Publications

Publications (Refereed)

Holding Period Effects in Dividend Strip Returns (with Benjamin Golez), Review of Financial Studies, forthcoming, 2024. Online Appendix. Data and codes are available here.

Birds of a Feather - do Hedge Fund Managers Flock Together? (with Marc Gerritzen and Alberto Plazzi), Management Science, forthcoming, 2024.

Mispricing of Index Options with Respect to Stochastic Dominance Bounds? A Reply (with George M. Constantinides, Michal Czerwonko and Stylianos Perrakis), Critical Finance Review 10, No. 1, 57-63, 2021. http://dx.doi.org/10.1561/104.00000090.

What do Index Options Teach us About Covid-19?, Review of Asset Pricing Studies 10, No. 4, 618-634, 2021.

Does the Ross Recovery Theorem Work Empirically? (with Marco Menner), Journal of Financial Economics 137, No. 3, 723-739, 2020. Online Appendix.

Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation (previously titled : LIBOR Manipulation: Cui Bono?) (with Priyank Gandhi, Benjamin Golez and Alberto Plazzi),  Management Science 65, No. 11, 4951-5448, 2019. Online Appendix.

Asymmetric Volatility Risk: Evidence from Option Markets (with Grigory Vilkov), Review of Finance 23, No. 4, 777–799, 2019.

The Pricing Kernel Puzzle in Forward Looking Data (with Horatio Cuesdeanu), Review of Derivatives Research 21, 253-276, 2018.

The Pricing Kernel Puzzle: Survey and Outlook (with Horatio Cuesdeanu), Annals of Finance 14, No. 3, 289-329, 2018. Online Appendix.

The Total Benefit of Alternative Assets to Pension Fund Portfolios (with Anna Slavutskaya), Journal of Financial Markets 31, 25-42, 2016.

Improved Portfolio Choice Using Second Order Stochastic Dominance (with James E. Hodder and Olga Kolokolova), Review of Finance 19, No. 4, 1623-1647, 2015.

Recovering Delisting Returns of Hedge Funds (with James E. Hodder and Olga Kolokolova), Journal of Financial and Quantitative Analysis 49, No. 3, 797-815, 2014.

The Puzzle of Index Option Returns (with George M. Constantinides and Alexi Z. Savov), Review of Asset Pricing Studies 3, No. 2, 229-257, 2013. Online Appendix.

Pinning in the S&P 500 Futures (with Benjamin Golez), Journal of Financial Economics 106, No. 3, 566-585, 2012.

Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence (with George M. Constantinides, Michal Czerwonko and Stylianos Perrakis, Journal of Finance 66, No. 4, 1401-1431, 2011.

Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management (with James E Hodder), Journal of Banking and Finance 35, No. 6, 1507-1518, 2011.

Note: This paper was circulated earlier under the title "Employee Stock Options: Much More Valuable Than You Thought".

Mispricing of S&P 500 Index Options (with George M. Constantinides and Stylianos Perrakis), Review of Financial Studies 22, No. 3, 1247-1277, 2009.

Incentive Contracts and Hedge Fund Management (with James E. Hodder), Journal of Financial and Quantitative Analysis 42, No. 4, 811-826, 2007.

Option-Implied Risk-Neutral Distributions and Risk Aversion, ISBN 0-943205-66-2, Research Foundation of AIMR, Charlotteville, VA. The monograph can be downloaded at CFA Institute-Publications, 2004.

The Price of a Smile: Hedging and Spanning in Option Markets (with Andrea Buraschi), Review of Financial Studies 14, No. 2, 495-527, 2001.

Note: This paper was circulated earlier under the title "Explaining Option Prices: Deterministic vs. Stochastic Models" and "Is Volatility Risk Priced in the Option Market? Empirical Evidence and Implications for Deterministic and Stochastic Option Pricing Models".

Recovering Risk Aversion from Option Prices and Realized Returns, Review of Financial Studies 13, No. 2, 433-451, 2000.

Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review, Journal of Derivatives 7, No. 2, 66-82, 1999.

Generalized Binomial Trees, Journal of Derivatives 5, No. 2, 7-17, 1997.

Artificial Stupidity: A Reply, Journal of Portfolio Management 24, No.1, 120-121, 1997.

Recovering Probability Distributions from Option Prices (with Mark Rubinstein), Journal of Finance 51, No. 5, 1611-1631, 1996.

Publications (Non-Refereed)

Tips for the PhD in Empirical Financial Economics: From Developing a Research Idea to Getting It Published, working paper, University of Konstanz, 2022.

 The Pricing Kernel Puzzle: Reconciling Index Option Data and Economic Theory (with David P. Brown), in: Contemporary Studies in Economics and Financial Analysis: Derivative Securities Pricing and Modelling, Vol. 94, 155-183, eds. J. A. Batten and N. Wagner, Emerald Group, Bingley, UK, 2012.

Recovering Stochastic Processes from Option Prices (with Mark Rubinstein), in: Contemporary Studies in Economics and Financial Analysis: Derivative Securities Pricing and Modelling, Vol. 94, 123-154, eds. J. A. Batten and N. Wagner, Emerald Group, Bingley, UK, 2012.

Option Pricing: Real and Risk-Neutral Distributions (with George M. Constantinides and Stylianos Perrakis), in: Handbooks in Operations Research and Management Science: Financial Engineering, Vol. 15, 565-591, eds. J.R. Birge and V. Linetsky, Elsevier, Amsterdam, 2007.

Why Employee Stock Options could be Worth much more to the Manager than Commonly Estimated (with James E. Hodder), Stock Options Watch 3, No. 1, 3-4, 2005.

Recovering Probabilities and Risk Aversion from Option Prices and Realized Returns (with Mark Rubinstein), in: The Legacy of Fisher Black, editor: Bruce N. Lehmann, Oxford University Press, Oxford, 2004.