Neil D Pearson

Search results

• 2024

  Nonstandard Errors

  Menkveld, A. J., Dreber, A., Holzmeister, F., Huber, J., Johannesson, M., Kirchler, M., Neusüß, S., Razen, M., Weitzel, U., Abad-Díaz, D., Abudy, M., Adrian, T., Ait-Sahalia, Y., Akmansoy, O., Alcock, J. T., Alexeev, V., Aloosh, A., Amato, L., Amaya, D. & Angel, J. J. & 323 others, Avetikian, A. T., Bach, A., Baidoo, E., Bakalli, G., Bao, L., Barbon, A., Bashchenko, O., Bindra, P. C., Bjønnes, G. H., Black, J. R., Black, B. S., Bogoev, D., Correa, S. B., Bondarenko, O., Bos, C. S., Bosch-Rosa, C., Bouri, E., Brownlees, C., Calamia, A., Cao, V. N., Capelle-Blancard, G., Romero, L. M. C., Caporin, M., Carrion, A., Caskurlu, T., Chakrabarty, B., Chen, J., Chernov, M., Cheung, W., Chincarini, L. B., Chordia, T., Chow, S. C., Clapham, B., Colliard, J. E., Comerton-Forde, C., Curran, E., Dao, T., Dare, W., Davies, R. J., Blasis, R. D., Nard, G. F. D., Declerck, F., Deev, O., Degryse, H., Deku, S. Y., Desagre, C., Dijk, M. A. V., Dim, C., Dimpfl, T., Dong, Y. J., Drummond, P. A., Dudda, T., Duevski, T., Dumitrescu, A., Dyakov, T., Dyhrberg, A. H., Dzieliński, M., Eksi, A., Kalak, I. E., Ellen, S. T., Eugster, N., Evans, M. D. D., Farrell, M., Felez-Vinas, E., Ferrara, G., Ferrouhi, E. M., Flori, A., Fluharty-Jaidee, J. T., Foley, S. D. V., Fong, K. Y. L., Foucault, T., Franus, T., Franzoni, F., Frijns, B., Frömmel, M., Fu, S. M., Füllbrunn, S. C., Gan, B., Gao, G., Gehrig, T. P., Gemayel, R., Gerritsen, D., Gil-Bazo, J., Gilder, D., Glosten, L. R., Gomez, T., Gorbenko, A., Grammig, J., Grégoire, V., Güçbilmez, U., Hagströmer, B., Hambuckers, J., Hapnes, E., Harris, J. H., Harris, L., Hartmann, S., Hasse, J. B., Hautsch, N., He, X. Z., Heath, D., Hediger, S., Hendershott, T., Hibbert, A. M., Hjalmarsson, E., Hoelscher, S. A., Hoffmann, P., Holden, C. W., Horenstein, A. R., Huang, W., Huang, D., Hurlin, C., Ilczuk, K., Ivashchenko, A., Iyer, S. R., Jahanshahloo, H., Jalkh, N., Jones, C. M., Jurkatis, S., Jylhä, P., Kaeck, A. T., Kaiser, G., Karam, A., Karmaziene, E., Kassner, B., Kaustia, M., Kazak, E., Kearney, F., Kervel, V. V., Khan, S. A., Khomyn, M. K., Klein, T., Klein, O., Klos, A., Koetter, M., Kolokolov, A., Korajczyk, R. A., Kozhan, R., Krahnen, J. P., Kuhle, P., Kwan, A., Lajaunie, Q., Lam, F. Y. E. C., Lambert, M., Langlois, H., Lausen, J., Lauter, T., Leippold, M., Levin, V., Li, Y., Li, H., Liew, C. Y., Lindner, T., Linton, O., Liu, J., Liu, A., Llorente, G., Lof, M., Lohr, A., Longstaff, F., Lopez-Lira, A., Mankad, S., Mano, N., Marchal, A., Martineau, C., Mazzola, F., Meloso, D., Mi, M. G., Mihet, R., Mohan, V., Moinas, S., Moore, D., Mu, L., Muravyev, D., Murphy, D., Neszveda, G., Neumeier, C., Nielsson, U., Nimalendran, M., Nolte, S., Norden, L. L., O'neill, P., Obaid, K., Ødegaard, B. A., Östberg, P., Pagnotta, E., Painter, M., Palan, S., Palit, I. J., Park, A., Pascual, R., Pasquariello, P., Pastor, L., Patel, V., Patton, A. J., Pearson, N. D., Pelizzon, L., Pelli, M., Pelster, M., Pérignon, C., Pfiffer, C., Philip, R., Plíhal, T., Prakash, P., Press, O. A., Prodromou, T., Prokopczuk, M., Putnins, T., Qian, Y., Raizada, G., Rakowski, D., Ranaldo, A., Regis, L., Reitz, S., Renault, T., Renjie, R. W., Reno, R., Riddiough, S. J., Rinne, K., Rintamäki, P., Riordan, R., Rittmannsberger, T., Longarela, I. R., Roesch, D., Rognone, L., Roseman, B., Roşu, I., Roy, S., Rudolf, N., Rush, S. R., Rzayev, K., Rzeźnik, A. A., Sanford, A., Sankaran, H., Sarkar, A., Sarno, L., Scaillet, O., Scharnowski, S., Schenk-Hoppé, K. R., Schertler, A., Schneider, M., Schroeder, F., Schürhoff, N., Schuster, P., Schwarz, M. A., Seasholes, M. S., Seeger, N. J., Shachar, O., Shkilko, A., Shui, J., Sikic, M., Simion, G., Smales, L. A., Söderlind, P., Sojli, E., Sokolov, K., Sönksen, J., Spokeviciute, L., Stefanova, D., Subrahmanyam, M. G., Szaszi, B., Talavera, O., Tang, Y., Taylor, N., Tham, W. W., Theissen, E., Thimme, J., Tonks, I., Tran, H., Trapin, L., Trolle, A. B., Vaduva, M. A., Valente, G., Ness, R. A. V., Vasquez, A., Verousis, T., Verwijmeren, P., Vilhelmsson, A., Vilkov, G., Vladimirov, V., Vogel, S., Voigt, S., Wagner, W., Walther, T., Weiss, P., Wel, M. V. D., Werner, I. M., Westerholm, P. J., Westheide, C., Wika, H. C., Wipplinger, E., Wolf, M., Wolff, C. C. P., Wolk, L., Wong, W. K., Wrampelmeyer, J., Wu, Z. X., Xia, S., Xiu, D., Xu, K., Xu, C., Yadav, P. K., Yagüe, J., Yan, C., Yang, A., Yoo, W., Yu, W., Yu, Y., Yu, S., Yueshen, B. Z., Yuferova, D., Zamojski, M., Zareei, A., Zeisberger, S. M., Zhang, L., Zhang, S. S., Zhang, X., Zhao, L., Zhong, Z., Zhou, Z. I., Zhou, C., Zhu, X. S., Zoican, M. & Zwinkels, R., Jun 2024, In: Journal of Finance. 79, 3, p. 2339-2390 52 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Generative Process 100%
  • Sample Statistic 100%
  • Population Parameter 100%
  • Test Hypothesis 100%
  • Peer Review 50%
• 2023

