James Doran

Deputy Head of School (Education)
Associate Professor

Dr. James Doran is a Senior Fellow at the UNSW where he teaches derivatives and financial risk management. Prior to his appointment he was the Chief Investment Officer at multiple hedge funds that specialized in volatility, and was a chaired professor in the U.S where he taught portfolio management, investment theory, and asset pricing.

He has over 20 years of experience in finance as both an academic and as a practitioner. Dr. Doran's research focus is on theoretical and empirical asset pricing, with a specialization in derivatives, option pricing, and volatility. He has published in journals such as Review of Asset Pricing Studies, Review of Finance, Financial Analyst Journal, Journal of Futures Markets, Review of Derivative Research, The Journal of Risk, Journal of Financial Markets, Journal of Business, Finance, and Accounting, Risk Management and Insurance Review, and The Journal of Banking and Finance. He is also the author of the Profit Dilemma. Dr. Doran received a Bachelor of Science degree in Economics and Computer Science from Emory University and a Ph.D. in Finance from the University of Texas at Austin. He also hold a series 65 professional license. At Emory University, he was an academic All-American in soccer.

Journal articles
Doran JS, 2020, 'Volatility as an asset class: Holding VIX in a portfolio', Journal of Futures Markets, vol. 40, pp. 841 - 859, http://dx.doi.org/10.1002/fut.22094
Doran JS; Fodor A; Jiang D, 2013, 'Call-put implied volatility spreads and option returns', Review of Asset Pricing Studies, vol. 3, pp. 258 - 290, http://dx.doi.org/10.1093/rapstu/rat006
Diavatopoulos D; Doran JS; Fodor A; Peterson DR, 2012, 'The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns', Journal of Banking and Finance, vol. 36, pp. 786 - 802, http://dx.doi.org/10.1016/j.jbankfin.2011.09.012
Price SMK; Doran JS; Peterson DR; Bliss BA, 2012, 'Earnings conference calls and stock returns: The incremental informativeness of textual tone', Journal of Banking and Finance, vol. 36, pp. 992 - 1011, http://dx.doi.org/10.1016/j.jbankfin.2011.10.013
Doran JS; Jiang D; Peterson DR, 2012, 'Gambling preference and the new year effect of assets with lottery features', Review of Finance, vol. 16, pp. 685 - 731, http://dx.doi.org/10.1093/rof/rfr006
Doran JS; Peterson DR; Price SMK, 2012, 'Earnings Conference Call Content and Stock Price: The Case of REITs', Journal of Real Estate Finance and Economics, vol. 45, pp. 402 - 434, http://dx.doi.org/10.1007/s11146-010-9266-z
Delisle RJ; Doran JS; Peterson DR, 2011, 'Asymmetric pricing of implied systematic volatility in the cross-section of expected returns', Journal of Futures Markets, vol. 31, pp. 34 - 54, http://dx.doi.org/10.1002/fut.20457
Doran JS; Fodor A; Krieger K, 2010, 'Option market efficiency and analyst recommendations', Journal of Business Finance and Accounting, vol. 37, pp. 560 - 590, http://dx.doi.org/10.1111/j.1468-5957.2010.02189.x
Doran JS; Peterson DR; Wright C, 2010, 'Confidence, opinions of market efficiency, and investment behavior of finance professors', Journal of Financial Markets, vol. 13, pp. 174 - 195, http://dx.doi.org/10.1016/j.finmar.2009.09.002
Doran JS; Krieger K, 2010, 'Implications for asset returns in the implied volatility skew', Financial Analysts Journal, vol. 66, pp. 65 - 76, http://dx.doi.org/10.2469/faj.v66.n1.9
de Villiers JU, 2009, 'The Information Content in Implied Idiosyncratic Volatility and the Cross-Section of Stock Returns: Evidence from the Option Markets', CFA Digest, vol. 39, pp. 26 - 27, http://dx.doi.org/10.2469/dig.v39.n2.26
Romahi YS, 2008, 'Is There Information in the Volatility Skew?', CFA Digest, vol. 38, pp. 29 - 31, http://dx.doi.org/10.2469/dig.v38.n1.13
Doran JS; Ronn EI, 2008, 'Computing the market price of volatility risk in the energy commodity markets', Journal of Banking and Finance, vol. 32, pp. 2541 - 2552, http://dx.doi.org/10.1016/j.jbankfin.2008.04.003
Diavatopoulos D; Doran JS; Peterson DR, 2008, 'The information content in implied idiosyncratic volatility and the cross-section of stock returns: Evidence from the option markets', Journal of Futures Markets, vol. 28, pp. 1013 - 1039, http://dx.doi.org/10.1002/fut.20327
Doran J; Fodor A, 2008, 'Firm specific option risk and implications for asset pricing', The Journal of Risk, vol. 12, pp. 17 - 52, http://dx.doi.org/10.21314/jor.2009.201
Doran JS; Peterson DR; Tarrant BC, 2007, 'Is there information in the volatility skew?', Journal of Futures Markets, vol. 27, pp. 921 - 959, http://dx.doi.org/10.1002/fut.20279
Banerjee PS; Doran JS; Peterson DR, 2007, 'Implied volatility and future portfolio returns', Journal of Banking and Finance, vol. 31, pp. 3183 - 3199, http://dx.doi.org/10.1016/j.jbankfin.2006.12.007
Doran J, 2007, 'The influence of tracking error on volatility risk premium estimation', The Journal of Risk, vol. 9, pp. 1 - 36, http://dx.doi.org/10.21314/jor.2007.149
Doran JS; Ronn EI, 2005, 'The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets', Review of Derivatives Research, vol. 8, pp. 177 - 198, http://dx.doi.org/10.1007/s11147-006-9002-2
Doran J, 2016, The Profit Dilemma, Createspace Independent Publishing Platform
  • 2008 Best Paper- Financial Service Symposium
  • 2008 Bank of America Professorship
  • 2006-2007 Florida State University Undergraduate Teaching Award
  • 2003-2004 Fred Moore Assistant Instructor Teaching Award, McCombs School of Business
  • 1997 McDonough Award-Emory Outstanding Student Athlete
  • 1997 Academic All-America (NCAA Soccer Coaches) 2nd team
  • 2006 Option Metrics- Research Grant
  • 2005 COFERS- Research Grant

Theoretical and empirical asset pricing, with a specialization in derivatives, option pricing, and volatility.