How do stocks react to extreme market events? Evidence from Brazil

Authors: Pedro Piccoli, Mo Chaudhury, Alceu Souza

Publication: Research in International Business and Finance, Vol. 42, December 2017


Published: 29 Mar 2018

Volatility and expected option returns: A note

Authors: Mo Chaudhury

Publication: Economics Letter, Vol. 152, March 2017


We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.

Published: 29 Mar 2018

Stock overreaction to extreme market events

Authors: Pedro Piccolia, Mo Chaudhury, Alceu Souza and Wesley Vieirada Silvaa

Publication: The North American Journal of Economics and Finance, Vol. 41, July 2017


Published: 17 Aug 2017

Overreaction to extreme market events and investor sentiment

Authors: Piccoli, P., Chaudhury, M. 

Publication: Applied Economics Letters


Published: 31 Mar 2017

How Did the Financial Crisis Affect Daily Stock Returns?

Author: Mo Chaudhury

Publication: Journal of Investing, Fall 2014


Published: 25 Feb 2015
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