Details about Charles Joseph Corrado

Access statistics for papers by Charles Joseph Corrado.

Last updated 2023-03-09. Update your information in the RePEc Author Service.

Short-id: pco257

Working Papers

2004

1. Forecasting Stock Index Volatility: The Incremental Information in the Intraday High-Low Price Range
   Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)

Journal Articles

2012

1. The options market response to accounting earnings announcements
   Journal of International Financial Markets, Institutions and Money, 2012, 22, (3), 423-450 View citations (9)

2011

2. Event studies: A methodology review
   Accounting and Finance, 2011, 51, (1), 207-234 View citations (119)

2008

3. Conducting event studies with Asia-Pacific security market data
   Pacific-Basin Finance Journal, 2008, 16, (5), 493-521 View citations (35)

2007

4. FORECASTING STOCK INDEX VOLATILITY: COMPARING IMPLIED VOLATILITY AND THE INTRADAY HIGH–LOW PRICE RANGE
   Journal of Financial Research, 2007, 30, (2), 201-215 View citations (22)
5. The cost of granting executive stock options with strike prices adjusted by the cost of capital
   Pacific Accounting Review, 2007, 19, (2), 96-107
6. The hidden martingale restriction in Gram‐Charlier option prices
   Journal of Futures Markets, 2007, 27, (6), 517-534 View citations (11)

2006

7. ESTIMATING EXPECTED EXCESS RETURNS USING HISTORICAL AND OPTION‐IMPLIED VOLATILITY
   Journal of Financial Research, 2006, 29, (1), 95-112 View citations (15)
8. Hurdle Rate: Executive Stock Options
   Australian Journal of Management, 2006, 31, (1), 29-40 View citations (1)

2005

9. The forecast quality of CBOE implied volatility indexes
   Journal of Futures Markets, 2005, 25, (4), 339-373 View citations (39)

2003

10. Geared Equity Investments: A Case Study of Tax Arbitrage Down Under
    Australian Journal of Management, 2003, 28, (1), 83-96 View citations (1)

2001

11. Option pricing based on the generalized lambda distribution
    Journal of Futures Markets, 2001, 21, (3), 213-236 View citations (11)
12. Repricing and employee stock option valuation
    Journal of Banking & Finance, 2001, 25, (6), 1059-1082 View citations (4)

1998

13. An empirical test of the Hull‐White option pricing model
    Journal of Futures Markets, 1998, 18, (4), 363-378 View citations (1)

1997

14. Journal Influence on the Design of Finance Doctoral Education
    Journal of Finance, 1997, 52, (5), 2091-2102 View citations (4)
15. Risk Aversion, Uncertain Information, and Market Efficiency
    Review of Quantitative Finance and Accounting, 1997, 8, (1), 51-68 View citations (8)

1996

16. A note on a simple, accurate formula to compute implied standard deviations
    Journal of Banking & Finance, 1996, 20, (3), 595-603 View citations (29)
17. Efficient option‐implied volatility estimators
    Journal of Futures Markets, 1996, 16, (3), 247-272 View citations (8)
18. S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula
    Journal of Futures Markets, 1996, 16, (6), 611-629 View citations (16)
19. SKEWNESS AND KURTOSIS IN S&P 500 INDEX RETURNS IMPLIED BY OPTION PRICES
    Journal of Financial Research, 1996, 19, (2), 175-192 View citations (120)

1995

20. The Information Content of a Convertible Debt Offer Announcement
    Review of Quantitative Finance and Accounting, 1995, 5, (4), 403-18
    Also in Review of Quantitative Finance and Accounting, 1995, 5, (3), 309-25 (1995)

1992

21. Durations for portfolios of bonds priced on different term structures
    Journal of Banking & Finance, 1992, 16, (4), 705-714 View citations (1)
22. Economic investment times for capacity expansion problems
    European Journal of Operational Research, 1992, 59, (2), 288-293 View citations (5)
23. FILTER RULE TESTS OF THE ECONOMIC SIGNIFICANCE OF SERIAL DEPENDENCIES IN DAILY STOCK RETURNS
    Journal of Financial Research, 1992, 15, (4), 369-387 View citations (13)
24. The Specification and Power of the Sign Test in Event Study Hypothesis Tests Using Daily Stock Returns
    Journal of Financial and Quantitative Analysis, 1992, 27, (3), 465-478 View citations (181)

1991

25. Estimating Systematic Risk with Daily Security Returns: A Note on the Relative Efficiency of Selected Estimators
    The Financial Review, 1991, 26, (4), 587-99 View citations (1)

1990

26. A Nonparametric Distribution-Free Test for Serial Independence in Stock Returns: A. Correction
    Journal of Financial and Quantitative Analysis, 1990, 25, (3), 411-415 View citations (4)

1989

27. A nonparametric test for abnormal security-price performance in event studies
    Journal of Financial Economics, 1989, 23, (2), 385-395 View citations (380)

1987

28. Islam, modernization and crime: A test of the religious ecology thesis
    Journal of Criminal Justice, 1987, 15, (6), 495-503 View citations (2)

1986

29. The cost of a central bank leaning against a random walk
    Journal of International Money and Finance, 1986, 5, (3), 303-314 View citations (14)