Professor of Finance and Business Economics
Chair, Department of Finance and Business Economics
Marshall School of Business
University of Southern California
christopher.jones@marshall.usc.edu
University profile
Working papers
Too Good to Be True: Look-ahead Bias in Empirical Options Research, 2024, with Jefferson Duarte, Mehdi Khorram, Haitao Mo, and Junbo Wang
Return Extrapolation and Day/Night Effects, 2024,
with Sungjune Pyun and
Tong Wang
Using data from polygon.io
Seasonal Momentum in Option Returns, 2022, with Steve Heston, Mehdi Khorram, Shuaiqi Li, and Haitao Mo
Do Option Prices Forecast Aggregate Stock Returns?, 2018, with Haitao Mo and Tong Wang
Implied Variance and Market Index Reversal, 2016, with Sungjune Pyun and Tong Wang
Journal articles
Very Noisy Option Prices and Inferences Regarding the Volatility Risk Premium, 2022, with Jefferson Duarte and Junbo Wang, Journal of Finance, forthcoming.
Consumption growth persistence and the stock/bond correlation, 2023, with Sungjune Pyun, Journal of Financial and Quantitative Analysis, forthcoming.
Option Momentum, 2023, with Steve Heston, Mehdi Khorram, Shuaiqi Li, and Haitao Mo, Journal of Finance, Volume 78, Issue 6, Pages 3141-3192.
Out-of-Sample Performance of Mutual Fund Predictors, 2021, with Haitao Mo, Review of Financial Studies, Volume 34, Issue 1, Pages 149-193.
Option Mispricing Around Nontrading Periods, 2018, with Joshua Shemesh, Journal of Finance, Volume 73, Issue 2, Pages 861-900.
Investing in Disappearing Anomalies, 2017, with Lukasz Pomorski, Review of Finance, Volume 21, Issue 1, Pages 237-267.
Inventory Investment and the Cost of Capital, 2013, with Selale Tuzel, Journal of Financial Economics, Volume 107, Pages 557-579. Data
New Orders and Asset Prices, 2013, with Selale Tuzel, Review of Financial Studies, Volume 26, Number 1, Pages 115-157. New Orders to Shipments Data
Can Interest Rate Volatility be Extracted from the Cross Section of Bond Yields? An Investigation of Unspanned Stochastic Volatility, 2009, with Pierre Collin-Dufresne and Bob Goldstein, Journal of Financial Economics, Volume 94, Number 1, Pages 47-66.
Identification of Maximal Affine Term Structure Models, 2008, with Pierre Collin-Dufresne and Bob Goldstein, Journal of Finance, Volume 63, Number 2, Pages 743-795.
A Nonlinear Factor Analysis of S&P 500 Index Option Returns, 2006, Journal of Finance, Volume 61, Number 5, Pages 2325-2363.
Forecasting Volatility with Range-Based EGARCH Models, 2006, with Michael Brandt, Journal of Business and Economic Statistics 26, 470-486. Programs and sample data
Mutual Fund Performance with Learning Across Funds, 2005, with Jay Shanken, Journal of Financial Economics 78, 507-552.
Bayesian Range-Based Estimation of Stochastic Volatility Models, 2005, with Michael Brandt, Finance Research Letters 2, 201-209.
The Dynamics of Stochastic Volatility: Evidence from Underlying and Options Markets, 2003, Journal of Econometrics, Volume 116, Pages 181-224.
Nonlinear Mean Reversion in the Short-Term Interest Rate, 2003, Review of Financial Studies, Volume 16, Number 3, Pages 793-843.
Extracting Factors from Heteroskedastic Asset Returns, 2001 Journal of Financial Economics, Volume 62, Issue 2, Pages 293-325. Programs and sample data
Permanent working papers
The Market Price of Volatility Risk, 2007, with Jefferson DuarteEstimating Yield Curves from Asynchronous LIBOR and Swap Quotes, 2004
Bayesian Estimation of Continuous-Time Finance Models, 1998
Teaching
I currently teach Investment Analysis and Portfolio Management (FBE 555) and Quantitative Investing (FBE 551). Prior to that I taught several PhD-level courses in empirical asset pricing.