Louis Ederington

Louis H. Ederington

Emeritus Professor of Finance

About Ederington

Professor Ederington has been ranked among the 40 most prolific authors in the top seven finance journals by Cooley and Heck (Journal of Finance Literature, 2005) and is ranked in the top .25% of authors on the Social Science Research Network (www.ssrn.com) in terms of paper requests. From 8/93 to 12/94 he was Senior Economic Advisor to the Deputy Prime Minister of the Republic of Georgia and in 1980 was a Fulbright Scholar in Romania. He has been a visiting professor at the Singapore Management University, University of Otago (New Zealand), University of Queensland, and University of Melbourne. The Social Science Citation Index lists over 1500 citations to his published work and Google Scholar over 7500.

Research Areas

Risk management
Derivatives
Energy finance

Education

Ph.D., 1972, Washington University, St. Louis, Missouri
M.A., 1968, Washington University, St. Louis, Missouri
B.A., (with high honors) 1966, Hendrix College, Conway, Arkansas

Publications

“Reputation, Certification, Warranties, and Information as Remedies for Seller-Buyer Information Asymmetries: Lessons from the On-line Comic Book Market,” Journal of Business, vol 79, #2 (March 2006), pp 693-730 (with Michael DeWally).

“Measuring Historical Volatility,” Journal of Applied Finance, vol 16, #1 (Spring/Summer 2006), pp 5-14 (lead article), (with Wei Guan).

“Higher Order Greeks,” Journal of Derivatives, vol 14, #3 (Spring 2007), pp 7-34 (lead article) (with Wei Guan).

“Minimum Variance Hedging When Spot Price Changes Are Partially Predictable,” Journal of Banking and Finance, Vol 32, #5 (May 2008), pp 654-663 (with Jesus Salas).

“Ratio Spreads,” Journal of Derivatives, Vol15, #3 (Spring 2008), pp 41-57 (with Scott Chaput).

View more of Ederington's publications

“Reputation, Certification, Warranties, and Information as Remedies for Seller-Buyer Information Asymmetries: Lessons from the On-line Comic Book Market,” Journal of Business, vol 79, #2 (March 2006), pp 693-730 (with Michael DeWally).
“Measuring Historical Volatility,” Journal of Applied Finance, vol 16, #1 (Spring/Summer 2006), pp 5-14 (lead article), (with Wei Guan).
“Higher Order Greeks,” Journal of Derivatives, vol 14, #3 (Spring 2007), pp 7-34 (lead article) (with Wei Guan).
“Minimum Variance Hedging When Spot Price Changes Are Partially Predictable,” Journal of Banking and Finance, Vol 32, #5 (May 2008), pp 654-663 (with Jesus Salas).
“Ratio Spreads,” Journal of Derivatives, Vol15, #3 (Spring 2008), pp 41-57 (with Scott Chaput).
“The bias in time series volatility forecasts,” Journal of Futures Markets, vol30, #4 (April 2010), pp305-323 (with Wei Guan) (lead article).
“How asymmetric is U.S. stock market volatility?” Journal of Financial Markets, vol13, #2 (May 2010), pp 225-248 (with Wei Guan) (lead article).
“Longer term time series volatility forecasts,” Journal of Financial and Quantitative Analysis, vol45, #4 (August 2010), pp1055-1076 (with Wei Guan).
“The cross-sectional relation between conditional heteroskedasticity, the implied volatility smile, and the variance risk premium,” Journal of Banking and Finance vol 37 (September 2013), 3388-3400 (with Wei Guan).
“Determinants of trader profits in commodity futures markets,” Review of Financial Studies 26 (October 2013), 2648-2683 (with Michael DeWally and Chitru Fernando).
“Bond market event study methods.” Journal of Banking and Finance 58 (September 2015), 281-294 (with Wei Guan and Lisa Yang)
“The impact of the employment report and forecasts thereof on fixed income markets.” Journal of Fixed Income (forthcoming Fall 2018). (with Wei Guan)

Awards

Regents Award for Superior Accomplishment in Research and Creative Activity, 2005,
Bruce Magoon Master Teacher Award, Micheal F. Price College of Business, 2008.
Harold Hacker Outstanding MBA Professor, Micheal F. Price College of Business, 2011.
Price College Deans Research Award, 2014
George Lynn Cross Research Professor, University of Oklahoma,
FMA Competitive Paper Award for outstanding paper in Fixed Income Research, 1997.
Alumni Distinguished Professor Award, 1979, School of Business Administration, Georgia State University.

About OU's Price College of Business

The University of Oklahoma Michael F. Price College of Business has experienced significant growth over the past five years, becoming OU’s second-largest college with over 7,000 students. The college offers highly ranked undergraduate, master’s, executive and doctoral programs across six academic divisions. More information is available at price.ou.edu