Nikunj Kapadia

University of Massachusetts Amherst - Department of Finance

Associate Professor

Amherst, MA 01003

United States

http://www-unix.oit.umass.edu/~nkapadia/

SCHOLARLY PAPERS

14

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8,040

SSRN CITATIONS
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Top 1,688

in Total Papers Citations

464

CROSSREF CITATIONS

291

Scholarly Papers (14)

1.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Number of pages: 51 Posted: 10 Oct 2000
Nikunj Kapadia, Gurdip Bakshi and Dilip B. Madan
University of Massachusetts Amherst - Department of Finance, Temple University - Fox School of Business and Management and University of Maryland - Robert H. Smith School of Business
Downloads 1,499 (15,058)
Citation 213

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risk neutral skews, option pricing, individual stock options

2.

Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options

Number of pages: 49 Posted: 20 Sep 2001
Gurdip Bakshi, Nikunj Kapadia and Dilip B. Madan
Temple University - Fox School of Business and Management, University of Massachusetts Amherst - Department of Finance and University of Maryland - Robert H. Smith School of Business
Downloads 1,101 (24,040)
Citation 105

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Number of pages: 48 Posted: 17 Apr 2001
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and Management
Downloads 1,101 (23,701)
Citation 92

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium

Posted: 10 Jan 2002
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and Management

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Option pricing, stochastic volatility, volatility risk premium, delta-hedged gains

4.

The Risk and Return Characteristics of the Buy-Write Strategy on the Russell 2000 Index

Journal of Alternative Investments, Spring 2007
Number of pages: 30 Posted: 01 Mar 2007
Nikunj Kapadia and Edward Szado
University of Massachusetts Amherst - Department of Finance and Providence College
Downloads 1,065 (25,222)
Citation 1

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options buy-write strategy covered call russell

5.

Correlated Default Risk

EFA 2003 Annual Conference Paper No. 928; AFA 2003 Washington, DC Meetings
Number of pages: 45 Posted: 23 Sep 2002
Santa Clara University - Leavey School of Business, Moody's Investors Service, Amaranth Advisors llc and University of Massachusetts Amherst - Department of Finance
Downloads 921 (31,074)
Citation 53

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6.

15 Years of the Russell 2000 Buy-Write

Number of pages: 34 Posted: 17 Sep 2011
Nikunj Kapadia and Edward Szado
University of Massachusetts Amherst - Department of Finance and Providence College
Downloads 761 (40,418)
Citation 1

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Russell, Buy, Write, Covered Call Options, Trading Strategy, Risk Management, Capital Protection

7.

Limited Arbitrage between Equity and Credit Markets

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 17 Mar 2009 Last Revised: 22 Feb 2012
Nikunj Kapadia and Xiaoling Pu
University of Massachusetts Amherst - Department of Finance and Kent State University - Department of Finance
Downloads 541 (63,033)
Citation 11

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limited arbitrage, credit default swap

8.
Downloads 495 ( 70,427)
Citation 147

Common Failings: How Corporate Defaults are Correlated

Journal of Finance, Forthcoming
Number of pages: 36 Posted: 02 Jan 2006
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 446 (79,129)
Citation 1

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Correlated default, doubly stochastic, contagion, frailty

Common Failings: How Corporate Defaults are Correlated

NBER Working Paper No. w11961
Number of pages: 29 Posted: 23 Jan 2006 Last Revised: 08 Mar 2021
Santa Clara University - Leavey School of Business, Stanford University - Graduate School of Business, University of Massachusetts Amherst - Department of Finance and Independent
Downloads 49 (480,440)
Citation 19

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9.

Flows: The ‘Invisible Hands’ on Hedge Fund Management

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 49 Posted: 19 Sep 2011 Last Revised: 04 Jan 2012
Shuang Feng, Mila Getmansky Sherman and Nikunj Kapadia
Edinboro University of Pennsylvania, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and University of Massachusetts Amherst - Department of Finance
Downloads 245 (153,587)
Citation 4

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Hedge Fund, Fund Flow, Fee Structure, Managerial Incentives, Gross Return

10.

Write on the Money?

Number of pages: 35 Posted: 12 Jul 2016 Last Revised: 20 Jul 2016
Lew Burton, Nikunj Kapadia and Brandon Sneider
University of Massachusetts Amherst, University of Massachusetts Amherst - Department of Finance and University of Massachusetts Amherst - Department of Finance
Downloads 174 (210,663)

Abstract:

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Variance Risk Premium, Buy-Write, Covered Call, Market Anomalies

11.

What's Gone Wrong with Option Liquidity: Evidence from the Knight Capital's Trading Glitch

Number of pages: 56 Posted: 02 Mar 2020 Last Revised: 14 Jul 2020
Nikunj Kapadia and Matthew Linn
University of Massachusetts Amherst - Department of Finance and Isenberg School of Management, University of Massachusetts
Downloads 86 (353,544)

Abstract:

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Liquidity, High-Frequency Trading, Options

12.

The Conservative Issuer Bias of Corporate Ratings

Number of pages: 45 Posted: 04 May 2014
Office of the Comptroller of the Currency - Risk Analysis Division, University of Massachusetts Amherst - Department of Finance and Government of the United States of America - Risk Analysis Division
Downloads 49 (472,097)

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Credit ratings, issuer bias, default risk, financing constraints

13.

Issuer Bias in Corporate Ratings Toward Financially Constrained Firms

Journal of Credit Risk, Forthcoming
Number of pages: 35 Posted: 19 Dec 2017
Office of the Comptroller of the Currency - Risk Analysis Division, University of Massachusetts Amherst - Department of Finance and Government of the United States of America - Risk Analysis Division
Downloads 2 (764,794)
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credit ratings, issuer bias, financial constraints, feedback effect, default risk

14.

Volatility Risk Premiums Embedded in Individual Equity Options: Some New Insights

Posted: 09 Sep 2003
Nikunj Kapadia and Gurdip Bakshi
University of Massachusetts Amherst - Department of Finance and Temple University - Fox School of Business and Management

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