  Retail Derivatives and Sentiment: A Sentiment Measure Constructed from Issuances of Retail Structured Equity Products

  Henderson, B. J., Pearson, N. D. & Wang, L., Aug 2023, In: Journal of Finance. 78, 4, p. 2365-2407 43 p.

  Research output: Contribution to journal › Article › peer-review

  • Retail 100%
  • Structured Equity Products 100%
  • Retail Derivatives 100%
  • Factor Model 100%
  • Investor Sentiment 100%
• 2022

  Anomalies and Their Short-Sale Costs

  Muravyev, D., Pearson, N. D. & Pollet, J. M., Nov 15 2022, 78 p.

  Research output: Working paper

  • Short Sales Costs 100%
  • Sales 100%
  • Asset Pricing 100%
  • Asset Pricing Anomalies 25%

• Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options

  Muravyev, D., Pearson, N. D. & Pollet, J. M., Jun 2022, In: Journal of Finance. 77, 3, p. 1787-1828 42 p.

  Research output: Contribution to journal › Article › peer-review

  • Risk Premium 100%
  • Equity Options 100%
  • Stock Loans 100%
  • Lending Markets 100%
  • Short Selling 50%
• 2021

  Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

  Ni, S. X., Pearson, N. D., Poteshman, A. M. & White, J., Apr 1 2021, In: Review of Financial Studies. 34, 4, p. 1952-1986 35 p.

  Research output: Contribution to journal › Article › peer-review

  • Stock Prices 100%
  • Options Trading 100%
  • Underlying Stocks 100%
  • Stock Price 100%
  • Option Trading 100%

• Options trading costs are lower than you think

  Muravyev, D. & Pearson, N. D., 2021, In: Review of Financial Studies. 33, 11, p. 4973-5014 42 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Traders 100%
  • Trading Costs 100%
  • Options Trading 100%
  • Time Execution 100%
  • Effective Spread 100%

• The Chinese Warrants Bubble: Evidence from Brokerage Account Records

  Pearson, N. D., Yang, Z. & Zhang, Q., Jan 1 2021, In: Review of Financial Studies. 34, 1, p. 264-312 49 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Brokerage 100%
  • Feedback Trading 100%
  • Feedback Loop 50%
  • Price Increase 50%
  • Past Returns 50%
• 2020

  Pre-trade hedging: Evidence from the issuance of retail structured products

  Henderson, B. J., Pearson, N. D. & Wang, L., Jul 2020, In: Journal of Financial Economics. 137, 1, p. 108-128 21 p.

  Research output: Contribution to journal › Article › peer-review

  • Hedging 100%
  • Structured Equity Products 100%
  • Retail Structured Products 100%
  • Stock Price 100%
  • Issuer 50%

• Repurchases after being well known as good news

  Lee, I., Park, Y. J. & Pearson, N. D., Jun 2020, In: Journal of Corporate Finance. 62, 101552.

  Research output: Contribution to journal › Article › peer-review

  • Repurchase 100%
  • Good News 100%
  • Buyback 100%
  • Institutional Investor 100%
  • Senior Management 25%
• 2016

  Why Does Options Market Information Predict Stock Returns?

  Muravyev, D., Pearson, N. D. & Pollet, J. M., Oct 13 2016, 57 p.

  Research output: Working paper

  • Capital Market Returns 100%
  • Information Market 100%
  • Volatility 75%
  • Implied Volatility Spread 25%

• Why does the option to stock volume ratio predict stock returns?

  Ge, L., Lin, T. C. & Pearson, N. D., Jun 1 2016, In: Journal of Financial Economics. 120, 3, p. 601-622 22 p.

  Research output: Contribution to journal › Article › peer-review

  • Volume Ratio 100%
  • Stock Returns 100%
  • Stock Volume 100%
  • Capital Market Returns 100%
  • Option Volume 66%
• 2015

  Inferring correlations of asset values and distances-to-default from CDS spreads: A structural model approach

  Kitwiwattanachai, C. & Pearson, N. D., Jun 1 2015, In: Review of Asset Pricing Studies. 5, 1, p. 112-154 43 p.

  Research output: Contribution to journal › Article › peer-review

  • Asset Value 100%
  • CDS Spreads 100%
  • Distance to Default 100%
  • Default Boundary 75%
  • Correlation Consistent 50%

• New evidence on the financialization of commodity markets

  Henderson, B. J., Pearson, N. D. & Wang, L., May 1 2015, In: Review of Financial Studies. 28, 5, p. 1285-1311 27 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • New Evidence 100%
  • Futures Markets 100%
  • Commodity Futures Prices 100%
  • Commodity Market Financialization 100%
  • Investors 100%
• 2013

  Is there price discovery in equity options?

