Details about Stewart Mayhew

Access statistics for papers by Stewart Mayhew.

Last updated 2021-10-13. Update your information in the RePEc Author Service.

Short-id: pma1075

Working Papers

2012

1. Equity trading and the allocation of market data revenue
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
   See also Journal Article Equity trading and the allocation of market data revenue, Journal of Banking & Finance, Elsevier (2016) View citations (4) (2016)

2000

2. Another Look at Option Listing Effects
   Finance, University Library of Munich, Germany View citations (16)

Journal Articles

2016

1. Equity trading and the allocation of market data revenue
   Journal of Banking & Finance, 2016, 62, (C), 97-111 View citations (4)
   See also Working Paper Equity trading and the allocation of market data revenue, Finance and Economics Discussion Series (2012) View citations (9) (2012)

2010

2. Ex-dividend Arbitrage in Option Markets
   The Review of Financial Studies, 2010, 23, (1), 271-303 View citations (3)

2009

3. Microstructural biases in empirical tests of option pricing models
   Review of Derivatives Research, 2009, 12, (3), 169-191 View citations (19)

2006

4. Stock Returns, Implied Volatility Innovations, and the Asymmetric Volatility Phenomenon
   Journal of Financial and Quantitative Analysis, 2006, 41, (2), 381-406 View citations (110)

2003

5. Stock return dynamics, option volume, and the information content of implied volatility
   Journal of Futures Markets, 2003, 23, (7), 615-646 View citations (11)

2002

6. Competition, Market Structure, and Bid‐Ask Spreads in Stock Option Markets
   Journal of Finance, 2002, 57, (2), 931-958 View citations (45)
7. Risk-Neutral Skewness: Evidence from Stock Options
   Journal of Financial and Quantitative Analysis, 2002, 37, (3), 471-493 View citations (134)

2000

8. Stock index futures trading and volatility in international equity markets
   Journal of Futures Markets, 2000, 20, (7), 661-685 View citations (44)

1999

9. Book Reviews
   Journal of Finance, 1999, 54, (2), 817-823

1995

10. The Allocation of Informed Trading across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements
    Journal of Finance, 1995, 50, (5), 1635-53 View citations (53)