Dmitriy Muravyev
Email: muravyev@msu.edu
A.J. Pasant Fellow
Department: Finance
Phone: (217) 721-3772
Associate Professor
Department: Finance
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Biography
Dmitriy Muravyev is an Associate Professor of Finance at the Eli Broad College of Business, Michigan State University. His research focuses on using derivative securities and big data methods to answer important questions in financial economics. His research has been published in leading academic journals including the Journal of Finance, the Review of Financial Studies, the Journal of Financial Economics, Management Science, and the Journal of Financial and Quantitative Analysis. He presented his work at the leading academic and practitioner conferences. Prior to joining MSU, he worked at Boston College. Professor Muravyev received his Ph.D. in Finance from the University of Illinois at Urbana-Champaign. He also holds degrees from Moscow State University and the New Economic School, Moscow. Please check out his website (dmurav.com
) for the most up-to-date info.
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Publications
Article“Is There Price Discovery in Equity Options?” with Neil Pearson and John Paul Broussard, Journal of Financial Economics, Volume 107, Issue 2, February 2013, Pages 259-283Article“Order Flow and Expected Option Returns” Journal of Finance, Volume 71, Issue 2, April 2016, Pages 673-708Article“Why Do Option Returns Change Sign from Day to Night?” with Xuechuan (Charles) Ni, Journal of Financial Economics, Volume 136, Issue 1, April 2020, Pages 219-238Article“Option Trading Costs Are Lower Than You Think” with Neil Pearson, Review of Financial Studies, Volume 33, Issue 11, November 2020, Pages 4973–5014Article“Index Option Trading Activity and Market Returns” with Tarun Chordia, Alexander Kurov, and Avanidhar Subrahmanyam, Management Science, Volume 67(3), March 2021, Pages 1758-1778Article“Informed Trading in the Stock Market and Option Price Discovery”, with Pierre Collin-Dufresne and Vyacheslav Fos, Journal of Financial and Quantitative Analysis, Volume 56, Issue 6, September 2021, Pages 1945-1984Article“Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options,” with Neil Pearson and Joshua Pollet, Journal of Finance, Volume77, Issue3, June 2022, Pages 1787-1828Article“Market Return Around the Clock: A Puzzle,” with Oleg Bondarenko, Forthcoming in the Journal of Financial and Quantitative AnalysisArticle“Does Trade Clustering Reduce Trading Costs? Evidence from Periodicity in Algorithmic Trading,” with Joerg Picard Forthcoming in the Financial ManagementArticle“How Do Informed Option Traders Trade? Option Trading Activity, News Releases, and Stock Return Predictability,” with Martijn Cremers, Andy Fodor, and David Weinbaum Forthcoming in Management Science
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Courses
- FI 478: Investment Strategies and Speculative Markets
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Awards
- Best Paper in Market Microstructure at FMA 2017
for “Option Trading Costs Are Lower Than You Think”
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Media Mentions
- ARTICLEYou’ll make the most money in the stock market during these specific hours
April 8, 2023
Outlet: MarketWatch
Research from Dmitriy Muravyev, A.J. Pasant Fellow and associate professor of finance, on overnight returns in the U.S. stock market was cited in a column at MarketWatch and nine other outlets.
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Related News:
This year’s Faculty Recognition Dinner and Investiture Ceremony highlighted faculty endowments from 2020, 2021 and 2022.
The latest work from Dmitriy Muravyev, associate professor of finance, shows profits tied with European market opening.
Dmitriy Muravyev, associate professor of finance, has published a paper illustrating a financial pricing hiccup.