  Muravyev, D., Pearson, N. D. & Paul Broussard, J., Feb 2013, In: Journal of Financial Economics. 107, 2, p. 259-283 25 p.

  Research output: Contribution to journal › Article › peer-review

  • Inequity 100%
  • Stock Prices 100%
  • Price Discovery 100%
  • Equity Options 100%
  • Stock Price 100%
• 2011

  The dark side of financial innovation: A case study of the pricing of a retail financial product

  Henderson, B. J. & Pearson, N. D., May 2011, In: Journal of Financial Economics. 100, 2, p. 227-247 21 p.

  Research output: Contribution to journal › Article › peer-review

  • Retail 100%
  • Expected Returns 100%
  • Financial Products 100%
  • Financial Innovation 100%
  • Investors 100%
• 2010

  Study of real options with exogenous competitive entry to analyze dispute resolution ladder investments in architecture, engineering, and construction projects

  Menassa, C., Pea Mora, F. & Pearson, N., 2010, In: Journal of Construction Engineering and Management. 136, 3, p. 377-390 14 p.

  Research output: Contribution to journal › Article › peer-review

  • Dispute Resolution 100%
  • Construction Projects 100%
  • Engineering Project 100%
  • Real Options 100%
  • Competitive Entry 100%
• 2009

  Option pricing model to analyze cost-benefit trade-offs of ADR investments in AEC projects

  Menassa, C. C., Mora, F. P. & Pearson, N., 2009, In: Journal of Construction Engineering and Management. 135, 3, p. 156-168 13 p.

  Research output: Contribution to journal › Article › peer-review

  • Analysis Cost 100%
  • Cost-benefit Trade-off 100%
  • Option Pricing Model 100%
  • Alternative Dispute Resolution 100%
  • AEC Projects 100%
• 2007

  Option market activity

  Lakonishok, J., Lee, I., Pearson, N. D. & Poteshman, A. M., May 2007, In: Review of Financial Studies. 20, 3, p. 813-857 45 p.

  Research output: Contribution to journal › Article › peer-review

  • Small Fraction 100%
  • Selling 100%
  • Article Use 100%
  • Descriptive Statistics 100%
  • Value Stocks 100%
• 2005

  Stock price clustering on option expiration dates

  Ni, S. X., Pearson, N. D. & Poteshman, A. M., Oct 2005, In: Journal of Financial Economics. 78, 1, p. 49-87 39 p.

  Research output: Contribution to journal › Article › peer-review

  • Stock Prices 100%
  • Price Clustering 100%
  • Option Expiration 100%
  • Expiration Date 100%
  • Stock Price 100%
• 2004

  Conditional estimation of diffusion processes

  Li, M., Pearson, N. D. & Poteshman, A. M., Oct 2004, In: Journal of Financial Economics. 74, 1, p. 31-66 36 p.

  Research output: Contribution to journal › Article › peer-review

  • Diffusion Process 100%
  • Conditional Estimate 100%
  • Conditionals 100%
  • Time Series 100%
  • Finance 100%
• 2002

  Option value, uncertainty, and the investment decision

  Kandel, E. & Pearson, N. D., 2002, In: Journal of Financial and Quantitative Analysis. 37, 3, p. 341-374 34 p.

  Research output: Contribution to journal › Article › peer-review

  • Option Value 100%
  • Investment Decisions 100%
  • Value Uncertainty 100%
  • Investment Decision 100%
  • Demand Uncertainty 66%

• VaR: The state of play

  Pearson, N. D. & Smithson, C., 2002, In: Review of Financial Economics. 11, 3, p. 175-189 15 p.

