This is the home page for Thaddeus Neururer.  I am an Associate Professor of Accounting at the University of Akron.  This page is devoted to sharing my academic and professional research along with other information.

Published Research

Do Analysts Provide Information About Other Comprehensive Income in Book Value Forecasts for Financial Firms? (with Dirk Black) - 2024 - Advances in Accounting (SSRN Link)

Variance Risk Premiums and Aging Firms - 2023 - Finance Research Letters (SSRN Link)

Biased Implied Volatilities and Dividend-Paying Stocks - 2023 - Journal of Derivatives

Meet-or-Beat Streak Heterogeneity and Equity Prices - 2022 - Quarterly Review of Economics and Finance (SSRN Link)

Earnings Announcement Saliency and Option Trading (with Tom Adams) - 2022 - Review of Financial Economics 

The Effect of Reporting Streaks on Ex Ante Uncertainty (with George Papadakis and Edward Riedl) - 2020 - Management Science (SSRN Link)

Environmental Performance and Analyst Information Processing Costs (with Paul Griffin and Estelle Sun) - 2020 - Journal of Corporate Finance (SSRN Link)

Past Managerial Guidance and Returns to Variance Trading around Earnings Announcements - 2020 - Accounting & Finance (SSRN Link)

Earnings Announcement Timing, Uncertainty, and Volatility Risk Premiums (with Tom Adams) - 2020 - Journal of Futures Markets (SSRN Link)

Tests of Investor Learning Models Using Earnings Innovations and Implied Volatilities (with George Papadakis and Edward Riedl) - 2016 - Review of Accounting Studies (SSRN Link)

Trading System Capability (with Andrew Kumiega and Ben Van Vliet) - 2014 - Quantitative Finance (SSRN Link)

Multifactor Index Variance: The Case of the SPX 2000 to 2010 (with Andrew Kumiega) - 2012 - Journal of Futures Markets

Implied ICA: Factor Extraction and Multi-Asset Derivative Pricing (with Andrew Kumiega and Ben Van Vliet) - 2012 - Journal of Derivatives (SSRN Link)

Investor Behavior, Reporting Intervals and Hedge Fund Stability (with Andrew Kumiega and Ben Van Vliet) - 2012 - Journal of Investing (SSRN Link)

Independent Component Analysis for Realized Volatility: Analysis of the Stock Market Crash of 2008 (with Andrew Kumiega and Ben Van Vliet) - 2011 - Quarterly Review of Economics and Finance (SSRN Link)

Other Available Research

Quantifying the Effect of Information and Ability Spillovers on Analyst Earnings Forecast Accuracy (with Estelle Sun)

Skew Premiums around Earnings Announcements (with George Papadakis) 

The Option to Stock Volume Ratio: Information Releases and the Variance Risk Premium (with George Papadakis) 

Shareholder Activism and Changes in Audit Committee Composition (with Tom Adams)

Do Shareholder Activists Care about Accounting and Audit Quality? (with Tom Adams)

SSRN Author Page

SSRN Link