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A lottery-demand-based explanation of the beta anomaly
Bali, Turan G.; Brown, Stephen J.; Murray, Scott; Tang, Yi - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2369-2397
Persistent link: https://www.econbiz.de/10011929337
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A margin requirement based return calculation for portfolios of short option positions
Murray, Scott - In: Managerial Finance 39 (2013) 6, pp. 550-568
Purpose – Short option positions carry significant risk of losses well in excess of 100 per cent of the initial option price. Margin requirements associated with such positions are therefore considerable. The purpose of this paper is to develop a methodology for calculating margin...
Persistent link: https://www.econbiz.de/10014940300
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A margin requirement based return calculation for portfolios of short option positions
Murray, Scott - In: Managerial Finance 39 (2013), pp. 550-568
Purpose – Short option positions carry significant risk of losses well in excess of 100 per cent of the initial option price. Margin requirements associated with such positions are therefore considerable. The purpose of this paper is to develop a methodology for calculating margin...
Persistent link: https://www.econbiz.de/10010691525
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A margin requirement based return calculation for portfolios of short option positions
Murray, Scott - In: Managerial Finance 39 (2013), pp. 550-568
Purpose – Short option positions carry significant risk of losses well in excess of 100 per cent of the initial option price. Margin requirements associated with such positions are therefore considerable. The purpose of this paper is to develop a methodology for calculating margin...
Persistent link: https://www.econbiz.de/10010709741
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Using the results of a national assessment of educational achievement
Kellaghan, Thomas - 2009
Persistent link: https://www.econbiz.de/10011393381
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Bear beta
Lu, Zhongijn; Murray, Scott - In: Journal of financial economics 131 (2019) 3, pp. 736-760
Persistent link: https://www.econbiz.de/10012133542
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The bond-pricing implications of rating-based capital requirements
Murray, Scott; Nikolova, Stanislava - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 6, pp. 2177-2207
Persistent link: https://www.econbiz.de/10013367071
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Charting by machines
Murray, Scott; Xia, Yusen; Xiao, Houping - In: Journal of financial economics 153 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10015072059
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Bali, Turan G. - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 413-417
Persistent link: https://www.econbiz.de/10011987520
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The Role of Exchange Rates in the Intertemporal Risk-Return Relation in International Economies
Bali, Turan G.; Wu, Liuren - 2005
This paper investigates the role of currency denomination in the the intertemporal risk-return relation among G7 countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries are integrated. We obtain significant pricing...
Persistent link: https://www.econbiz.de/10009440704