Associate Professor of Finance and Business Economics
Marshall School of Business
University of Southern California

christopher.jones@usc.edu
University profile

Current CV

Working papers

Asset Prices and Time-Varying Persistence of Consumption Growth, 2021, with Sungjune Pyun

Momentum, Reversal, and Seasonality in Option Returns, 2020, with Haitao Mo and Mehdi Khorram

Very Noisy Option Prices and Inferences Regarding Option Returns, 2019, with Jefferson Duarte and Junbo Wang

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

Out-of-Sample Performance of Mutual Fund Predictors, 2020, with Haitao Mo, Review of Financial Studies, forthcoming.

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 Duarte

Estimating 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.