## Neil Pearson

Professor of Finance and Harry A. Brandt Distinguished Professor of Financial Markets and Options

### All Publications

### Articles in Journals

Pearson, N., Ge, L., Lin, T.

*Forthcoming*. Why Does the Option to Stock Volume Ratio Predict Stock Returns?

*Journal of Financial Economics*

Pearson, N., Yilmaz, H.

*Forthcoming*. Maximum Likelihood Estimation of Covariance Matrices with Constraints on the Efficient Frontier.

*International Journal of Computational Economics and Econometrics*

Pearson, N., Henderson, B., Wang, L. 2015. New Evidence on the Financialization of Commodity Markets.

*Review of Financial Studies*, 28: 1285-1311

Pearson, N., Kitwiwattanachai, C. 2015. Inferring Correlations of Asset Values and Distances-to-Default from CDS Spreads: A Structural Model Approach.

*Review of Asset Pricing Studies*, 112-154

Pearson, N., Muravyev, D., Broussard, J. 2013. Is There Price Discovery in Equity Options?

*Journal of Financial Economics*, 107: 259–283

Pearson, N. 2011. What Role do Retail Structured Products have in Investors’ Portfolios? Panel Session Highlights from the 2010 FMA Annual Meeting.

*Journal of Applied Finance*, Journal of Applied Finance

Pearson, N., Henderson, B. 2011. The Dark Side of Financial Innovation: A Case Study of the Pricing of a Retail Financial Product.

*Journal of Financial Economics*, 100: 227-247

Pearson, N., Menassa, C., Pena-Mora, F. 2010. A Study of Real Options with Exogenous Competitive Entry to Analyze Dispute Resolution Ladder Investments in Architecture,Engineering and Construction Projects.

*Journal of Construction Engineering and Management*, 136: 377-390

Pearson, N., Pena-Mora, F., Menassa, C. 2009. Option Pricing Model to Analyze Cost–Benefit Trade-Offs of ADR Investments in AEC Projects.

*Journal of Construction Engineering and Management*, 135: 156-168

Pearson, N., Smithson, C. 2008. Valuing Tranches of CDOs II: CDOs of ABS.

*Risk*, 21: 84-87

Lakonishok, J. , Lee, I., Pearson, N., Poteshman, A. 2007. Option Market Activity.

*Review of Financial Studies*, 20: 813-857

Pearson, N., Smithson, C. 2007. Valuing Tranches of CDOs I.

*Risk*, 20: 92-95

Ni, X., Pearson, N., Poteshman, A. 2005. Stock Price Clustering on Option Expiration Dates.

*Journal of Financial Economics*, 78: 49-87

Li, M., Pearson, N., Poteshman, A. 2004. Conditional Estimation of Diffusion Processes.

*Journal of Financial Economics*, 74: 31-66

Pearson, N., Kandel, E. 2002. Option Value, Uncertainty, and Investment Decisions.

*Journal of Financial and Quantitative Analysis*

Pearson, N., Smithson, C. 2002. VAR - The State of Play.

*Review of Financial Economics*, 11: 175-189

Pearson, N., Chapman, D. 2001. What Can Be Learned From Recent Advances in Estimating Models of the Term Structure?

*Financial Analysts Journal*

Pearson, N., Kandel, E. 2001. Flexibility versus Commitment in Personnel Management.

*Journal of the Japanese and the International Economies*, 15: 515-556

Pearson, N. 2000. VAR- A Work in Progress.

*Risk*, 13: 49-51

Pearson, N., Chapman, D. 2000. Is the Short Rate Drift Actually Nonlinear?

*Journal of Finance*, 55: 355-388

Pearson, N., Linsmeier, T. 2000. Value at Risk.

*Financial Analysts Journal*

Pearson, N., Smithson, C. 2000. Beyond VAR.

*Risk*, 13: 85-87

Pearson, N., Chapman, D., Long, Jr., J. 1999. Using Proxies for the Short-Rate: When are Three Months Like an Instant?

*Review of Financial Studies*

Pearson, N., Ju, X. 1999. Using Value-at Risk to Control Risk Taking: How Wrong Can You Be?

*Journal of Risk*, 1: 5-36

Weisbach, M., Barclay, M., Pearson, N. 1998. Open-End Mutual Funds and Capital Gains Taxes.

*Journal of Financial Economics*, 49: 3-43

Pearson, N., Linsmeier, T. 1997. Quantitative Disclosures of Market Risk in the SEC Release.

*Accounting Horizons*, 11: 107-135

Pearson, N. 1995. An Efficient Approach for Pricing Spread Options.

*Journal of Derivatives*, 3: 76-91

Pearson, N., Kandel, E. 1995. Differential Interpretation of Public Information and Trade in Speculative Markets.

*Journal of Political Economy*, 103: 831-871

Pearson, N., Sun, T. 1994. Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model.

*Journal of Finance*, 49: 1279-1304

Pearson, N., He, H. 1991. Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints: The Infinite Dimensional Case.

*Journal of Economic Theory*, 54: 259-304

Pearson, N., He, H. 1991. Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints: The Finite Dimensional Case.

*Mathematical Finance*, 1: 1-10

### Books

Pearson, N. 2002.

*Risk Budgeting: Portfolio Problem Solving with Value-at-Risk*, 1-319. John Wiley & Sons, Inc..

### Chapters in Books

Pearson, N. 2003. Markowitz Mean-Variance Portfolio Theory. In

*History of Risk Management*. London: Risk Publications.

Pearson, N. 2002. "What's New in Value-at-Risk? A Selective Survey,". In J. Jay Choi and Michael R. Powers (Ed.),

*Global Risk Management: Financial, Operational and Insurance Strategies*. Kidlington, UK: Elsevier Science Publishers.

Pearson, N. 2000. "Fixed Income Subtleties and the Pricing of Long Bonds,". In N. Jegadeesh and B. Tuckman (Ed.),

*Advanced Fixed Income Valuation Tools*. New York: John Wiley & Sons.

Pearson, N., Zhou, A. 2000. A Non-Parametric Analysis of the Forward Rate Volatilities. In L. Hughston (Ed.),

*The New Interest Rate Models*. London: Risk Publications.

Pearson, N., Linsmeier, T. 1997. Risk Measurement. In

*FX: Managing Global Currency Risk: The Definitive Handbook for Corporations and Financial Institutions*. Glenlak Publishing Company.

Pearson, N., Linsmeier, T. 1997. Risk Measurement Disclosures. In

*Treasury Risk Management*. London: Risk Publications.

### Working Papers

Pearson, N., Kitwiwattanachai, C. 2012. The Illiquidity of CDS Market: Evidence from Index Inclusions

Pearson, N., Henderson, B. 2010. The Price Impact of Large Hedging Trades

Pearson, N. 2008. A Simple Approach to Valuing CDOs of ABS

Pearson, N., Henderson, B. 2008. Patterns in the Payoffs of Structured Equity Derivatives.

*Journal of Financial Economics*

Pearson, N., Li, M. 2008. A Horse Race Among Competing Option Pricing Models using S&P 500 Index Options.

*Review of Financial Studies*

Pearson, N., Poteshman, A., White, J. 2008. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?

*Journal of Finance*

Pearson, N., Yang, J. 2005. Maximum Likelihood Estimation of Stochastic Volatility Models Using Option Prices

### Presentations

Pearson, N., Muravyev, D.

*Forthcoming*. Option Trading Costs Are Lower Than You Think,

*University of Toronto*, Toronto.

Pearson, N., Ge, L., Lin, T.

*Forthcoming*. Why Does the Option to Stock Volume Ratio Predict Stock Returns?,

*IFSID*, Montreal.

Pearson, N., Muravyev, D.

*Forthcoming*. Option Trading Costs Are Lower Than You Think,

*Tsinghua University*, Beijing.

Pearson, N., Ge, L., Lin, T. 2015. Why does the Option to Stock Volume Ratio Predict Stock Returns?,

*Cubist Systematic Strategies, LLC*, New York.

Pearson, N., Muravyev, D. 2015. Option Trading Costs Are Lower Than You Think,

*European Winter Finance Conference*, St. Anton am Arlberg.

Pearson, N., Muravyev, D. 2015. Option Trading Costs Are Lower Than You Think,

*Financial Intermediation Research Society*, Reykjavik.

Pearson, N., Muravyev, D. 2015. Option Trading Costs Are Lower Than You Think,

*China International Conference in Finance*, Shenzhen.

Pearson, N., Henderson, B., Wang, L. 2014. New Evidence on the Financialization of Commodity Markets,

*American Finance Association Annual Meetings*, Philadephia.

Pearson, N., Muravyev, D. 2014. Option Trading Costs Are Lower Than You Think,

*University of Southern California*, Los Angeles.

Pearson, N., Muravyev, D. 2014. Option Trading Costs Are Lower Than You Think,

*IFSID*, Montreal.

Pearson, N., Muravyev, D. 2014. Option Trading Costs Are Lower Than You Think,

*Queen Mary College of the University of London*, London.

Pearson, N., Yang, Z. 2014. Investor Trading During the Chinese Warrants Bubble,

*Asian Finance Association Annual Meetings*, Bali.

Pearson, N., Yang, Z. 2013. Investor Trading During the Chinese Warrants Bubble,

*Xi'an Jiaotong University*, Xi'an.

Pearson, N., Yang, Z. 2013. Investor Trading During the Chinese Warrants Bubble,

*Dongbei University of Finance and Economics*, Dalian.

Pearson, N., Henderson, B., Wang, L. 2012. New Evidence on the Financialization of Commodity Markets,

*SKBI Annual Conference on Financial Economics*, Singapore.

