ; Dong, Yizhe. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:179-199.

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2018Directional information effects of options trading: Evidence from the banking industry. (2018). Du, Brian ; Fung, Scott. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:149-168.

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2019De-Leverage and illiquidity contagion. (2019). Zhu, Ning ; Liu, Yu-Jane. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:102:y:2019:i:c:p:1-18.

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2019Asset prices and “the devil(s) you know”. (2019). Prokopczuk, Marcel ; Benno, Duc Binh ; Hollstein, Fabian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:20-35.

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2017Insider trading, stock return volatility, and the option markets pricing of the information content of insider trading. (2017). Louis, Henock ; Chiang, Chin-Han ; Chung, Sung Gon . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:65-73.

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2017Determinants of the crude oil futures curve: Inventory, consumption and volatility. (2017). Yeung, Danny ; Thorp, Susan ; Nikitopoulos-Sklibosios, Christina ; Squires, Matthew. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:53-67.

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2018Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets. (2018). Lin, Chu-Bin ; Chou, Robin K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:90:y:2018:i:c:p:17-31.

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2018The impacts of asymmetric information and short sales on the illiquidity risk premium in the stock option market. (2018). Lin, Zih-Ying ; Wang, Yaw-Huei ; Chang, Chuang-Chang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:152-165.

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2018Differences in options investors’ expectations and the cross-section of stock returns. (2018). Andreou, Panayiotis C ; Tuneshev, Ruslan ; Philip, Dennis ; Kagkadis, Anastasios. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:315-336.

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2018Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166.

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2017The bright side of financial derivatives: Options trading and firm innovation. (2017). Wehrheim, David ; Blanco, Ivan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:99-119.

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2017The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). (2017). Dannhauser, Caitlin D. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:537-560.

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2017Designated market makers still matter: Evidence from two natural experiments. (2017). Clark-Joseph, Adam D ; Zi, Chao ; Ye, Mao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:652-667.

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2018Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market. (2018). Li, Xindan ; Yang, Xuewei ; Subrahmanyam, Avanidhar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:38-65.

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2019Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

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2017The evolution of market share among the U.S. options market platforms. (2017). Asioglu, Asli ; Saraoglu, Hakan ; Louton, David ; Holowczak, Richard . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:196-214.

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2017Beta as a determinant of investor activity in sector exchange-traded funds. (2017). Peltomaki, Jarkko. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:137-145.

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2018Equivalent volume and comovement. (2018). Staer, Arsenio ; Sottile, Pedro . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:143-157.

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2017Time-varying return-volatility relation in international stock markets. (2017). Jin, Xiaoye. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:157-173.

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2018Intraday price discovery analysis in the foreign exchange market of an emerging economy: Mexico. (2018). Martinez, Valeria ; Tse, Yiuman. In: Research in International Business and Finance. RePEc:eee:riibaf:v:45:y:2018:i:c:p:271-284.

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2019Implied volatility and the cross section of stock returns in the UK. (2019). Agarwal, Vineet ; Chandorkar, Pankaj ; Poshakwale, Sunil S. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:271-286.

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2017Economic information transmissions and liquidity between shipping markets: New evidence from freight derivatives. (2017). VISVIKIS, ILIAS ; Alexandridis, G ; Sahoo, S. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:98:y:2017:i:c:p:82-104.

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2017Improving on daily measures of price discovery. (2017). Fernandes, Marcelo ; Scherrer, Cristina Mabel ; Dias, Gustavo Fruet. In: Textos para discussão. RePEc:fgv:eesptd:444.

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2017Reputation and Investor Activism. (2017). Swem, Nathan ; Johnson, Travis L. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-36.

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2019Volatility Integration in Spot, Futures and Options Markets: A Regulatory Perspective. (2019). Athaley, Chaitaly ; Rastogi, Shailesh . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:98-:d:238426.

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2018Alpha Beta Risk and Stock Returns—A Decomposition Analysis of Idiosyncratic Volatility with Conditional Models. (2018). Fu, Chengbo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:124-:d:178727.

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2018Managing Bubbles in the Korean Real Estate Market: A Real Options Framework. (2018). Kim, Kyungwon ; Song, Jae Wook. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2875-:d:163542.

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2018Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan. (2018). Khan, Mehwish Aziz ; Ahmad, Eatzaz. In: Sustainability. RePEc:gam:jsusta:v:11:y:2018:i:1:p:94-:d:192967.

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2017Effects of Lit and Dark Market Fragmentation on Liquidity. (2017). Gresse, Carole. In: Post-Print. RePEc:hal:journl:hal-01631771.

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2017The Term Structure of Systematic and Idiosyncratic Risk. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-618.

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2018Fragmentation and Market Quality: The Case of European Markets. (2018). Silva, Paulo Pereira. In: De Economist. RePEc:kap:decono:v:166:y:2018:i:2:d:10.1007_s10645-018-9316-0.

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2017A bias in the volatility smile. (2017). Chance, Don M ; Muthuswamy, Jayaram ; Li, Weiping ; Hanson, Thomas A. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:1:d:10.1007_s11147-016-9124-0.

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2018An empirical investigation of large trader market manipulation in derivatives markets. (2018). Jarrow, Robert ; Tsai, Shih-Chuan ; Fung, Scott. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-018-9143-0.

