Mo Chaudhury

McGill University - Desautels Faculty of Management

Associate Professor of Finance (Teaching)

1001 Sherbrooke St. West

Montreal, Quebec H3A 1G5

Canada

http://www.mcgill.ca/desautels/mo-chaudhury

SCHOLARLY PAPERS

17

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5,711

SSRN CITATIONS
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Top 33,340

in Total Papers Citations

9

CROSSREF CITATIONS

16

Scholarly Papers (17)

1.

The Market Value and Dynamic Interest Rate Risk of Swaps

Paper ID: 96-44
Number of pages: 59 Posted: 23 Jan 1997
Andrew H. Chen and Mo Chaudhury
affiliation not provided to SSRN and McGill University - Desautels Faculty of Management
Downloads 1,369 (17,404)
Citation 1

Abstract:

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2.

Trading on the Information Content of Open Interest: Evidence from the Us Equity Options Market

McGill Finance Research Centre Working Paper
Number of pages: 43 Posted: 27 Oct 2001
Rafiqul Bhuyan and Mo Chaudhury
University College of the Cariboo - Department of Finance and McGill University - Desautels Faculty of Management
Downloads 1,317 (18,460)
Citation 4

Abstract:

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information content, options, open interest, trading strategy

3.

Efficiency Tests of the French Index (CAC 40) Options Market

Number of pages: 53 Posted: 19 Sep 2001
Gunther Capelle-Blancard and Mo Chaudhury
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and McGill University - Desautels Faculty of Management
Downloads 773 (39,634)
Citation 15

Abstract:

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market efficiency, index options, no arbitrage conditions.

4.

Issues in Operational Risk Capital Modeling

Number of pages: 51 Posted: 30 Sep 2009 Last Revised: 25 Jan 2010
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 333 (111,881)

Abstract:

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Operational Risk, Economic Capital, Value at Risk, Basel II, LDA

5.

Spider Options and the S&P 500 Index Options Market

Number of pages: 50 Posted: 06 Feb 2007
Gunther Capelle-Blancard and Mo Chaudhury
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and McGill University - Desautels Faculty of Management
Downloads 260 (145,108)

Abstract:

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S&P 500 Index Options, Spider Options, ETF, Volatility Smile

6.

The Financial Crisis and the Behavior of S&P 500 Index Option Prices

Number of pages: 48 Posted: 12 Oct 2014 Last Revised: 29 Aug 2015
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 259 (145,673)

Abstract:

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Financial Crisis, Behavior of Stock Price, Volatility Smile, Value at Risk

7.

Extended Value at Risk (EVaR) Measure for Market Risk

Number of pages: 12 Posted: 16 Apr 2011 Last Revised: 18 Sep 2011
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 242 (155,657)
Citation 2

Abstract:

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Market Risk, Value at Risk, Implied Volatility, Basel, Bank Capital

8.

Stock Overreaction to Extreme Market Events

Number of pages: 40 Posted: 22 Feb 2015
Mo Chaudhury and Pedro Piccoli
McGill University - Desautels Faculty of Management and Universidade Católica do Paraná (Universidade Católica do Paraná)
Downloads 232 (162,121)

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Overreaction, contrarian strategy, momentum crash, market efficiency, extreme market events

9.

Upper Bounds for American Options

McGill Finance Research Centre Working Paper No. 2002
Number of pages: 41 Posted: 05 May 2003
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 203 (183,934)

Abstract:

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American options, option valuation, bounds

10.

What Drives the Growth of Aggregate Residential Mortgage Debt in the U.S.?

Number of pages: 33 Posted: 05 Apr 2006
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 170 (215,224)

Abstract:

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Mortgage Debt, Housing Price, Term Structure, Default Risk Premium

11.

Volatility and Expected Option Returns: A Note

Economics Letters, Vol. 152, No. March, 2017
Number of pages: 19 Posted: 03 Sep 2016 Last Revised: 21 Jan 2017
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 161 (225,303)
Citation 3

Abstract:

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Volatility, Expected Option Return, Cross-Section of Option Returns

12.

Credibility, Public Debt and Foreign Exchange Intervention

McGill Finance Research Centre Working Paper
Number of pages: 38 Posted: 18 Sep 2001
Mo Chaudhury and K. Ramagopal
McGill University - Desautels Faculty of Management and Federal Home Loan Mortgage Corporation (FHLMC) - Financial Research
Downloads 154 (233,918)

Abstract:

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credibility, public debt, foreign exchange intervention

13.

How Do Stocks React to Extreme Market Events? Evidence from Brazil

Number of pages: 38 Posted: 22 Feb 2015
Mo Chaudhury and Pedro Piccoli
McGill University - Desautels Faculty of Management and Universidade Católica do Paraná (Universidade Católica do Paraná)
Downloads 76 (380,754)
Citation 1

Abstract:

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Overreaction, contrarian strategy, momentum, market efficiency, Brazilian market

14.

Some Easy-to-Implement Methods of Calculating American Futures Option Prices

Journal of Futures Markets Journal of Futures Markets, Vol. 15, No. 3, pp. 303-344, 1995
Number of pages: 42 Posted: 27 Feb 2011
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 65 (414,427)

Abstract:

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American Futures Options, Option Price, Early Exercise, ISD

15.

Dynamic Relationship of Cryptocurrency Prices and Investor Attention

Number of pages: 24 Posted: 12 Feb 2019
Pedro Piccoli and Mo Chaudhury
Universidade Católica do Paraná (Universidade Católica do Paraná) and McGill University - Desautels Faculty of Management
Downloads 56 (445,938)

Abstract:

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Bitcoin, Cryptocurrency, Bubble, Noise Trader, Google Trend

How Did the Financial Crisis Affect the Daily Stock Returns?

Number of pages: 30 Posted: 14 Feb 2014
Mo Chaudhury
McGill University - Desautels Faculty of Management
Downloads 41 (517,984)
Citation 3

Abstract:

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financial crisis, beta risk, GARCH, skewness and kurtosis, Value at Risk

How Did the Financial Crisis Affect the Daily Stock Returns?

Journal of Investing, Vol. 23, No. 3, 2014, https://doi.org/10.3905/joi.2014.23.3.065
Posted: 21 May 2019
Mo Chaudhury
McGill University - Desautels Faculty of Management

Abstract:

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Financial Crisis, Behavior of Stock Price, Volatility Smile, Value at Risk

17.

Option Bid-Ask Spread and Liquidity

Posted: 21 May 2019
Mo Chaudhury
McGill University - Desautels Faculty of Management

Abstract:

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Option Price, Bid-Ask Spread, Liquidity, Illiquidity Premium, Implied Volatility