Neil Pearson

Articles

• Pearson, N., & Muravyev, D. (2020). Option Trading Costs Are Lower Than You Think. Review of Financial Studies, 33 (11), 4973–5014.
• Pearson, N., Henderson, B., & Wang, L. (2020). Pre-Trade Hedging: Evidences from Issuances of Structured Equity Products. Journal of Financial Economics, 137 (1), 108-128.
• Pearson, N., Park, Y., & Lee, I. (2020). Repurchases after Being Well Known as Good News. Journal of Corporate Finance, 62 1-29.
• Pearson, N., Ge, L., & Lin, T. (2016). Why Does the Option to Stock Volume Ratio Predict Stock Returns? Journal of Financial Economics, 120 (3), 601-622.
• Pearson, N., & Yilmaz, H. (2016). Maximum Likelihood Estimation of Covariance Matrices with Constraints on the Efficient Frontier. International Journal of Computational Economics and Econometrics, 6 (1), 71-91.
• 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., Henderson, B., & Wang, L. (2015). New Evidence on the Financialization of Commodity Markets. Review of Financial Studies, 28 (5), 1285-1311.
• Pearson, N., Muravyev, D., & Broussard, J. (2013). Is There Price Discovery in Equity Options? Journal of Financial Economics, 107 (2), 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, (1), 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 (3), 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 (3), 156-168.
• Pearson, N., & Smithson, C. (2008). Valuing Tranches of CDOs II: CDOs of ABS. Risk, 21 (3), 84-87.
• Pearson, N., & Smithson, C. (2007). Valuing Tranches of CDOs I. Risk, 20 (12), 92-95.
• Lakonishok, J., Lee, I., Pearson, N., & Poteshman, A. (2007). Option Market Activity. Review of Financial Studies, 20 (3), 813-857.
• 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 (1), 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, 57 (4).
• Pearson, N., & Kandel, E. (2001). Flexibility versus Commitment in Personnel Management. Journal of the Japanese and the International Economies, 15 515-556.
• Pearson, N., & Linsmeier, T. (2000). Value at Risk. Financial Analysts Journal, 56 (2).
• Pearson, N. (2000). VAR - A Work in Progress. Risk, Risk, 13 (10), 49-51.
• Pearson, N., & Chapman, D. (2000). Is the Short Rate Drift Actually Nonlinear? Journal of Finance, 55 (1), 355-388.
• Pearson, N., & Smithson, C. (2000). Beyond VAR. Risk, Risk, 13 (12), 85-87.
• Pearson, N., & Ju, X. (1999). Using Value-at Risk to Control Risk Taking: How Wrong Can You Be? Journal of Risk, 1 (2), 5-36.
• 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, 12 (4).
• 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 (1), 107-135.
• Pearson, N. (1995). An Efficient Approach for Pricing Spread Options. Journal of Derivatives, 3 (1), 76-91.
• Pearson, N., & Kandel, E. (1995). Differential Interpretation of Public Information and Trade in Speculative Markets. Journal of Political Economy, 103 (4), 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 (4), 1279-1304.
• Pearson, N., & He, H. (1991). Consumption and Portfolio Policies with Incomplete Markets and Short-sale Constraints: The Finite Dimensional Case. Mathematical Finance, 1 (3), 1-10.
• 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., Palm, S., & Read, J. (1986). Option Pricing: A New Approach to Mine Valuation. CIM Bulletin, 7 (889).

Book Chapters

• Pearson, N. (2003). Markowitz Mean-Variance Portfolio Theory. History of Risk Management London: Risk Publications.
• Pearson, N., J. Jay Choi and Michael R. Powers (Ed.) (2002). What's New in Value-at-Risk? A Selective Survey,". Global Risk Management: Financial, Operational and Insurance Strategies Kidlington, UK: Elsevier Science Publishers.
• Pearson, N., & Zhou, A., L. Hughston (Ed.) (2000). A Non-Parametric Analysis of the Forward Rate Volatilities. The New Interest Rate Models London: Risk Publications.
• Pearson, N., N. Jegadeesh and B. Tuckman (Ed.) (2000). Fixed Income Subtleties and the Pricing of Long Bonds,". Advanced Fixed Income Valuation Tools New York: John Wiley & Sons.
• Pearson, N., & Linsmeier, T. (1997). Risk Measurement. FX: Managing Global Currency Risk: The Definitive Handbook for Corporations and Financial Institutions Glenlak Publishing Company.
• Pearson, N., & Linsmeier, T. (1997). Risk Measurement Disclosures. Treasury Risk Management London: Risk Publications.

Books and Monographs

• Pearson, N. (2002). Risk Budgeting: Portfolio Problem Solving with Value-at-Risk. ( pp. 1-319). John Wiley & Sons, Inc.