Pearson, N., Henderson, B., Wang, L. 2012. New Evidence on the Financialization of Commodity Markets,

*International Symposium on Financial Engineering and Risk Management*, Changsha.

Pearson, N., Henderson, B., Wang, L. 2012. New Evidence on the Financialization of Commodity Markets,

*China International Conference in Finance*, Chongqing.

Pearson, N., Henderson, B., Wang, L. 2012. New Evidence on the Financialization of Commodity Markets,

*Beifang University of Nationalities*, Yinchuan.

Pearson, N., Henderson, B. 2011. The Price Impact of Large Hedging Trades,

*Financial Intermediation Research Society*, Sydney.

Pearson, N., Henderson, B. 2010. The Dark Side of Financial Innovation,

*Adam Smith Asset Pricing Conference*, Oxford.

Pearson, N., Henderson, B. 2010. The Price Impact of Large Hedging Trades,

*Nanyang Technological University*, Singapore.

Pearson, N., Henderson, B. 2010. The Price Impact of Large Hedging Trades,

*CRSP Forum 2010*, Chicago.

Pearson, N., Poteshman, A., Henderson, B. 2010. Does Option Trading Have a Pervasive Influence on Underlying Stock Prices?,

*George Washington University*, Washington.

Pearson, N., Henderson, B. 2009. Dark Side of Financial Innovation,

*2009 Financial Intermediation Research Society*, Prague.

Pearson, N., Henderson, B. 2009. Dark Side of Financial Innovation,

*Hong Kong University of Science and Technology*, Hong Kong.

Pearson, N., Henderson, B. 2009. Dark Side of Financial Innovation,

*2009 China International Conference in Finance*, Guangzho.

Pearson, N. 2008. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices,

*University of North Carolina*, Chapel Hill.

Pearson, N. 2008. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices,

*University of Illinois at Chicago*, Chicago.

Pearson, N., Li, M. 2008. Deviations from the Black-Scholes Formula Follow a Simple Pattern,

*2008 China International Conference in Finance*, Dalian.

Pearson, N. 2007. Valuing CDO's of Corporates,

*2007 Meetings of the International Association of Credit Portfolio Managers*, New York.

Pearson, N., White, J., Poteshman, A. 2007. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?,

*Utah Winter Finance Conference*, Salt Lake City.

Pearson, N., Li, M. 2006. Deviations from the Black-Scholes Formula Follow a Simple Pattern,

*American Finance Association Annual Meetings*, Boston.

Pearson, N., White, J., Poteshman, A. 2006. Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?,

*University of Rochester*, Rochester.

Pearson, N., Ni, X., Poteshman, A. 2005. Stock Price Clustering on Option Expiration Dates,

*Boston College*

Ivkovich, Z., Pearson, N. 2004. Everything is Relative: The Disposition Effect and Households' Stock Trades,

*Boston College*

Pearson, N., Ivkovich, Z. 2004. Everything is Relative: The Disposition Effect and Households' Stock Trades,

*University of Colorado*, Boulder.

Pearson, N., Ni, X., Poteshman, A. 2004. Stock Price Clustering on Option Expiration Dates,

*University of Iowa*

Pearson, N., Ni, X., Poteshman, A. 2004. Stock Price Clustering on Option Expiration Dates,

*Louisiana State University*

Pearson, N., Ni, X., Poteshman, A. 2004. Stock Price Clustering on Option Expiration Dates,

*Rutgers University*

Pearson, N. 2003. Conditional Estimation of Diffusion Processes,

*European Financial Managment Association Conference*

Pearson, N. 2003. Conditional Estimation of Diffusion Processes,

*Pennsylvania State University*

Pearson, N., Ni, X., Poteshman, A. 2003. Stock Price Clustering on Option Expiration Dates,

*Tulane University*

Pearson, N., Ni, X., Poteshman, A. 2003. Stock Price Clustering on Option Expiration Dates,

*University of Florida*

Pearson, N. 2002. Conditional Estimation of Diffusion Processes,

*University of Illinois*

Pearson, N. 2001. Conditional Estimation of Diffusion Processes,

*Western Finance Association Annual Meetings, 2011*

Pearson, N. 2001. Conditional Estimation of Diffusion Processes,

*University of Texas - Austin*

Pearson, N. 2001. Conditional Estimation of Diffusion Processes,

*University of Illinois*

Pearson, N. 2001. Conditional Estimation of Diffusion Processes,

*Risk Theory Society*

Pearson, N. 2001. What's New in VaR?,

*Temple University*

Pearson, N. 2001. What's New in VaR?,

*The Economist*

Pearson, N. 2001. Risk Decomposition (talk based on VaR book),

*GARP Conference*

Pearson, N. 1998. Is the Short Rate Drift Actually Nonlinear,

*UIUC Finance Seminar*, Champaign.