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Dive into the research topics where Thaddeus Neururer is active.

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Featured researches published by Thaddeus Neururer.


The Quarterly Review of Economics and Finance | 2011

Independent Component Analysis for Realized Volatility: Analysis of the Stock Market Crash of 2008

Andrew Kumiega; Thaddeus Neururer; Ben Van Vliet

This paper investigates the factors that drove the U.S. equity market returns from 2007 to early 2010. The period was highlighted by volatile energy and commodity prices, the collapse of insurance and banking firms, extreme implied volatility and a subsequent rally in the overall market. To extract the driving factors, we decompose the returns of the S&P500 sector ETFs into statistically independent signals using independent component analysis. We find that the generated factors have interesting financial interpretations and are consistent with the major economic themes of the period. We find that there are two sets of general market betas during the period along with a dominant factor for energy and materials sector. In addition, we find that the EGARCH model which accommodates asymmetric responses between returns and volatility can plausibly fit the high levels of variance during the crash. Finally, estimated correlations dropped when commodity prices moved higher, but then spiked when the S&P500 crashed in late 2008.


Social Science Research Network | 2016

The Information Content of Analysts' Book Value Per Share Forecasts

Dirk E. Black; Thaddeus Neururer

We investigate the information content of analysts’ book value per share (BVPS) forecasts. We test whether analysts’ BVPS forecasts are informative about future realizations of other comprehensive income (OCI) and special items controlling for analysts’ EPS forecasts. Our results suggest that analysts’ BVPS forecasts generally incorporate upcoming realizations of OCI and special items, especially for financial firms. We also find evidence that BVPS forecasts provide expectations of non-EPS income, and that the market responds to BVPS innovations, especially BVPS forecasts misses. Finally, we find evidence that analysts provide more BVPS forecasts for financial firms that 1) have greater absolute levels of accumulated other comprehensive income (AOCI) from securities and derivatives, 2) report higher levels of OCI from securities, and 3) hold more opaque financial assets, and for non-financial firms with high absolute levels of pension-related AOCI.We investigate the information content of analysts’ book value per share (BVPS) forecasts. We test whether analysts’ BVPS forecasts are informative about future realizations of other comprehensive income (OCI) and special items controlling for analysts’ EPS forecasts. Our results suggest that analysts’ BVPS forecasts generally incorporate upcoming realizations of OCI and special items, especially for financial firms. We also find evidence that BVPS forecasts provide expectations of non-EPS income, and that the market responds to BVPS innovations, especially BVPS forecasts misses. Finally, we find evidence that analysts provide more BVPS forecasts for financial firms that 1) have greater absolute levels of accumulated other comprehensive income (AOCI) from securities and derivatives, 2) report higher levels of OCI from securities, and 3) hold more opaque financial assets, and for non-financial firms with high absolute levels of pension-related AOCI.


Journal of Derivatives | 2012

Implied ICA: Factor Extraction and Multi-Asset Derivative Pricing

Andrew Kumiega; Thaddeus Neururer; Ben Van Vliet

In this article, we present a multi-factor stochastic volatility framework for pricing European options based on independent component analysis. We fit this model to empirical data on exchange-traded options in order to create a consistent pricing and hedging mechanism for multi-asset derivatives. Our model then prices ETF options.


Quantitative Finance | 2014

Trading System Capability

Andrew Kumiega; Thaddeus Neururer; Ben Van Vliet


Review of Accounting Studies | 2016

Tests of Investor Learning Models Using Earnings Innovations and Implied Volatilities

Thaddeus Neururer; George Papadakis; Edward J. Riedl


Journal of Futures Markets | 2013

Multifactor Index Variance: The Case of the SPX 2000 to 2010

Thaddeus Neururer; Andrew Kumiega


Journal of Corporate Finance | 2018

Environmental Performance and Analyst Information Processing Costs

Paul A. Griffin; Thaddeus Neururer; Estelle Sun


Social Science Research Network | 2017

What Type of Reporting Consistency Does the Market Reward? Disaggregated Meet-or-Beat Streaks and Equity Prices

Thaddeus Neururer


Social Science Research Network | 2017

Voluntary Disclosure and Option Pricing: The Case of Earnings Guidance and the Variance Risk Premium

Thaddeus Neururer


Social Science Research Network | 2017

Quantifying the Effect of Information and Ability Spillovers on Analyst Earnings Forecast Accuracy

Thaddeus Neururer; Estelle Sun

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Andrew Kumiega

Illinois Institute of Technology

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Ben Van Vliet

Illinois Institute of Technology

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George Papadakis

U.S. Securities and Exchange Commission

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