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.
• Pearson, N. (2021). Presented “Retail Derivatives and Sentiment: A Sentiment Measure Constructed from Issuances of Structured Equity Products”. 2021 Conference of the Canadian Derivatives Institute, Canadian Derivatives Institute.
• Pearson, N. (2019). Why Does Options Market Information Predict Stock Returns? International Conference on Futures and Other Derivatives (ICFOD), ICFOD.
• Pearson, N. (2019). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? 4th NTU Finance Conference, Nanyang Technological University Department of Banking and Finance.
• Pearson, N. (2019). Pre-Trade Hedging: Evidence from the Issuance of Retail Structured Products. China International Conference in Finance, SAIF and MIT.
• Pearson, N. (2019). The Chinese Warrants Bubble: Evidence from Brokerage Account Records. Chapman University Economics Seminar, Chapman University Department of Economics.
• Pearson, N. (2019). Why Does Options Market Information Predict Stock Returns? 8th ITAM Finance Conference, Institute Technologico Autonomo de Mexico.
• Pearson, N. (2019). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices. Baylor University Finance Seminar, Baylor University Finance Department.
• Pearson, N. (2019). Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options. Dolomites Winter Finance Conference, Free University of Belzano.
• Pearson, N. (2019). Pre-Trade Hedging: Evidence from the Issuance of Retail Structured Products. Florida State University Finance Seminar, Florida State University.
• Pearson, N. (2018). Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees. York University Finance Seminar, York University Department of Finance.
• Pearson, N. (2018). Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees. CUHK Derivatives Conference, Chinese University of Hong Kong Department of Finance.
• Pearson, N. (2018). Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees. Tsinghua University SEM Finance Seminar, Tsinghua University School of Economics and Management.
• Pearson, N. (2018). Bond Lending and Bond Returns. China International Conference in Finance.
• 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.
• Pearson, N. (2017). Evidence about Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion. Helsinki Finance Summit, Aalto University.
• 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.
• Pearson, N. (2017). Is There A Risk Premium in the Stock Lending Market: Evidence from Equity Options. 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., Yang, Z., & Zhang, Q. (2017). Evidence about Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion. Financial Management Association Asia/Pacific Conference, Financial Management Association.
• 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., Yang, Z., & Zhang, Q. (2016). Evidence about Bubble Mechanisms: Precipitating Event, Feedback Trading, and Social Contagion. Miami Behavioral Finance Conference.
• Pearson, N., Choi, J., & Sandy, S. (2016). A First Glimpse into the Short Side of Hedge Funds. Luxembourg Asset Management Summit, Luxembourg School of Finance.
• Pearson, N., Cao, J., Jin, Y., & Tang, D. (2016). Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options. IFSID Derivatives Conference, IFSID.
• Pearson, N., Muravyev, D., & Pollet, J. (2016). Risk Premia in the Stock Lending Market: Evidence from Equity Options. NUS Risk Management Conference.
• Pearson, N., Ge, L., & Lin, T. (2015). Why Does the Option to Stock Volume Ratio Predict Stock Returns? IFSID Derivatives Conference, IFSID.
• 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., & Yang, Z. (2014). Investor Trading During the Chinese Warrants Bubble. China International Conference in Finance.
• 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., & Yang, Z. (2014). Investor Trading During the Chinese Warrants Bubble. Financial Intermediation Research Society.
• Pearson, N., & Yang, Z. (2014). Investor Trading During the Chinese Warrants Bubble. Asian Finance Association Annual Meetings.
• Pearson, N., Henderson, B., & Wang, L. (2014). New Evidence on the Financialization of Commodity Markets. American Finance Association Annual Meetings.
• Pearson, N., Henderson, B., & Wang, L. (2013). New Evidence on the Financialization of Commodity Markets. IFMA Conference.
• Pearson, N., Henderson, B., & Wang, L. (2013). New Evidence on the Financialization of Commodity Markets. European Finance Association Annual Meeting.
• Pearson, N., Henderson, B., & Wang, L. (2013). New Evidence on the Financialization of Commodity Markets. University of British Columbia Winter Finance Conference.
• Pearson, N., Henderson, B., & Wang, L. (2013). New Evidence on the Financialization of Commodity Markets. ZEF-IPRI Workshop on Food Price Volatility, ZEF-IPRI.
• Pearson, N. (2012). The Impact of Derivatives on Their Underlying Asset Markets. Financial Management Association.
• Pearson, N. (2012). Writing a Referee Report (Talk in the Doctoral Student Consortium). Financial Management Association Meeting.
• Pearson, N., Henderson, B., & Wang, L. (2012). New Evidence on the Financialization of Commodity Markets. NBER Meeting on Economics of Commodity Markets.
