Research

Working Papers:

1. Impact of Embedded Leverage on Trading Activity in Stock, Options, and Futures Markets,  with Sobhesh Kumar Agarwalla (IIM-A), and Jayanth R. Varma (IIM-A)

2. Effect of Continuous Disclosure Requirement on Information Leakage Around Earnings Announcements, with Sobhesh Kumar Agarwalla (IIM-A), Ajay Pandey (IIM-A), and Jayanth R. Varma (IIM-A)

3. Natural Disasters, Interest Rate Dynamics, and Economic Activities, Abhiman Das (IIM-A), and Tanmoy Majilla (IIM-L)

4. Does Government Ownership Differently Impact Expected Left-Tail and Volatility Risk of Bank Stocks? Evidence from Options Market, with Pranjal Srivastava, and Abinash Mishra 

5. Bankruptcy codes and asymmetric cost behaviour, with Debojyoti Das, and Arun Upadhyay 

Published Papers (peer-reviewed):

1. Lottery and bubble stocks and the cross-section of option-implied tail risks, with Sobhesh Kumar Agarwalla, and Jayanth R. Varma, Journal of Futures Market, 42 (2),231-249. 

2. Belief distortion near 52 Week High and Low: Evidence from Indian equity options market, with Sobhesh Kumar Agarwalla, and Jayanth R. Varma, Journal of Futures Market, 43 (11), 1531-1558

3. Role of derivatives market in attenuating underreaction to left-tail risk, with Sobhesh Kumar Agarwalla, and Jayanth R. Varma, Journal of Futures Market, 44 (3), 484-517 

4. Asymmetric uncertainty around earnings announcements: Evidence from options market, with Sobhesh Kumar Agarwalla, and Jayanth R. Varma, American Business Review (Forthcoming)

Media Articles:

1. Article on the effectiveness of the Repo rate as policy rate in a surplus liquidity condition (published on July 31, 2020 in The Hindu Business Line) with Pranjal Srivastava (PhD student, IIM-A)

Book Chapters:

1. Saurav, S. (2020). Review of Corporate Governance in Emerging Economies from the Perspective of Principal-Principal Conflict. The Financial Landscape of Emerging Economies, 111-121.