Dmitriy Muravyev

Dmitriy Muravyev

Eli Broad College of Business
Michigan State University

Dmitriy Muravyev

Dmitriy Muravyev
Associate Professor of Finance
Curriculum Vitae
Google Scholar
SSRN
Co-organizer: Virtual Derivatives Workshop

Research Interests
Empirical Asset Pricing, Derivatives, Market Microstructure, Informed Trading
Contact Information
Email: muravyev@msu.edu

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

Published Papers

Is There Price Discovery in Equity Options?, with Neil Pearson and John Broussard, (Appendix),
Journal of Financial Economics, 2013, Volume 107, Issue 2, Pages 259-283

Order Flow and Expected Option Returns, (Appendix),
Journal of Finance, 2016, Volume 71, Issue 2, Pages 673-708

Why Do Option Returns Change Sign from Day to Night?, (Appendix), with Xuechuan (Charles) Ni
Journal of Financial Economics, 2020, Volume 136, Issue 1, Pages 219-238

Index Option Trading Activity and Market Returns, with Tarun Chordia, Alex Kurov, and Avanidhar Subrahmanyam
forthcoming in Management Science

Option Trading Costs Are Lower Than You Think, with Neil Pearson
forthcoming in the Review of Financial Studies

Informed Trading in the Stock Market and Option Price Discovery, with Pierre Collin-Dufresne and Vyacheslav Fos
forthcoming in the Journal of Financial and Quantitative Analysis

Working Papers

Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options , with Neil Pearson and Joshua Pollet
R&R at the Journal of Finance

How Do Informed Option Traders Trade? Option Trading Activity, News Releases, and Stock Return Predictability, with Martijn Cremers, Andy Fodor, and David Weinbaum
R&R at Management Science

Market Return Around the Clock: A Puzzle, with Oleg Bondarenko

Should We Use Closing Prices? Institutional Price Pressure at the Close, with Vincent Bogousslavsky
Video, Video abstract
Conferences & Seminars: AFA, EFA, FMA, The Microstructure Exchange, Two Sigma, Seventh Annual Conference on Financial Market Regulation, Boston College
Media: Bloomberg

Understanding Returns to Short Selling Using Option-Implied Stock Borrowing Fees , with Neil Pearson and Joshua Pollet

Does Trade Clustering Reduce Trading Costs? Evidence from Periodicity in Algorithmic Trading, with Joerg Picard

Text Sentiment's Ability to Capture Information: Evidence from Earnings Calls, with Tatiana Chebonenko and Olivia Lifeng Gu

Making Better Use of Option Prices to Predict Stock Returns, with Aurelio Vasquez and Wenzhi Wang, (Preliminary draft is available upon request)