• Pearson, N., Henderson, B., & Wang, L. (2012). New Evidence on the Financialization of Commodity Markets. China International Conference in Finance.
• Pearson, N., Henderson, B., & Wang, L. (2012). New Evidence on the Financialization of Commodity Markets. International Symposium on Financial Engineering and Risk Management.
• Pearson, N., Henderson, B., & Wang, L. (2012). New Evidence on the Financialization of Commodity Markets. SKBI Annual Conference on Financial Economics.
• 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., & Henderson, B. (2011). The Price Impact of Large Hedging Trades. Financial Intermediation Research Society.
• Pearson, N., Muravyev, D., & Broussard, J. (2011). Is There Price Discovery in Equity Options? Derivative Securities and Risk Management Conference.
• Pearson, N., & Yang, Z. (2010). The Chinese Put Warrants Bubble. Financial Research Association.
• Pearson, N., & Henderson, B. (2010). The Price Impact of Large Hedging Trades. CRSP Forum 2010, Center for Research in Securities Prices.
• Pearson, N., & Henderson, B. (2010). The Price Impact of Large Hedging Trades. Financial Management Association.
• Pearson, N., Poteshman, A., & White, J. (2010). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? China International Conference in Finance.
• Pearson, N., & Henderson, B. (2010). The Price Impact of Large Hedging Trades. International Symposium on Financial Engineering and Risk Management.
• Pearson, N. (2010). Valuing Hard-to-Value Securities: How do you value “toxic” (AKA “legacy” ) securities? Ri$kMinds, Risk.
• Pearson, N., & Henderson, B. (2010). The Dark Side of Financial Innovation. IIEP-IMF conference “Financial Regulation and Supervision: Lessons from the Crisis".
• Pearson, N., & Henderson, B. (2010). The Dark Side of Financial Innovation. Adam Smith Asset Pricing Conference.
• Pearson, N., & Henderson, B. (2010). The Price Impact of Large Hedging Trades. UIUC Finance Brown Bag Seminar.
• Pearson, N., & Henderson, B. (2010). The Dark Side of Financial Innovation. Mont Tremblant Risk Management Conference.
• Pearson, N., & Henderson, B. (2009). Dark Side of Financial Innovation. 2009 China International Conference in Finance.
• Pearson, N., & Henderson, B. (2009). Dark Side of Financial Innovation. 2009 Financial Intermediation Research Society.
• Pearson, N. (2008). Panel discussion on the financial crisis. Wellesley College.
• Pearson, N. (2008). Panel discussion on the financial crisis. Massachusetts Institute of Technology.
• Pearson, N., & Li, M. (2008). Deviations from the Black-Scholes Formula Follow a Simple Pattern. 2008 China International Conference in Finance.
• Pearson, N., White, J., & Poteshman, A. (2008). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? Financial Intermediation Research Society.
• Pearson, N., Poteshman, A., & White, J. (2008). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?”. American Finance Association Annual Meetings.
• Pearson, N. (2007). Valuing CDO's of Corporates. 2007 Meetings of the International Association of Credit Portfolio Managers.
• Pearson, N. (2007). Using Extreme Value Theory With VaR. A Quantitative Approach to Calculating and Applying VaR, Risk.
• Pearson, N., Poteshman, A., & White, J. (2007). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices?”. University of British Columbia Summer Finance Institute.
• Pearson, N., White, J., & Poteshman, A. (2007). Does Option Trading Have a Pervasive Impact on Underlying Stock Prices? Utah Winter Finance Conference.
• Pearson, N., & Li, M. (2006). Deviations from the Black-Scholes Formula Follow a Simple Pattern. American Finance Association Annual Meetings, American Finance Association.
• 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 Finance Seminar, Boston College.
• 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., 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. (2003). Conditional Estimation of Diffusion Processes. European Financial Managment Association Conference.
• Pearson, N. (2003). Conditional Estimation of Diffusion Processes. Pennsylvania State University.
• Pearson, N. (2001). Conditional Estimation of Diffusion Processes. Risk Theory Society.
• Pearson, N. (2001). State of the Art in Risk Measurement Methodology: A Selective Survey. 3rd Annual Global Risk Management Summit, The Economist.
• 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). What’s New in Value-at-Risk?A Selective Survey. Second Annual International Business Research Forum, Temple University.
• Pearson, N. (2001). How Do You Apply VaR to Measure Risk Across Asset Classes? GARP Conference, GARP.

Working Papers

• Pearson, N., Muravyev, D., & Pollet, J. Why Does Options Market Information Predict Stock Returns.
• Pearson, N., Cao, J., Jin, Y., & Tang, D. Does the Introduction of One Derivative Affect Another Derivative? The Effect of Credit Default Swaps Trading on Equity Options.
• Pearson, N., Choi, J., Sandy, S., & Park, J. A First Glimpse into the Short Side of Hedge Funds.
• Pearson, N., Li, J., & Zhang, Q. Impact of Demand Shocks on Stock Prices: Evidence from Chinese IPOs.
• Muravyev, D., Pearson, N., & Pollet, J. Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees.