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Meet-or-beat streak heterogeneity and equity prices

Neururer, Thaddeus - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 455-470

Persistent link: https://www.econbiz.de/10014249175

Biased implied volatilities and dividend-paying stocks

Neururer, Thaddeus - In: The journal of derivatives : JOD 30 (2023) 4, pp. 91-103

Persistent link: https://www.econbiz.de/10014306880

Variance risk premiums and aging firms

Neururer, Thaddeus - In: Finance research letters 58 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014581299

Independent component analysis for realized volatility: Analysis of the stock market crash of 2008

Kumiega, Andrew; Neururer, Thaddeus; Van Vliet, Ben - In: The Quarterly Review of Economics and Finance 51 (2011) 3, pp. 292-302

This paper investigates the factors that drove the U.S. equity market returns from 2007 to early 2010. The period was highlighted by volatile energy and commodity prices, the collapse of insurance and banking firms, extreme implied volatility and a subsequent rally in the overall market. To...

Persistent link: https://www.econbiz.de/10009292820

Trading system capability

Kumiega, Andrew; Neururer, Thaddeus; Vliet, Ben Van - In: Quantitative Finance 14 (2014) 3, pp. 383-392

Persistent link: https://www.econbiz.de/10010751484

Multifactor Index Variance: The Case of the SPX 2000 to 2010

Neururer, Thaddeus; Kumiega, Andrew - In: Journal of Futures Markets 33 (2013) 2, pp. 158-182

Persistent link: https://www.econbiz.de/10010826643

Past managerial guidance and returns to variance trading around earnings announcements

Neururer, Thaddeus - In: Accounting & Finance 60 (2019) 3, pp. 2995-3031

Persistent link: https://www.econbiz.de/10012087429

Earnings announcement timing, uncertainty, and volatility risk premiums

Adams, Tom; Neururer, Thaddeus - In: Journal of Futures Markets 40 (2020) 10, pp. 1603-1630

Persistent link: https://www.econbiz.de/10012273040

Earnings announcement saliency and option trading

Adams, Tom; Neururer, Thaddeus - In: Review of Financial Economics 40 (2021) 1, pp. 44-62

Persistent link: https://www.econbiz.de/10012633420

Tests of investor learning models using earnings innovations and implied volatilities

Neururer, Thaddeus; Papadakis, George; Riedl, Edward J. - In: Review of accounting studies 21 (2016) 2, pp. 400-437

Persistent link: https://www.econbiz.de/10011488222