Stewart Mayhew
U.S. Securities and Exchange Commission
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Publication
Featured researches published by Stewart Mayhew.
Journal of Financial and Quantitative Analysis | 2002
Patrick J. Dennis; Stewart Mayhew
We investigate the relative importance of various factors in explaining the volatility skew observed in the prices of stock options traded on the Chicago Board Options Exchange. The skewness of the risk-neutral density implied by individual stock option prices tends to be more negative for stocks that have larger betas, suggesting that market risk is important in pricing individual stock options. Also, implied skewness tends to be more negative in periods of high market volatility, and when the risk-neutral density for index options is more negatively skewed. Other firm-specific factors, including firm size and trading volume a so help explain cross-sectional variation in skewness. However, we find no robust relationship between skewness and the firms leverage. Nor do we find evidence that skewness is related to the put/call ratio, which may be viewed as a proxy for trading pressure or market sentiment. Overall, firm-specific factors seem to be more important than systematic factors in explaining the variation in the skew for individual firms.
Journal of Financial and Quantitative Analysis | 2006
Patrick J. Dennis; Stewart Mayhew; Chris T. Stivers
We study the dynamic relation between daily stock returns and daily innovations in optionderived implied volatilities. By simultaneously analyzing innovations in index- and firmlevel implied volatilities, we distinguish between innovations in systematic and idiosyncratic volatility in an effort to better understand the asymmetric volatility phenomenon. Our results indicate that the relation between stock returns and innovations in systematic volatility (idiosyncratic volatility) is substantially negative (near zero). These results suggest that asymmetric volatility is primarily attributed to systematic market-wide factors rather than aggregated firm-level effects. We also present evidence that supports our assumption that innovations in implied volatility are good proxies for innovations in expected stock volatility.
Journal of Futures Markets | 2000
Huseyin Gulen; Stewart Mayhew
This article examines stock market volatility before and after the introduction of equity‐index futures trading in twenty‐five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each countrys index with the world‐market portfolio. We found that futures trading is related to an increase in conditional volatility in the United States and Japan, but in nearly every other country, we found either no significant effect or a volatility‐dampening effect. This result appears to be robust to model specification and is corroborated by further analysis of the relationship between volatility, trading volume, and open interest in stock futures. An increase in conditional covariance between country‐specific and world returns at the time of futures listing is also documented.
Journal of Finance | 2004
Sugato Chakravarty; Huseyin Gulen; Stewart Mayhew
Journal of Finance | 2004
Stewart Mayhew; Vassil T. Mihov
Journal of Futures Markets | 2003
Stewart Mayhew; Chris T. Stivers
Review of Derivatives Research | 2009
Patrick J. Dennis; Stewart Mayhew
Review of Financial Studies | 2010
Jia Hao; Avner Kalay; Stewart Mayhew
Archive | 1999
Patrick J. Dennis; Stewart Mayhew
Social Science Research Network | 2003
Patrick J. Dennis; Stewart Mayhew; Chris T. Stivers