Dmitriy Muravyev

Articles

• Muravyev, D., & Picard, J. (2022). Does trade clustering reduce trading costs? Evidence from periodicity in algorithmic trading. Financial Management, 51 (4), 1201-1229.  link >
• Muravyev, D., Pearson, N., & Pollet, J. (2022). Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. Journal of Finance, 77 (3), 1787-1828.  link >
• Chordia, T., Kurov, A., Muravyev, D., & Subrahmanyam, A. (2021). Index option trading activity and market returns. Management Science, 67 (3), 1758-1778.  link >
• Pearson, N., & Muravyev, D. (2020). Option Trading Costs Are Lower Than You Think. Review of Financial Studies, 33 (11), 4973–5014.
• Muravyev, D., & Ni, X. (2020). Why do option returns change sign from day to night? Journal of Financial Economics, 136 (1), 219-238.  link >
• Pearson, N., Muravyev, D., & Broussard, J. (2013). Is There Price Discovery in Equity Options? Journal of Financial Economics, 107 (2), 259–283.

Presentations

• Muravyev, D., Pearson, N., & Pollet, J. (2023). Anomalies and Their Short-Sale Costs. SFS Cavalcade North America 2023, Society of Financial Studies.
• Muravyev, D., Pearson, N., & Pollet, J. (2023). Why Does Options Market Information Predict Stock Returns? American Finance Association Annual Meeting, American Finance Association.
• Muravyev, D., Pearson, N., & Pollet, J. (2018). Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. American Finance Association Annual Meetings, American Finance Association.
• Muravyev, D., Pearson, N., & Pollet, J. (2017). Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. 2017 China International Conference in Finance.
• Muravyev, D., Pearson, N., & Pollet, J. (2017). Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. 12th Annual Conference of the Financial Intermediation Research Society, Financial Intermediation Research Society.
• Muravyev, D., Pearson, N., & Pollet, J. (2017). Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. SFS Cavalcade North America 2017, Society of Financial Studies.
• Pearson, N., Muravyev, D., & Pollet, J. (2017). Is There A Risk Premium in the Stock Lending Market: Evidence from Equity Options. HEC-McGill Winter Finance Workshop, HEC-McGill.
• Muravyev, D., Pearson, N., & Pollet, J. (2017). Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options. 11th Jackson Hole Finance Conference, Jackson Hole Finance Group.
• Pearson, N., Muravyev, D., & Pollet, J. (2016). Risk Premia in the Stock Lending Market: Evidence from Equity Options. NUS Risk Management Conference.
• Pearson, N., & Muravyev, D. (2015). Option Trading Costs Are Lower Than You Think. China International Conference in Finance.
• Pearson, N., & Muravyev, D. (2015). Option Trading Costs Are Lower Than You Think. Financial Intermediation Research Society.
• Pearson, N., & Muravyev, D. (2015). Option Trading Costs Are Lower Than You Think. European Winter Finance Conference.
• Pearson, N., & Muravyev, D. (2014). Option Trading Costs Are Lower Than You Think. IFSID Derivatives Conference, IFSID.
• Pearson, N., & Muravyev, D. (2014). Negative Externality of Algorithmic Trading: Evidence from the Option Market. Workshop on High Frequency and Algorithmic Trading (City U. of Hong Kong), City University of Hong Kong.
• Pearson, N., & Muravyev, D. (2013). Investor Trading During the Chinese Warrants Bubble. Tsinghua University.
• Pearson, N., & Muravyev, D. (2011). Is There Price Discovery in Equity Options? China International Conference in Finance.
• Pearson, N., Muravyev, D., & Broussard, J. (2011). Is There Price Discovery in Equity Options? Fifth Annual Risk Management Conference.
• Pearson, N., Muravyev, D., & Broussard, J. (2011). Is There Price Discovery in Equity Options? Derivative Securities and Risk Management Conference.

Working Papers

• Anand, A., & Muravyev, D. Does internalization impact quote competition.
• Bogousslavsky, V., & Muravyev, D. An anatomy of retail option trading.
• Gam, Y., Kim, Y., Muravyev, D., Shin, H., & others, . Market Risk Premium and ESG Risk.
• Barardehi, Y., Bogousslavsky, V., & Muravyev, D. What drives momentum and reversal? evidence from day and night signals.
• Bondarenko, O., & Muravyev, D. What information do informed traders use.
• Kim, Y., Ivkovich, Z., & Muravyev, D. Causal effect of information costs on asset pricing anomalies.
• Muravyev, D., Pearson, N., & Pollet, J. Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees.