Dmitriy Muravyev
Eli Broad College of Business
Michigan State University 		Dmitriy Muravyev

Dmitriy Muravyev
CV
Google Scholar, SSRN

Associate Professor of Finance, Pasant Research Fellow
Associate Fellow, Canadian Derivatives Institute
Co-organizer: Virtual Derivatives Workshop

Research Interests
Asset Pricing, Derivatives, High-Frequency Data, Applied Machine Learning

Contact Information
Email: muravyev@msu.edu

Eli Broad Graduate School of Management,
Michigan State University
Finance Department, 341 Eppley Center
East Lansing, MI, 48824

Publications

  1. Is There Price Discovery in Equity Options?, with Neil Pearson and John Broussard, (Appendix),
    Journal of Financial Economics, 2013, 107(2): 259-283
  2. Order Flow and Expected Option Returns, (Appendix),
    Journal of Finance, 2016, 71(2): 673-708
  3. Why Do Option Returns Change Sign from Day to Night?, with Xuechuan (Charles) Ni
    Option Return Data, Appendix
    Journal of Financial Economics, 2020, 136(1): 219-238
  4. Option Trading Costs Are Lower Than You Think, with Neil Pearson
    Review of Financial Studies, 2020, 33(11): 4973-501
    Editor's choice
  5. Index Option Trading Activity and Market Returns, with Tarun Chordia, Alex Kurov, and Avanidhar Subrahmanyam
    Management Science, 2021, 67(3): 1758-1778
  6. Informed Trading in the Stock Market and Option Price Discovery, with Pierre Collin-Dufresne and Vyacheslav Fos
    Journal of Financial and Quantitative Analysis, 2021, 56(6): 1945-1984
  7. Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options , with Neil Pearson and Joshua Pollet
    Implied Fee Data,
    Journal of Finance, 2022, 77(3): 1787-1828
  8. Does Trade Clustering Reduce Trading Costs? Evidence from Periodicity in Algorithmic Trading, with Joerg Picard
    Financial Management, 2022, 51(4): 1201-1229
  9. Market Return Around the Clock: A Puzzle, with Oleg Bondarenko,
    Return Data, Video
    Journal of Financial and Quantitative Analysis, 2023, 58(3): 939-967
  10. Option Trading Activity, News Releases, and Stock Return Predictability, with Martijn Cremers, Andy Fodor, and David Weinbaum
    Management Science, 2023, 69(8): 4363-4971
  11. Who Trades at the Close? Implications for Price Discovery and Liquidity, with Vincent Bogousslavsky
    Closing Auction Data,
    forthcoming in Journal of Financial Markets
  12. Informed Trading Intensity, with Vincent Bogousslavsky and Vyacheslav Fos
    Video,
    forthcoming in Journal of Finance

    13. Other Publications
  13. Non-Standard Errors, with Albert Menkveld, Anna Dreber, et al., Video
    forthcoming in Journal of Finance
Working Papers
  1. Anomalies and Their Short-Sale Costs, with Neil Pearson and Joshua Pollet
    R&R at Journal of Finance, Video
    ~ UIUC, HEC Montreal, Fudan, Tilburg, Amsterdam, Maryland, Indiana, Delaware, 11th ICEF-CInSt International Finance Conference, Cavalcade, NBER SI AP
  2. What Drives Momentum and Reversal? Evidence from Day and Night Signals, with Vincent Bogousslavsky and Yashar Barardehi
    R&R at Review of Financial Studies,
    ~ Chapman, FMA, Wharton's 2022 Frontiers in Quantitative Finance, WFA, HEC Paris
    Media: Alpha Architect
  3. Why Does Options Market Information Predict Stock Returns? , with Neil Pearson and Joshua Pollet
    R&R at Journal of Financial Economics,
    ~ CDI Conference, FMA Derivatives, AFA
  4. The Causal Effect of Information Costs on Asset Pricing Anomalies, with Yong Hyuck Kim and Zoran Ivkovich
    ~Michigan State, Western Ontario, CICF, 11th MSUFCU Conference, FRA, Cavalcade, UIUC
  5. What information do informed traders use? , with Oleg Bondarenko,
    ~ UIC, CDI Conference, FMA Derivatives
    Media: Columbia Law Blog
  6. Options Market Makers, with Jianfeng Hu and Antonia Kirilova
    ~ Cancun Derivatives Workshop
  7. Post FOMC Announcement Reversal, with Oleg Bondarenko
  8. Text Sentiment's Ability to Capture Information: Evidence from Earnings Calls, 2018 with Tatiana Chebonenko and Olivia Lifeng Gu