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Neil D. Pearson - Publications

Affiliations: 
University of Illinois, Urbana-Champaign, Urbana-Champaign, IL 
Area:
asset pricing, investments, derivatives, risk management
Website:
https://giesbusiness.illinois.edu/profile/neil-pearson
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27 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2020 Ni SX, Pearson ND, Poteshman AM, White JS. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices Review of Financial Studies. DOI: 10.2139/Ssrn.2867461  0.437
2020 Muravyev D, Pearson ND. Option Trading Costs Are Lower than You Think Review of Financial Studies. DOI: 10.2139/Ssrn.2580548  0.449
2020 Pearson ND, Yang Z, Zhang Q. The Chinese Warrants Bubble: Evidence from Brokerage Account Records Review of Financial Studies. DOI: 10.1093/Rfs/Hhaa037  0.37
2020 Henderson BJ, Pearson ND, Wang L. Pre-trade hedging: Evidence from the issuance of retail structured products Journal of Financial Economics. 137: 108-128. DOI: 10.1016/J.Jfineco.2020.02.004  0.428
2020 Lee I, Park YJ, Pearson ND. Repurchases after being well known as good news Journal of Corporate Finance. 62: 101552. DOI: 10.1016/J.Jcorpfin.2019.101552  0.361
2016 Ge L, Lin TC, Pearson ND. Why does the option to stock volume ratio predict stock returns? Journal of Financial Economics. 120: 601-622. DOI: 10.1016/J.Jfineco.2015.08.019  0.371
2015 Henderson BJ, Pearson ND, Wang L. New evidence on the financialization of commodity markets Review of Financial Studies. 28: 1285-1311. DOI: 10.1093/Rfs/Hhu091  0.405
2015 Kitwiwattanachai C, Pearson ND. Inferring Correlations of Asset Values and Distances-to-Default from CDS Spreads: A Structural Model Approach The Review of Asset Pricing Studies. 5: 112-154. DOI: 10.1093/Rapstu/Rav001  0.331
2013 Muravyev D, Pearson ND, Broussard JP. Is There Price Discovery in Equity Options Journal of Financial Economics. 107: 259-283. DOI: 10.1016/J.Jfineco.2012.09.003  0.432
2011 Henderson BJ, Pearson ND. The dark side of financial innovation: A case study of the pricing of a retail financial product Journal of Financial Economics. 100: 227-247. DOI: 10.1016/J.Jfineco.2010.12.006  0.442
2009 Menassa CC, Mora FP, Pearson N. Option Pricing Model to Analyze Cost–Benefit Trade-Offs of ADR Investments in AEC Projects Journal of Construction Engineering and Management-Asce. 135: 156-168. DOI: 10.1061/(Asce)0733-9364(2009)135:3(156)  0.403
2007 Lakonishok J, Lee I, Pearson ND, Poteshman AM. Option market activity Review of Financial Studies. 20: 813-857. DOI: 10.1093/Rfs/Hhl025  0.418
2005 Ni SX, Pearson ND, Poteshman AM. Stock Price Clustering on Option Expiration Dates Journal of Financial Economics. 78: 49-87. DOI: 10.1016/J.Jfineco.2004.08.005  0.412
2004 Li M, Pearson ND, Poteshman AM. Conditional Estimation of Diffusion Processes Journal of Financial Economics. 74: 31-66. DOI: 10.1016/J.Jfineco.2004.03.001  0.533
2002 Kandel E, Pearson ND. Option Value, Uncertainty, and the Investment Decision Journal of Financial and Quantitative Analysis. 37: 341-374. DOI: 10.2307/3594984  0.342
2001 Chapman DA, Pearson ND. Recent Advances in Estimating Term-Structure Models Financial Analysts Journal. 57: 77-95. DOI: 10.2469/Faj.V57.N4.2467  0.373
2001 Kandel E, Pearson ND. Flexibility versus Commitment in Personnel Management Journal of the Japanese and International Economies. 15: 515-556. DOI: 10.1006/Jjie.2001.0482  0.38
2000 Linsmeier TJ, Pearson ND. Value at Risk Financial Analysts Journal. 56: 47-67. DOI: 10.2469/Faj.V56.N2.2343  0.353
2000 Chapman DA, Pearson ND. Is the Short Rate Drift Actually Nonlinear Journal of Finance. 55: 355-388. DOI: 10.1111/0022-1082.00208  0.323
1999 Chapman DA, Long JB, Pearson ND. Using Proxies for the Short Rate: When Are Three Months Like an Instant? Review of Financial Studies. 12: 763-806. DOI: 10.1093/Rfs/12.4.763  0.333
1998 Barclay MJ, Pearson ND, Weisbach MS. Open-end mutual funds and capital-gains taxes Journal of Financial Economics. 49: 3-43. DOI: 10.1016/S0304-405X(98)00016-6  0.36
1996 Linsmeier TJ, Pearson ND. Risk measurement: an introduction to value at risk The Finance. DOI: 10.22004/Ag.Econ.14796  0.34
1995 Pearson ND. An Efficient Approach for Pricing Spread Options Journal of Derivatives. 3: 76-91. DOI: 10.3905/Jod.1995.407928  0.407
1995 Kandel E, Pearson ND. Differential Interpretation of Public Signals and Trade in Speculative Markets Journal of Political Economy. 103: 831-872. DOI: 10.1086/262005  0.4
1994 Pearson ND, Sun T‐. Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model Journal of Finance. 49: 1279-1304. DOI: 10.1111/J.1540-6261.1994.Tb02454.X  0.423
1991 He H, Pearson ND. Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case Mathematical Finance. 1: 1-10. DOI: 10.1111/J.1467-9965.1991.Tb00012.X  0.385
1991 He H, Pearson ND. Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case Journal of Economic Theory. 54: 259-304. DOI: 10.1016/0022-0531(91)90123-L  0.333
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