Working Papers:
Working Papers:
- The Cross-Section of Option Returns: Deriving Inferences in Sparse Models, with Don M. Chance, Robert Brooks. R&R at the Journal of Empirical Finance.
(Semi-finalist for the best paper award in options and derivatives, FMA Annual Meeting 2019)
Previously distributed under the title “The cross-section of individual equity option returns.”
Presented at Quantitative Finance Seminar 2022 at Northwestern University, FMA 2019, SoFiE Financial Econometrics Summer School 2019, E(astern)FA 2019, *FMA European Conference 2019, Old Dominion University and Louisiana State University.
- A Stock’s 52-week Price Anchor and the Subsequent Dynamics of Stock and Corporate Bond Monthly Returns, with Chen Chen, Sounak Saha, Chris Stivers, Licheng Sun. R&R at the Journal of Banking and Finance.
- Decomposing the Systematic and Idiosyncratic Components of the Diffusive and Tail Risks in Individual Equity Options, with Don M. Chance, Robert Brooks.
Grants: Financial Research support from the Canadian Derivatives Institute (CDI), $30,000 CAD)
Presented at 2021 MFA, Old Dominion University.
- The Growth Effect of Uncertainty about Globalization: Evidence from the Option Market, with Mengying Wang
(Best paper award in options and derivatives, FMA Annual Meeting 2023)
Presented at *FMA 2023, Derivatives and Asset Pricing Conference 2024.
- Reference Point Prices, Tail Risks, and Risk-Neutral Skewness: Evidence from the Cross-Section of Equity Options, with Licheng Sun
Presented at FMA 2023.
Work in Progress:
Work in Progress:
- Getting Skew Right: When and Why Risk-Neutral Skew Measures Disagree, with Torben Andersen
- Dissecting the Cross-Section of Implied Volatility Surface.
- Is Option Value Increasing with Volatility? with Don M. Chance, Robert Brooks