Dmitriy Muravyev
Gies College of Business
University of Illinois Urbana-Champaign 		Dmitriy Muravyev

Dmitriy Muravyev
CV
Google Scholar, SSRN

Associate Professor of Finance and Conrad W. and Shirley A. Hewitt Faculty Fellow
Co-organizer: Virtual Derivatives Workshop
Associate Editor: JFE, RF, QJF

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

Contact Information
Email: dmuravy2@illinois.edu

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, (Appendix)
    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,
    Journal of Financial Markets, 2023, 66: 100852
  12. Informed Trading Intensity, with Vincent Bogousslavsky and Vyacheslav Fos
    ITI Data, Video,
    Journal of Finance 2024, 79(2): 903-948

    13. Other Publications
  13. Non-Standard Errors, with Albert Menkveld, Anna Dreber, et al., Video
    Journal of Finance 2024, 79(3): 2339-2390
Working Papers
  1. Anomalies and Their Short-Sale Costs, with Neil Pearson and Joshua Pollet
    Conditionally accepted 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. NEW: An Anatomy of Retail Option Trading, with Vincent Bogousslavsky
    ~ UVA Darden, FSU Truist Beach Conf, Fidelity, SEC, CFTC, 6th Future of Financial Information Conf, EFA
  5. The Causal Effect of Information Costs on Asset Pricing Anomalies, with Yong Hyuck Kim and Zoran Ivkovich
    R&R at Management Science,
    ~Michigan State, Western Ontario, CICF, 11th MSUFCU Conference, FRA, Cavalcade, UIUC
  6. What information do informed traders use? , with Oleg Bondarenko,
    ~ UIC, CDI Conference, FMA Derivatives
    Media: Columbia Law Blog
  7. Options Market Makers, with Jianfeng Hu and Antonia Kirilova
    ~ Cancun Derivatives Workshop
  8. NEW: Market Risk Premium and ESG Risk, with Daewoung Choi, Yong Kyu Gam, Yong Hyuck Kim and Hojong Shin
  9. Post FOMC Announcement Reversal, with Oleg Bondarenko
  10. Text Sentiment's Ability to Capture Information: Evidence from Earnings Calls, 2018 with Tatiana Chebonenko and Olivia Lifeng Gu