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Option Trading Activity, News Releases, and Stock Return Predictability
2022 Management Science, Muravyev, D., Fodor, A., Cremers, M.
Inferring Aggregate Market Expectations from the Cross-Section of Stock Prices
2022 Journal of Financial and Quantitative Analysis, Bali, T., Nichols, C.
The Economic Consequences of Perk Disclosure
2017 Contemporary Accounting Research,34, Grinstein, Y., Yehuda, N.
Aggregate Jump and Volatility Risk in the Cross ‐ Section of Stock Returns
2015 Journal of Finance, The, Cremers, M., Halling, M.
Preference Heterogeneity and Asset Prices: An Exact Solution,
2011 Journal of Banking & Finance,34,9,2238 ‐ 2246,
Deviations from put-call parity and stock return predictability
2010 Journal of Financial and Quantitative Analysis,45,2,335-367, Cremers, M.
Does skin in the game matter? Director incentives and governance in the mutual fund industry
2009 Journal of Financial and Quantitative Analysis,44,6,1345-1373, Cremers, M., Driessen, J., Maenhout, P.
Assessing the historical performance of hospitality stocks: The investor’s perspective
2009 Cornell Hospitality Quarterly,50,1,113-125,
Investor heterogeneity, asset pricing and volatility dynamics
2009 Journal of Economic Dynamics and Control,33,7,1379-1397,
Individual stock-option prices and credit spreads
2008 Journal of Banking & Finance,32,12,2706-2715, Cremers, M., Driessen, J., Maenhout, P.
A conditional extreme value volatility estimator based on high-frequency returns
2007 Journal of Economic Dynamics and Control,31,2,361-397, Bali, T.
Subsistence consumption, habit formation and the demand for the long-term bonds
2005 Journal of Economics and Business,57,4,273-287,
A comparative study of alternative extreme-value volatility estimators
2005 Journal of Futures Markets,25,9,873-892, Bali, T.
Sep 01, 2016
2016 Whitman faculty teaching awardWhitman School of Management
Jan 01, 2014
Harris Fellow in FinanceWhitman
Jan 01, 2008
Crowell memorial awardPanAgora Asset Management
Jan 01, 2008
Wheeler award for quantitative and behavioral research in financeNumeric Investors
Jan 01, 2007
Johnson Globe award for excellence in teaching
Jan 01, 2001
American association of individual investors award for best paper in investmentsFinancial Management Association