  Research output: Contribution to journal › Article › peer-review

  • State of Play 100%
  • Conditional Value at Risk 100%
  • Extreme Value 100%
  • Value Theory 100%
  • Improved Speed 12%

• What's new in value-at-risk? A selective survey

  Pearson, N. D., 2002, Global Risk Management: Financial, Operational, and Insurance Strategies. p. 15-37 23 p. (International Finance Review; vol. 3).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter
• 2001

  Flexibility versus Commitment in Personnel Management

  Kandel, E. & Pearson, N. D., Dec 2001, In: Journal of the Japanese and International Economies. 15, 4, p. 515-556 42 p.

  Research output: Contribution to journal › Article › peer-review

  • Japan 100%
  • Employment Contract 100%
  • Personnel Management 100%
  • Permanent Employment 100%
  • Human Resources 100%

• Recent Advances in Estimating Term-Structure Models

  Chapman, D. A. & Pearson, N. D., 2001, In: Financial Analysts Journal. 57, 4, p. 77-95 19 p.

  Research output: Contribution to journal › Article › peer-review

  • Recent Advances 100%
  • Unresolved Issues 100%
  • Term Structure Models 100%
  • Volatility 100%
  • Mean Reversion 100%
• 2000

  Is the short rate drift actually nonlinear?

  Chapman, D. A. & Pearson, N. D., Feb 2000, In: Journal of Finance. 55, 1, p. 355-388 34 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Nonlinearity 100%
  • Short Rate 100%
  • Nonlinearities 100%
  • Drift Function 66%
  • Sample Path 33%

• Value at Risk

  Linsmeier, T. J. & Pearson, N. D., Mar 2000, In: Financial Analysts Journal. 56, 2, p. 47-63 17 p.

  Research output: Contribution to journal › Article › peer-review

  • Conditional Value at Risk 100%
  • Monte Carlo Simulation 100%
  • Market Risk 50%
  • Stress Testing 25%
  • Value Concept 25%
• 1999

  Using proxies for the short rate: When are three months like an instant?

  Chapman, D. A., Long, J. B. & Pearson, N. D., 1999, In: Review of Financial Studies. 12, 4, p. 763-806 44 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Affine Model 100%
  • Short Rate 100%
  • Factor Model 100%
  • Numerical Procedure 50%
  • Analytic Results 50%
• 1998

  Open-end mutual funds and capital-gains taxes

  Barclay, M. J., Pearson, N. D. & Weisbach, M. S., Jul 1 1998, In: Journal of Financial Economics. 49, 1, p. 3-43 41 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Overhang 100%
  • Capital Gains 100%
  • Capital Gains Tax 100%
  • Open-end Fund 100%
  • New Investors 100%
• 1997

  Quantitative disclosures of market risk in the SEC release

  Linsmeier, T. J. & Pearson, N. D., 1997, In: Accounting Horizons. 11, 1, p. 107-135 29 p.

  Research output: Contribution to journal › Comment/debate › peer-review
• 1994

  Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model

  PEARSON, N. D. & SUN, T. ‐., Sep 1994, In: The Journal of Finance. 49, 4, p. 1279-1304 26 p.

  Research output: Contribution to journal › Article › peer-review

  • Conditional Density 100%
  • CIR Model 100%
  • Conditionals 100%
  • Term Structure 100%
  • Structure Term 100%
• 1991

  Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case

  He, H. & Pearson, N. D., Aug 1991, In: Journal of Economic Theory. 54, 2, p. 259-304 46 p.

  Research output: Contribution to journal › Article › peer-review

  • Minimax 100%
  • Infinite Dimension 100%
  • Incomplete Markets 100%
  • Consumption Policy 100%
  • Portfolio Policy 100%

• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case

  He, H. & Pearson, N. D., Jul 1991, In: Mathematical Finance. 1, 3, p. 1-10 10 p.

  Research output: Contribution to journal › Article › peer-review

  • Incomplete Markets 100%
  • Consumption Policy 100%
  • Portfolio Policy 100%
  • Incomplete Market 100%
  • Approaches to Study 50%