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2019Option-implied Value-at-Risk and the cross-section of stock returns. (2019). Feser, Alexander ; Ammann, Manuel. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:3:d:10.1007_s11147-019-09154-z.

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2017Retrieving risk neutral moments and expected quadratic variation from option prices. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:4:d:10.1007_s11156-016-0575-z.

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2019Relative option liquidity and price efficiency. (2019). Du, Brian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:52:y:2019:i:4:d:10.1007_s11156-018-0738-1.

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2017Options Order Flow, Volatility Demand and Variance Risk Premium. (2017). Kotha, Kiran Kumar ; Chakrabarti, Prasenjit. In: Multinational Finance Journal. RePEc:mfj:journl:v:21:y:2017:i:2:p:49-90.

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2018The use of option prices in order to evaluate the skewness risk premium. (2018). Muzzioli, Silvia ; Gambarelli, Luca ; Elyasiani, Elyas. In: Department of Economics. RePEc:mod:depeco:0132.

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2018Illiquidity Premia in the Equity Options Market. (2018). Christoffersen, Peter ; Karoui, Mehdi ; Jacobs, Kris ; Goyenko, Ruslan . In: Review of Financial Studies. RePEc:oup:rfinst:v:31:y:2018:i:3:p:811-851..

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2017Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash. (2017). Nartea, Gilbert ; Hou, Yang. In: MPRA Paper. RePEc:pra:mprapa:81995.

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2017Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets. (2017). Hou, Yang ; Li, Steven. In: MPRA Paper. RePEc:pra:mprapa:81999.

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2017An examination of the REIT return–implied volatility relation: a frequency domain approach. (2017). Anoruo, Emmanuel. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:41:y:2017:i:3:d:10.1007_s12197-016-9378-2.

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2017Idiosyncratic Volatility and Liquidity Risk: How they have Explanatory Power in Stock Returns. (2017). Lina, Jun-Biao ; Su, Ping-Yeh . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:1:f:7_1_2.

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2018Multiple credit ratings and market heterogeneity. (2018). Tran, Vu ; ap Gwilym, Owain ; Alsakka, Rasha. In: Working Papers. RePEc:swn:wpaper:2018-26.

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2017Investigating the sources of Black’s leverage effect in oil and gas stocks. (2017). Sanusi, Muhammad Surajo ; McMillan, David. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1318812.

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2017Does behavioural theory explain return-implied volatility relationship? Evidence from India. (2017). Chakrabarti, Prasenjit ; McMillan, David ; Kumar, Kiran K. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1355521.

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2017Stock market return predictability: Google pessimistic sentiments versus fear gauge. (2017). Habibah, Ume ; McMillan, David ; Sadhwani, Ranjeeta ; Rajput, Suresh. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1390897.

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2018Implied Volatility Sentiment: A Tale of Two Tails. (2018). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170002.

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2018Textual Sentiment, Option Characteristics, and Stock Return Predictability. (2018). Härdle, Wolfgang ; Fengler, Matthias ; Liu, Yanchu ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Economics Working Paper Series. RePEc:usg:econwp:2018:08.

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2018MODELING ASYMMETRIC VOLATILITY IN THE CHICAGO BOARD OPTIONS EXCHANGE VOLATILITY INDEX. (2018). URAL, Mert ; Demrel, Erhan. In: Studii Financiare (Financial Studies). RePEc:vls:finstu:v:22:y:2018:i:1:p:20-31.

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2019When stock futures dominate price discovery. (2019). Aggarwal, Nidhi ; Thomas, Susan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:263-278.

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2018INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL. (2018). Han, Xixuan ; Yang, Hailiang ; Wei, Boyu. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500140.

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2018OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS. (2018). Faias, Jose Afonso ; Castel-Branco, Tiago. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500437.

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2017Lead–Lag Relationship Between Returns and Implied Moments: Evidence from KOSPI 200 Intraday Options Data. (2017). Kim, Sol ; Lee, Geul. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:20:y:2017:i:03:n:s0219091517500175.

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2017Implied volatility sentiment: A tale of two tails. (2017). Stork, Philip ; Kräussl, Roman ; Kraussl, Roman ; Felix, Luiz . In: CFS Working Paper Series. RePEc:zbw:cfswop:565.

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Works by Stewart Mayhew:


YearTitleTypeCited
1995 The Allocation of Informed Trading across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements. In: Journal of Finance.
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article33
1999Japanese Corporate Finance and International Competition. By MASASUKE IDE. New York, NY: St. Martins Press, 1998. Pp. xii + 194. In: Journal of Finance.
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article0
2002Competition, Market Structure, and Bid-Ask Spreads in Stock Option Markets In: Journal of Finance.
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article42
2004How Do Exchanges Select Stocks for Option Listing? In: Journal of Finance.
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article47
2004Informed Trading in Stock and Option Markets In: Journal of Finance.
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article165
2002Risk-Neutral Skewness: Evidence from Stock Options In: Journal of Financial and Quantitative Analysis.
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article81
2006Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon In: Journal of Financial and Quantitative Analysis.
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article63
2009Microstructural biases in empirical tests of option pricing models In: Review of Derivatives Research.
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article9
2010Ex-dividend Arbitrage in Option Markets In: Review of Financial Studies.
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article3
2000Another Look at Option Listing Effects In: Finance.
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paper14

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